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The Trades of Market Makers: An Empirical Analysis of NYSE Specialists

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  • Hasabrouck, Joel
  • Sofianos, George

Abstract

This paper presents a transaction-level empirical analysis of the trading activities of New York Stock Exchange specialists. The main findings of the analysis are the following: adjustment lags in inventories vary across stocks and are in some cases as long as one or two months; decomposition of specialist trading profits by trading horizon shows that the principal source of these profits is short term; an analysis of the dynamic relations among inventories, signed order flow, and quote changes suggests that trades in which the specialist participates have a higher immediate impact on the quotes than trades with no specialist participation. Copyright 1993 by American Finance Association.

Suggested Citation

  • Hasabrouck, Joel & Sofianos, George, 1993. " The Trades of Market Makers: An Empirical Analysis of NYSE Specialists," Journal of Finance, American Finance Association, vol. 48(5), pages 1565-1593, December.
  • Handle: RePEc:bla:jfinan:v:48:y:1993:i:5:p:1565-93
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