Abstract

  
 

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Quote Stuffing


Jared F. Egginton


Louisiana Tech University - Department of Economics and Finance

Bonnie F. Van Ness


University of Mississippi - Department of Finance

Robert A. Van Ness


University of Mississippi - Department of Finance
March 15, 2012


Abstract:     
This study examines the impact that intense episodic spikes in quoting activity (frequently referred to as “quote stuffing”) has on market conditions. We find that quote stuffing is pervasive with several hundred events occurring each trading day and that over 74% of U.S. listed equity securities experience at least one episode during 2010. We find that during periods of intense quoting activity stocks experience decreased liquidity, higher trading costs, and increased short term volatility.

Number of Pages in PDF File: 34

Keywords: Quote Stuffing, High Frequency Trading

JEL Classification: G10, G12, G14

working papers series


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Date posted: November 12, 2011 ; Last revised: March 17, 2012

Suggested Citation

Egginton, Jared F., Van Ness, Bonnie F. and Van Ness, Robert A., Quote Stuffing (March 15, 2012). Available at SSRN: http://ssrn.com/abstract=1958281 or http://dx.doi.org/10.2139/ssrn.1958281

Contact Information

Jared Frank Egginton (Contact Author)
Louisiana Tech University - Department of Economics and Finance ( email )
Ruston, LA 71272
United States
Bonnie F. Van Ness
University of Mississippi - Department of Finance ( email )
Oxford, MS 38677
United States
662-915-6749 (Phone)
662-915-7968 (Fax)
Robert A. Van Ness
University of Mississippi - Department of Finance ( email )
Oxford, MS 38677
United States
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