How to Match Trades and Quotes for Nyse Stocks?
AbstractThis paper proposes a new procedure to determine the time of the prevailing quote relative to the time of the trade for NYSE stock data obtained from the TAQ database. The procedure tests whether the quote revision frequency around a trade is contaminated by quote revisions triggered by a trade, and then determines the smallest timing adjustment needed to eliminate this contamination. An application to various stocks and sample periods shows that the time difference between trade and quote reporting lags varies across stocks and time. The procedure takes this variation into account and hence offers a stock- and time-specific update to the Lee and Ready (1991) 5-second rule.
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Bibliographic InfoPaper provided by Katholieke Universiteit Leuven, Centrum voor Economische Studiën in its series Center for Economic Studies - Discussion papers with number ces0510.
Date of creation: Mar 2005
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-04-12 (All new papers)
- NEP-FMK-2008-04-12 (Financial Markets)
- NEP-MST-2008-04-12 (Market Microstructure)
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- Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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Society for Financial Econometrics, vol. 10(2), pages 390-415, 2012 04.
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