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A Comparison of Transaction Costs between Competitive Market Maker and Specialist Market Structures

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Author Info
Neal, Robert
Abstract

This study compares bid-ask spreads for equity options in two market structures: the American Stock Exchange specialist structure and the Chicago Board Options Exchange competitive market maker structure. When trading volume is low, the specialist structure is associated with significantly smaller spreads. As volume rises, this difference appears to diminish. These results are consistent with those of S. Grossman and M. Miller (1988). Copyright 1992 by University of Chicago Press.

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Publisher Info
Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 65 (1992)
Issue (Month): 3 (July)
Pages: 317-34
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Handle: RePEc:ucp:jnlbus:v:65:y:1992:i:3:p:317-34

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  1. C. V. Helliar, R. Michaelson, D. M. Power, C. D. Sinclair, 2000. "Using a portfolio management game (Finesse) to teach finance," Accounting Education, Taylor and Francis Journals, vol. 9(1), pages 37-51, March. [Downloadable!] (restricted)
  2. Amber Anand & Carsten Tanggaard & Daniel G. Weaver, 2007. "Paying for Market Quality," CREATES Research Papers 2007-04, School of Economics and Management, University of Aarhus. [Downloadable!]
  3. Louis K. C. Chan & Josef Lakonishok, 1995. "A Cross-Market Comparison of Institutional Equity Trading Costs," NBER Working Papers 5374, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Lucy F. Ackert & Bryan K. Church, 1998. "Competitiveness and price setting in dealer markets," Economic Review, Federal Reserve Bank of Atlanta, issue Q 3, pages 4-11. [Downloadable!]
  5. THEISSEN, Erik, 1999. "Floor versus Screen Trading : Evidence from the German Stock Market," Les Cahiers de Recherche 690, HEC Paris. [Downloadable!]
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