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 bid-ask spread is wide. Near the close of trading, quoted depth is large and the bid-ask 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 language | English |
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Title of host publication | Proceedings of the EFMA 2010 Annual Meetings |
Publisher | EFMA |
Pages | 1-13 |
Number of pages | 13 |
Publication status | Published - 2010 |
Event | European Finance Management Association 2010 Annual Meetings (19th : 2010) - Aarhus, Denmark Duration: 23 Jun 2010 → 26 Jun 2010 |
Conference
Conference | European Finance Management Association 2010 Annual Meetings (19th : 2010) |
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City | Aarhus, Denmark |
Period | 23/06/10 → 26/06/10 |