The study investigates competition in the market for NASDAQ stocks during a recent period in U.S. equity markets history when three major ECNs - Archipelago, Island, and Instinet - are identifiable in TAQ. We show that the ECNs compete with NASDAQ's SuperMontage on the basis of quotes, execution...

Blume and Goldstein [Journal of Finance 52, 1997, 221-244] suggest that quote competition between trading venues may diminish following tick size reductions. We test this suggestion by studying the competitive landscape in the NYSE-listed stocks before and after decimalization. We find that NBBO...

The NBBO for an average active stock is non-positive (locked or crossed) 10.58% and 4.05% of the time on, respectively, the NASDAQ and the NYSE inter-markets. Locks and crosses are frequent fleeting events that usually accompany significant price changes. Non-positive NBBOs arise because of (i)...

We show that short selling may, occasionally, cause excessive price pressure. We study large negative price reversals that occur on no-news days and find that short selling during such reversals is abnormally aggressive and substantially increases the magnitude of price declines. This negative...