Chung, Kee H.; Ness, Bonnie F. Van; Ness, Robert A. Van - In: Journal of Financial and Quantitative Analysis 36 (2001) 02, pp. 267-286
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...