Who Gets Price Improvement on the NYSE

Georgetown University Working Paper

Posted: 19 Sep 1999

See all articles by James Angel

James Angel

Georgetown University - Department of Finance

Date Written: September 1994


Market orders sent to the NYSE may be executed at prices better than the specialists' quotes. This study investigates the conditions under which this price improvement occurs and whether it is available to everyone or only certain groups. Over 25% of NYSE SuperDot market orders in this study were filled at prices better than the quote, for an average price improvement of approximately $.04 per share. The rate of price improvement increases from about 10 percent with a one-tick spread to around 50 percent with a spread of two ticks or more. "Marketable limit" orders (limit orders with limit prices that could be filled immediately at the current quotes) receivesubstantially less price improvement than market orders, a result not explained by order size. Unlike on the London Stock Exchange, orders placed by individuals get approximately the same or better price improvement than orders placed by brokerage firms or institutions, although index arbitrageurs get less. If hidden SuperDot limit orders were exposed, the rate of price improvement would have decreased about 15 percent.

JEL Classification: G10, G11, G18

Suggested Citation

Angel, James J., Who Gets Price Improvement on the NYSE (September 1994 ). Georgetown University Working Paper, Available at SSRN: https://ssrn.com/abstract=5706

James J. Angel (Contact Author)

Georgetown University - Department of Finance ( email )

McDonough School of Business
Washington, DC 20057
United States
202-687-3765 (Phone)
202-687-4031 (Fax)

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

Paper statistics

Abstract Views
PlumX Metrics