Abstract

http://ssrn.com/abstract=1066642
 
 

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Advertising for Liquidity on the New York Stock Exchange


Robert H. Jennings


Indiana University - Kelley School of Business - Department of Finance

Ramabhadran S. Thirumalai


Indian School of Business

November 17, 2007


Abstract:     
Gapping the quote is a procedure NYSE specialists use to display the direction, size, and likely price impact of an order imbalance in an attempt to attract liquidity suppliers. It appears to be a liquidity event between an immediate block trade and a trading halt. For 85% of our 927 sample gapped quotes, we find an associated trade suggesting that the search for liquidity is successful. For these trades, the mean price impact is 35 basis points, but 40% of this is reversed by day's end. In about one-quarter of our gapped quotes the floor joins the public order in demanding liquidity.

Number of Pages in PDF File: 47

Keywords: Gapped quotes, pre-trade transparency, liquidity

JEL Classification: G10, G20

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Date posted: December 7, 2007  

Suggested Citation

Jennings, Robert H. and Thirumalai, Ramabhadran S., Advertising for Liquidity on the New York Stock Exchange (November 17, 2007). Available at SSRN: http://ssrn.com/abstract=1066642 or http://dx.doi.org/10.2139/ssrn.1066642

Contact Information

Robert H. Jennings (Contact Author)
Indiana University - Kelley School of Business - Department of Finance ( email )
1309 E. 10th St.
Bloomington, IN 47405
United States
812-855-2696 (Phone)
812-855-5875 (Fax)

Ramabhadran S. Thirumalai
Indian School of Business ( email )
Gachibowli
Hyderabad, Andhra Pradesh 500 032
India
+91 (40) 2318 7151 (Phone)
+91 (40) 2300 7017 (Fax)

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