DilTerent methods are used by thm NYSE,‘Amex and the Nasdaq to accommodate limit orders received from investors. This accounts for at least part of the excess of Nasdaq spreads over NYSE spreads, adjusted for trading volume, and is a factor in determining this excess tha: is independent of coitusion on the Nasdaq. The spread-comparison evidence given by others to support their belief that there...

We show that the consolidation of orders is important for producing efficient prices, especially during times of high liquidity demand. The NYSE’s centralized opening call market performs better than Nasdaq’s decentralized opening process on typical trading days. The NYSE is much better than Nasdaq on witching days when index arbitrage activity subjects S&P 500 stocks to large, predictable, and...

This paper examines 472 securities that were listed on Nasdaq and moved to the NYSE or Amex. When Nasdaq market makers avoid odd-eighth quotes, bid-ask spreads are large and decline dramatically with exchange listing. When market makers use both odd and even eighths. spreads are smaller and decline only slightly with exchange listing The large spreads observed when Nasdaq market makers avoid od...

This special issue of the Journal of Financial Economics includes six articles that analyze the market microstructure of Nasdaq in various ways. The question of the costs of trading on Nasdaq has become contentious in both the academic and legal/regulatory arenas since the Christie and Schultz (1994) article first noted that many actively traded Nasdaq stocks were almost never quoted on odd eig...

The Internet technology reduces the cost of transmitting and exchanging information. ECNs exploit this opportunity to enable investors to place quotes at very little cost and compete with incumbent stock exchanges. Does this quasi–free entry situation lead to competitive liquidity supply? We analyze trades and order book dynamics on Nasdaq and Island. The Nasdaq touch is frequently undercut by ...

W exploit the information in the options market to study the variations of return risk and market prices of different sources of risk during the rise and fall of the Nasdaq market. We specify a model that accommodates fluctuations in both risk levels and market prices of different sources of risk, and we estimate the model using the time-series returns and option prices on the Nasdaq 100 tracki...

We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have ...

A stock market index is an average of a group of stock prices with weights. Different stock market indices derived from various combinations of stocks may share similar trends in certain periods, while it is not expected that there are fixed relations among them. Here we report our investigations on the daily index data of Dow Jones Industry Average (DJIA), NASDAQ, and S&P500 from 1971/02/05 to...