We analyze short- and long-term effects of multimarket trading by examining the entries of multiple markets into transacting three ETFs, DIA, QQQ, and SPY. We find that large-scale entries improve overall market quality, while small-scale entries have ambiguous effects. Our results show that the...

This paper examines liquidity and quote clustering on the NYSE and Nasdaq using data after the two market reforms-the 1997 order-handling rule and minimum tick size changes. We find that Nasdaq-listed stocks exhibit wider spreads and smaller depths than NYSE-listed stocks and stocks with higher...

This study compares the components of the bid-ask spread estimated from quotes that reflect the trading interest of specialists with those estimated from limit-order quotes and all available quotes for a sample of New York Stock Exchange (NYSE) stocks. The results show that the adverse selection...

Nasdaq spreads decline from 1993 to 2002, largely independently of tick-size reductions. Trade size declines, consistent with greater retail investor activity. Using the method of Chordia, Roll, and Subrahmanyam (2001), we find that concurrent market returns strongly affect liquidity and trading...

We examine clustering of transaction prices in a sample that contains high-frequency trading firms’ transactions. We separate our sample into four categories: transactions with a high-frequency trading firm on both sides of the transaction, on only one side of the transaction (either liquidity...

Using transactions data for a sample of NYSE stocks, we decompose the bid-ask spread (BAS) into order-processing (OP) and asymmetric information (AI) components using the techniques of George, Kaul, and Nimalendran (1991) and Madhavan, Richardson, and Roomans (1997). McInish and Wood (1992)...