Intraday patterns in quoted depth on the Nasdaq

Anthony Flint, Alex Frino, Dionigi Gerace, Andrew Lepone

Research output: Contribution to journalArticle

Abstract

This study is the first to examine intraday variations in quoted depth on the Nasdaq, a competitive dealer market. Consistent with prior literature, we document a negative association between the intraday patterns in quoted depth and the bid-ask spread. At the open of trading, quoted depth is low and the bidask spread is wide. Near the close of trading, quoted depth is large and the bidask spread is narrow. The pattern in spreads and depth at the close of trading on the Nasdaq is the opposite of that reported on specialist and order-driven markets. This difference is attributed to Nasdaq dealers using both the price and the quantity of quotes to manage inventory levels at the close of trading.
Original languageEnglish
Pages (from-to)6764-6782
Number of pages20
Journal International Journal of Finance
Volume23
Issue number2
Publication statusPublished - 2011
Externally publishedYes

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