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.
|Title of host publication||Proceedings of the EFMA 2010 Annual Meetings|
|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||European Finance Management Association 2010 Annual Meetings (19th : 2010)|
|Period||23/06/10 → 26/06/10|