search query: @author Christie, W. G. / total: 2
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Author: | Christie, W. G. Schultz, P. H. |
Title: | The initiation and withdrawal of odd-eighth quotes among Nasdaq stocks: an empirical analysis |
Journal: | Journal of Financial Economics
1999 : JUN, VOL. 52:3, p. 409-442 |
Index terms: | Competition Stock markets |
Freeterms: | Bid-ask spreads Effective spreads |
Language: | eng |
Abstract: | Christie and Schultz (1994), (Journal of Finance, 49, 1813-1840) find that market makers in many active Nasdaq stocks avoid odd-eighth quotes. In this paper, there are studied 67 (58) Nasdaq stocks whose market makers initiate (withdraw) odd-eighth quotes. These regime shifts are often completed within the span of a day, and coincide with dramatic changes in dollar, percentage and effective spreads. In most cases, we are unable to identify comparable changes in the costs of making markets. There are identified long-run changes in average prices that may provide a partial explanation. However, in this paper it is also found that these patterns are not shared by stocks traded in auction markets. |
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