Advanced Search
MyIDEAS: Login

Regulatory and Legal Pressures and the Costs of Nasdaq Trading

Contents:

Author Info

  • Schultz, Paul
Registered author(s):

    Abstract

    The Nasdaq market came under intense pressure from regulators and class-action lawsuits following allegations of tacit collusion by Christie and Schultz (1994). This article examines the changes in transaction costs on the Nasdaq from January 1993 through June 1996 using 16 million trades in 30 stocks. Effective spreads cannot be matched. However, the autocovariance spread estimator of Roll (1984) works well with intraday data over this period. This spread estimator reveals that trading costs declined significantly for 29 of the 30 stocks over 1993-96. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Article provided by Society for Financial Studies in its journal Review of Financial Studies.

    Volume (Year): 13 (2000)
    Issue (Month): 4 ()
    Pages: 917-57

    as in new window
    Handle: RePEc:oup:rfinst:v:13:y:2000:i:4:p:917-57

    Contact details of provider:
    Postal: Oxford University Press, Journals Department, 2001 Evans Road, Cary, NC 27513 USA.
    Fax: 919-677-1714
    Email:
    Web page: http://www.rfs.oupjournals.org/
    More information through EDIRC

    Order Information:
    Web: http://www4.oup.co.uk/revfin/subinfo/

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

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

    Cited by:
    1. Mohamed Arouri & Amal Aouadi & Philippe Foulquier & Frédéric Teulon, 2013. "Can Information Demand Help to Predict Stock Market Liquidity ? Google it !," Working Papers 2013-024, Department of Research, Ipag Business School.
    2. Fink, Jason & Fink, Kristin E. & Weston, James P., 2006. "Competition on the Nasdaq and the growth of electronic communication networks," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2537-2559, September.
    3. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004. "Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications," IDEI Working Papers 253, Institut d'Économie Industrielle (IDEI), Toulouse.
    4. Chung, Dennis Y. & Hrazdil, Karel, 2010. "Liquidity and market efficiency: Analysis of NASDAQ firms," Global Finance Journal, Elsevier, vol. 21(3), pages 262-274.
    5. Shin S. Ikeda, 2013. "An Empirical Market Microstructure Analysis of the Implied Spread Cost in the Japanese Day-Ahead Electricity Market," GRIPS Discussion Papers 12-22, National Graduate Institute for Policy Studies.
    6. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2011. "Recent trends in trading activity and market quality," Journal of Financial Economics, Elsevier, vol. 101(2), pages 243-263, August.
    7. repec:ipg:wpaper:24 is not listed on IDEAS
    8. Goyenko, Ruslan Y. & Holden, Craig W. & Trzcinka, Charles A., 2009. "Do liquidity measures measure liquidity?," Journal of Financial Economics, Elsevier, vol. 92(2), pages 153-181, May.
    9. Bessembinder, Hendrik, 2003. "Issues in assessing trade execution costs," Journal of Financial Markets, Elsevier, vol. 6(3), pages 233-257, May.
    10. Henker, Thomas & Wang, Jian-Xin, 2006. "On the importance of timing specifications in market microstructure research," Journal of Financial Markets, Elsevier, vol. 9(2), pages 162-179, May.
    11. Loistl, Otto & Schossmann, Bernd & Veverka, Alexander, 2004. "Tick size and spreads: The case of Nasdaq's decimalization," European Journal of Operational Research, Elsevier, vol. 155(2), pages 317-334, June.
    12. Hanna, J. Douglas & Ready, Mark J., 2005. "Profitable predictability in the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(3), pages 463-505, December.
    13. Mario Anolli & Giovanni Petrella, 2008. "Qualità della negoziazione e tutela dell'investitore," Rivista di Politica Economica, SIPI Spa, vol. 98(1), pages 295-353, January-F.
    14. Stoll, Hans R. & Schenzler, Christoph, 2006. "Trades outside the quotes: Reporting delay, trading option, or trade size?," Journal of Financial Economics, Elsevier, vol. 79(3), pages 615-653, March.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:oup:rfinst:v:13:y:2000:i:4:p:917-57. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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