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| Tekijä: | Kavajecz, K. A. Odders-White, E. R. |
| Otsikko: | An Examination of Changes in Specialists' Posted Price Schedules |
| Lehti: | Review of Financial Studies
2001 : AUTUMN, VOL. 14:3, p. 681-704 |
| Asiasana: | FINANCE PRICES CHANGE EXAMINATIONS |
| Kieli: | eng |
| Tiivistelmä: | New York Stock Exchange specialists disseminate information to market participants by displaying price schedules consisting of bid prices, ask prices, bid depths, and ask depths. The authors examine how specialists update these price schedules in a simultaneous equations model. The authors find that changes in the best prices and depths on the limit order book have a significant impact on the posted price schedule, while the effects of transactions and order activity are secondary. Furthermore, the authors show that specialists revise prices and depths differently, but find no evidence that they revise the price schedule in response to changes in inventory. First the paper considers the empirical model, and then the data and methodology are discussed. |
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