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| Author: | Chung, K.H. Zhao, X. |
| Title: | Intraday variation in the bid-ask spread: evidence after the market reform |
| Journal: | Journal of Financial Research
2003 : SUMMER, VOL. 26:2, p. 191-206 |
| Index terms: | Stock market listing |
| Freeterms: | Bid-ask spreads Intraday variation |
| Language: | eng |
| Abstract: | It is shown in this paper that intraday variation in spreads for Nasdaq-listed stocks has converged to intraday variation is spreads for NYSE-listed stocks after the implementation of the new order-handling. This convergence is attributed to the Limit Order Display Rule, which requires that limit orders be displayed in Nasdaq best bid and offer when they are better than quotes posted by market makers. The findings suggest that the different patterns of intraday spreads between NYSE and Nasdaq stocks reported previously can largely be attributed to the different treatment of limit orders between the NYSE and Nasdaq before the market reform. |
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