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Depth improvement and adjusted price improvement on the New York stock exchange

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  • Bacidore, Jeffrey M.
  • Battalio, Robert H.
  • Jennings, Robert H.

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  • Bacidore, Jeffrey M. & Battalio, Robert H. & Jennings, Robert H., 2002. "Depth improvement and adjusted price improvement on the New York stock exchange," Journal of Financial Markets, Elsevier, vol. 5(2), pages 169-195, April.
    • Handle: RePEc:eee:finmar:v:5:y:2002:i:2:p:169-195
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    1. Kenneth A. Kavajecz, 1999. "A Specialist's Quoted Depth and the Limit Order Book," Journal of Finance, American Finance Association, vol. 54(2), pages 747-771, April.
    2. Stoll, Hans R, 1978. "The Supply of Dealer Services in Securities Markets," Journal of Finance, American Finance Association, vol. 33(4), pages 1133-1151, September.
    3. Harris, Lawrence E, 1994. "Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes," The Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 149-178.
    4. Paul Schultz, 2000. "Stock Splits, Tick Size, and Sponsorship," Journal of Finance, American Finance Association, vol. 55(1), pages 429-450, February.
    5. Ahn, Hee-Joon & Cao, Charles Q. & Choe, Hyuk, 1996. "Tick Size, Spread, and Volume," Journal of Financial Intermediation, Elsevier, vol. 5(1), pages 2-22, January.
    6. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    7. Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
    8. Shane A. Corwin & Marc L. Lipson, 2000. "Order Flow and Liquidity around NYSE Trading Halts," Journal of Finance, American Finance Association, vol. 55(4), pages 1771-1801, August.
    9. Goldstein, Michael A. & A. Kavajecz, Kenneth, 2000. "Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE," Journal of Financial Economics, Elsevier, vol. 56(1), pages 125-149, April.
    10. Bessembinder, Hendrik & Kaufman, Herbert M., 1997. "A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks," Journal of Financial Economics, Elsevier, vol. 46(3), pages 293-319, December.
    11. Lee, Charles M C, 1993. "Market Integration and Price Execution for NYSE-Listed Securities," Journal of Finance, American Finance Association, vol. 48(3), pages 1009-1038, July.
    12. Madhavan, Ananth & Sofianos, George, 1998. "An empirical analysis of NYSE specialist trading," Journal of Financial Economics, Elsevier, vol. 48(2), pages 189-210, May.
    13. Blume, M.E. & Goldstein, M.A., 1991. "Differences in execution Prices among the Nyse, the Regionals and the NASD," Weiss Center Working Papers 4-92, Wharton School - Weiss Center for International Financial Research.
    14. Lee, Charles M C & Mucklow, Belinda & Ready, Mark J, 1993. "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 345-374.
    15. Ahn, Hee-Joon & Cao, Charles Q. & Choe, Hyuk, 1998. "Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities," Journal of Financial Markets, Elsevier, vol. 1(1), pages 51-87, April.
    16. Ho, Thomas & Stoll, Hans R., 1981. "Optimal dealer pricing under transactions and return uncertainty," Journal of Financial Economics, Elsevier, vol. 9(1), pages 47-73, March.
    17. repec:bla:jfinan:v:55:y:2000:i:4:p:1771-1805 is not listed on IDEAS
    18. Macey, Jonathan R. & O'Hara, Maureen, 1997. "The Law and Economics of Best Execution," Journal of Financial Intermediation, Elsevier, vol. 6(3), pages 188-223, July.
    19. David C. Porter & Daniel G. Weaver, 1997. "Tick Size and Market Quality," Financial Management, Financial Management Association, vol. 26(4), Winter.
    20. Petersen, Mitchell A. & Fialkowski, David, 1994. "Posted versus effective spreads *1: Good prices or bad quotes?," Journal of Financial Economics, Elsevier, vol. 35(3), pages 269-292, June.
    21. Battalio, Robert & Greene, Jason & Jennings, Robert, 1998. "Order Flow Distribution, Bid-Ask Spreads, and Liquidity Costs: Merrill Lynch's Decision to Cease Routinely Routing Orders to Regional Stock Exchanges," Journal of Financial Intermediation, Elsevier, vol. 7(4), pages 338-358, October.
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    Cited by:

    1. Desgranges, Gabriel & Foucault, Thierry, 2005. "Reputation-based pricing and price improvements," Journal of Economics and Business, Elsevier, vol. 57(6), pages 493-527.
    2. Kaun Y. Lee & Kee H. Chung, 2009. "Information-Based Trading and Price Improvement," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(5-6), pages 754-773.
    3. Bacidore, Jeffrey & Ross, Katharine & Sofianos, George, 2003. "Quantifying market order execution quality at the New York stock exchange," Journal of Financial Markets, Elsevier, vol. 6(3), pages 281-307, May.
    4. Sohail Rizwan, 2019. "Corporate Frauds, Information Asymmetry and Stock Market Reaction," Global Regional Review, Humanity Only, vol. 4(2), pages 126-133, June.
    5. George Tannous & Juan Wang & Craig Wilson, 2013. "The Intraday Pattern of Information Asymmetry, Spread, and Depth: Evidence from the NYSE," International Review of Finance, International Review of Finance Ltd., vol. 13(2), pages 215-240, June.
    6. Oleh Danyliv & Bruce Bland & Daniel Nicholass, 2014. "Convenient liquidity measure for Financial markets," Papers 1412.5072, arXiv.org.
    7. Kaun Y. Lee & Kee H. Chung, 2009. "Information‐Based Trading and Price Improvement," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(5‐6), pages 754-773, June.
    8. Chung, Kee H. & Chuwonganant, Chairat & McCormick, D. Timothy, 2004. "Order preferencing and market quality on NASDAQ before and after decimalization," Journal of Financial Economics, Elsevier, vol. 71(3), pages 581-612, March.
    9. Roberto Pascual & Alvaro Escribano & Mikel Tapia, 2004. "On the bi-dimensionality of liquidity," The European Journal of Finance, Taylor & Francis Journals, vol. 10(6), pages 542-566.
    10. Collver, Charles D., 2007. "Is there less informed trading after regulation fair disclosure?," Journal of Corporate Finance, Elsevier, vol. 13(2-3), pages 270-281, June.
    11. Amiram, Dan & Owens, Edward & Rozenbaum, Oded, 2016. "Do information releases increase or decrease information asymmetry? New evidence from analyst forecast announcements," Journal of Accounting and Economics, Elsevier, vol. 62(1), pages 121-138.
    12. KwangJoo Koo & Daewon Kim, 2014. "Financial Restatements, Information Asymmetry, and Market Liquidity," Accounting and Finance Research, Sciedu Press, vol. 3(3), pages 1-71, August.
    13. Atanasova, Christina & Li, Mingxin, 2018. "Multi-market trading and liquidity: Evidence from cross-listed companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 117-138.

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