SSRN Home Search and Download Papers Browse Abstract and Paper Submission Subscribe to Networks View Briefcase Top Papers Top Authors Top Institutions

 

Abstract

  
 

References (42)

Beta

 		 
 

Citations (22)

Beta

 		 


 


Download | Share | Email | Add to Briefcase | Buy Hard Copy

Can the Treatment of Limit Orders Reconcile the Differences in Trading Costs between NYSE and Nasdaq Issues?

Kee H. Chung
SUNY at Buffalo - School of Management

Bonnie F. Van Ness
University of Mississippi - Department of Finance

Robert A. Van Ness
University of Mississippi - Department of Finance

undated


Abstract:     
In this paper, we determine whether each bid (ask) quote reflects the trading interest of the specialist, limit order traders, or both for a sample of NYSE stocks in 1991. We then compare Nasdaq spreads with NYSE spreads that reflect the trading interest of the specialist. Our empirical results show that the average Nasdaq spread is significantly larger than the average NYSE specialist spread. We find that, on average, 49% of the difference between Nasdaq and specialist spreads is due to the differential use of even-eighth quotes between Nasdaq dealers and NYSE specialists. We also find that the NYSE specialist spread is significantly larger than the limit order spread, although NYSE specialists and limit order traders are similar in their use of even-eighth quotes.

Keywords: Limit order, bid-ask spread, collusion, NYSE specialists, Nasdaq dealers

JEL Classifications: G14, G18

Working Paper Series

Date posted: December 11, 2000 ; Last revised: December 13, 2000

Suggested Citation

Chung, Kee H., Van Ness, Bonnie F. and Van Ness, Robert A., Can the Treatment of Limit Orders Reconcile the Differences in Trading Costs between NYSE and Nasdaq Issues? (undated). Available at SSRN: http://ssrn.com/abstract=243754 or doi:10.2139/ssrn.243754


Export to: Export Citation What's this?

Contact Information

Kee H. Chung (Contact Author)
SUNY at Buffalo - School of Management ( email )
Buffalo, NY 14260
United States
716-645-3262 (Phone)
716-645-3823 (Fax)
HOME PAGE: http://mgt.buffalo.edu/home/faculty/academic/finance/faculty/keechung
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
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 2,637
Downloads: 353
Download Rank: 22,451
References: 42
Citations: 22

© 2009 Social Science Electronic Publishing, Inc. All Rights Reserved. Terms of Use  Privacy Policy
This page was served by apollo3 in 0.141 seconds.