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...

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 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...

We examine the volume and time to open for stocks on option-expiration Fridays. We show that previous findings of abnormal daily volume on option-expiration Fridays can be largely explained by the large volume of trading in the batch opening for stocks that trade on the NYSE and not by an...

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...

We examine adverse selection costs around NYSE decimalization. Further, we analyze the relation between adverse selection costs and trade size. We find a significant increase in the percentage adverse selection cost and a reduction in dollar adverse selection cost (percentage adverse selection...

Research documents a U-shaped intraday pattern of returns. We examine which trade sizes drive the U-shaped pattern and find that intraday price changes from larger trades exhibit a U-shaped pattern whereas price changes from smaller trades show a reverse U-shaped pattern. We argue that price...

We examine execution costs and quote clustering on the New York Stock Exchange (NYSE) and NASDAQ using 517 matching pairs of stocks after decimalization. We find that the mean spread of NASDAQ stocks is greater than the mean spread of NYSE stocks when spreads are equally weighted across stocks,...