WHY DO NASDAQ MARKET MAKERS AVOID ODD-8TH QUOTES

• 成果类型: Article
• 署名作者: CHRISTIE, WG; SCHULTZ, PH
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329272
• 发表日期: 1994
• 页码: 1813-1840
• 关键词: TRADING VOLUME; COSTS

摘要

The NASDAQ multiple dealer market is designed to produce narrow bid-ask spreads through the competition for order flow among individual dealers. However, we find that odd-eighth quotes are virtually nonexistent for 70 of 100 actively traded NASDAQ securities, including Apple Computer and Lotus Development. The lack of odd-eighth quotes cannot be explained by the negotiation hypothesis of Harris (1991), trading activity, or other variables thought to impact spreads. This result implies that the inside spread for a large number of NASDAQ stocks is at least $0.25 and raises the question of whether NASDAQ dealers implicitly collude to maintain wide spreads.