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| Author: | Stoll, H.R. Schenzler, C. |
| Title: | Trades outside the quotes: Reporting delay, trading option, or trade size? |
| Journal: | Journal of Financial Economics
2006 : MAR, VOL. 79:3, p. 615-653 |
| Index terms: | market structure stock markets trading transaction costs |
| Language: | eng |
| Abstract: | This article examines why trades outside the quotes are observed. The data is from the NYSE and Nasdaq from the period between 1993 and 2002 when quoted and effective spreads declined substantially, especially on Nasdaq. Meanwhile, trades outside the quotes increased dramatically on Nasdaq. According to the authors, outside trades occur on Nasdaq because of delays in reporting trades, the ability of dealers, and because large trades can take place at prices outside the quotes. |
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