IDEAS home Printed from https://ideas.repec.org/a/bla/finrev/v44y2009i3p311-344.html
   My bibliography  Save this article

An Analysis of Individual NYSE Specialist Portfolios and Execution Quality

Author

Listed:
  • Jerry W. Liu

Abstract

The value of specialist assistance to the trading of low‐volume stocks has important implications in exchange design. We study the relation between the structure of individual specialist portfolios and the transitory volatility of low‐volume stocks in these portfolios under the traditional NYSE auction‐dealer market structure. We find that the trading quality for inactive stocks is positively related to the trading volume of active stocks in the same specialist portfolios. These results are consistent with specialist subsidization of low‐volume stocks in their portfolios and suggest that specialists provide important support to the trading of inactive stocks if they have the resources.

Suggested Citation

  • Jerry W. Liu, 2009. "An Analysis of Individual NYSE Specialist Portfolios and Execution Quality," The Financial Review, Eastern Finance Association, vol. 44(3), pages 311-344, August.
  • Handle: RePEc:bla:finrev:v:44:y:2009:i:3:p:311-344
    DOI: 10.1111/j.1540-6288.2009.00220.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1540-6288.2009.00220.x
    Download Restriction: no

    File URL: https://libkey.io/10.1111/j.1540-6288.2009.00220.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Menkveld, Albert J. & Wang, Ting, 2013. "How do designated market makers create value for small-caps?," Journal of Financial Markets, Elsevier, vol. 16(3), pages 571-603.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:finrev:v:44:y:2009:i:3:p:311-344. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/efaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.