Porter, David; Simaan, Yusif; Weaver, Daniel; Whitcomb, … - In: Review of Quantitative Finance and Accounting 26 (2006) 2, pp. 87-103
We examine the introduction of the Actual Size Rule (ASR) on Nasdaq during a control period and a period of market stress. We find that market makers in both ASR and Non-ASR stocks reduce quotation sizes and widen spreads when under stress but the reduction of quotation size and increase in...