haku: @author Harris, J. H. / yhteensä: 5
viite: 4 / 5
| Tekijä: | Harris, J. H. Schultz, P. H. |
| Otsikko: | The importance of firm quotes and rapid executions: Evidence from the January 1994 SOES rules change |
| Lehti: | Journal of Financial Economics
1997 : JUL, VOL. 45:1, p. 135-166 |
| Asiasana: | FINANCIAL MARKET TRADING COMPANIES DECISION MAKING |
| Kieli: | eng |
| Tiivistelmä: | Dramatic changes were found in the way stocks were traded on Nasdaq when the regulatory maximum SOES order size declined from 1000 shares to 500 shares. When the change took place, 500-share orders became more common, displayed more clustering in time, and had a greater impact on stock prices. The opposite results appeared for 1000-share trades. However 1000-share trades remained a significant proportion of all trades after they were no longer eligible for SOES execution. Stock prices continued to be particularly sensitive to 1000-share trades and they continued to be clustered in time. For many traders calling a Nasdaq market-maker to sell or buy is poor substitute for submitting an order electronically through SOES. SOES allows faster execution and prevents dealers from backing away. |
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