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| Author: | Chung, K.H. Ness, R.A. van |
| Title: | Order handling rules, tick size, and the intraday pattern of bid-ask spreads for Nasdaq stocks |
| Journal: | Journal of Financial Markets
2001 : APR, VOL. 4:2, p. 143-161 |
| Index terms: | |
| Freeterms: | INTRADAY VARIATION SPREADS TRADING COSTS |
| Language: | eng |
| Abstract: | In this study the authors perform a before-and-after analysis of intraday variation in bid-ask spreads surrounding two recent Nasdaq market reforms. They find that spreads declined significantly after the order handling rule changes and the magnitude of the decline is largest during midday. |
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