haku: @author Madhavan, A. / yhteensä: 15
viite: 6 / 15
| Tekijä: | Madhavan, A. Sofianos, G. |
| Otsikko: | An empirical analysis of NYSE specialist trading. |
| Lehti: | Journal of Financial Economics
1998 : MAY, VOL. 48:2, p. 189-210 |
| Asiasana: | STOCK EXCHANGES FINANCIAL MARKET TRADING TRANSACTION COSTS |
| Kieli: | eng |
| Tiivistelmä: | This paper examines empirically the magnitude and determinants of dealer trading by NYSE market makers(specialists) across stocks and over time. Across stocks, specialist dealer trading varies widely and is inversely related to trading volume and proxies for off-exchange competition. Over time in an individual stock, specialists participate more actively as sellers (buyers) when holding long (short) inventory positions. This results suggest that dealers control their inventory positions by selectively timing the size and direction of their trades rather than by adjusting their quotes. Further, specialists participate more in smaller trades and when the bid-ask spread is wide. |
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