Differences in Trading Behavior Across NYSE Specialist Firms

28 Pages Posted: 10 Jul 1997

See all articles by Shane A. Corwin

Shane A. Corwin

University of Notre Dame - Mendoza College of Business

Date Written: March 14, 1997

Abstract

Using a sample of common stocks listed on the NYSE during 1992, this article examines whether measures of market-maker performance differ across specialist firms. We find that spreads and depth differ across specialist firms, but the competitiveness of NYSE quotes relative to other exchanges does not appear to be affected by these differences. We also find evidence of differences in transitory volatility across specialist firms. Finally, both the frequency and duration of order-imbalance trading halts differ across specialist firms. These results suggest that specialist firms have a significant effect on execution costs, liquidity and the amount of noise in security prices and that these effects are not completely eliminated by competition or the NYSE's monitoring mechanisms.

JEL Classification: G1

Suggested Citation

Corwin, Shane A., Differences in Trading Behavior Across NYSE Specialist Firms (March 14, 1997). Available at SSRN: https://ssrn.com/abstract=40540 or http://dx.doi.org/10.2139/ssrn.40540

Shane A. Corwin (Contact Author)

University of Notre Dame - Mendoza College of Business ( email )

240 Mendoza College of Business
Notre Dame, IN 46556-0399
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
286
Abstract Views
1,674
rank
133,643
PlumX Metrics