haku: @author Porter, D. / yhteensä: 5
viite: 3 / 5
| Tekijä: | Porter, D. Thatcher, J. |
| Otsikko: | Fragmentation, competition and limit orders: new evidence from interday spreads |
| Lehti: | Quarterly Review of Economics and Finance
1998 : SPRING, VOL. 38:1, p. 111-128 |
| Asiasana: | MARKETING FINANCE COMPETITION |
| Kieli: | eng |
| Tiivistelmä: | Daily spreads for NYSE stocks with average spreads likely set by the specialist, are found to exhibit spread behavior consistent with the fragmentation hypothesis - volume increases off board widen NYSE spreads. Stocks with average spreads likely dominated by limit orders exhibit a competition effect in 1987, but a fragmentation effect in 1988 and 1989 - volume increases off decrease NYSE volume, also widening NYSE spreads. As in previous research, increases in total volume are found to decrease NYSE spreads. |
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