Abstract

http://ssrn.com/abstract=1958281
 
 

References (35)



 
 

Citations (7)



 


 



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 22, 2016


Abstract:     
In this study we examine intense episodic spikes in quoting activity (frequently referred to as quote stuffing) on market conditions. We find that quote stuffing is pervasive and that over 74% of U.S. exchange-listed securities experienced at least one episode during 2010. We also find that stocks experience decreased liquidity, higher trading costs, and increased short-term volatility during periods of intense quoting activity. We find that most quote-stuffing events occur on the NYSE, ARCA, NASDAQ, and BATS and that during these quote-stuffing events, the number of new orders and canceled orders increases substantially while the order size and order duration decrease.

Number of Pages in PDF File: 48

Keywords: Quote Stuffing, High Frequency Trading

JEL Classification: G10, G12, G14


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Date posted: November 12, 2011 ; Last revised: April 14, 2016

Suggested Citation

Egginton, Jared F. and Van Ness, Bonnie F. and Van Ness, Robert A., Quote Stuffing (March 22, 2016). 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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