In a risk-neutral environment, credit spread has been regarded as a function of two variables, i.e., default probability and recovery rate. Once the recovery rate is determined, a spread can be employed to calculate implied default rate of a specific credit name. Most importantly, default...

After adopting Order Handling Rules in 1997, the Nasdaq Stock Market has become a hybrid market with both the quote-driven (market makers, the dealer market) and the order-driven (the Electronic Communication Networks, ECNs) trading systems. We study the Nasdaq stocks to empirically examine the...