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Order preferencing and market quality on NASDAQ before and after decimalization

  • Chung, Kee H.
  • Chuwonganant, Chairat
  • McCormick, D. Timothy
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    File URL: http://www.sciencedirect.com/science/article/pii/S0304-405X(03)00174-0
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    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 71 (2004)
    Issue (Month): 3 (March)
    Pages: 581-612

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    Handle: RePEc:eee:jfinec:v:71:y:2004:i:3:p:581-612
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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    1. Bessembinder, Hendrik, 2003. "Trade Execution Costs and Market Quality after Decimalization," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(04), pages 747-777, December.
    2. Benveniste, Lawrence M. & Marcus, Alan J. & Wilhelm, William J., 1992. "What's special about the specialist?," Journal of Financial Economics, Elsevier, vol. 32(1), pages 61-86, August.
    3. Eugene Kandel & Leslie M. Marx, 1999. "Payments for Order Flow on Nasdaq," Journal of Finance, American Finance Association, vol. 54(1), pages 35-66, 02.
    4. Chung, Kee H. & Van Ness, Bonnie F. & Van Ness, Robert A., 2001. "Can the Treatment of Limit Orders Reconcile the Differences in Trading Costs between the Differences in Trading Costs between NYSE and Nasdaq Issues?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(02), pages 267-286, June.
    5. Seppi, Duane J, 1990. " Equilibrium Block Trading and Asymmetric Information," Journal of Finance, American Finance Association, vol. 45(1), pages 73-94, March.
    6. Chordia, Tarun & Subrahmanyam, Avanidhar, 1995. "Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence," The Journal of Business, University of Chicago Press, vol. 68(4), pages 543-75, October.
    7. McInish, Thomas H & Wood, Robert A, 1992. " An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-64, June.
    8. David C. Porter & Daniel G. Weaver, 1997. "Tick Size and Market Quality," Financial Management, Financial Management Association, vol. 26(4), Winter.
    9. Robert Battalio & Robert Jennings & Jamie Selway, 2001. "The Relationship Among Market-Making Revenue, Payment for Order Flow, and Trading Costs for Market Orders," Journal of Financial Services Research, Springer;Western Finance Association, vol. 19(1), pages 39-56, February.
    10. Hans R. Stoll, 2000. "Presidential Address: Friction," Journal of Finance, American Finance Association, vol. 55(4), pages 1479-1514, 08.
    11. Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, vol. 41(3), pages 313-357, July.
    12. Kandel, Eugene & Marx, Leslie M., 1997. "Nasdaq market structure and spread patterns," Journal of Financial Economics, Elsevier, vol. 45(1), pages 61-89, July.
    13. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-46, June.
    14. Battalio, Robert & Greene, Jason & Jennings, Robert, 1997. "Do Competing Specialists and Preferencing Dealers Affect Market Quality?," Review of Financial Studies, Society for Financial Studies, vol. 10(4), pages 969-93.
    15. Oliver Hansch & Narayan Y. Naik & S. Viswanathan, 1999. "Preferencing, Internalization, Best Execution, and Dealer Profits," Journal of Finance, American Finance Association, vol. 54(5), pages 1799-1828, October.
    16. Lucy F. Ackert & Bryan K. Church, 1998. "Bid-ask spreads in multiple dealer settings: Some experimental evidence," FRB Atlanta Working Paper 98-9, Federal Reserve Bank of Atlanta.
    17. Dutta, Prajit K & Madhavan, Ananth, 1997. " Competition and Collusion in Dealer Markets," Journal of Finance, American Finance Association, vol. 52(1), pages 245-76, March.
    18. Godek, Paul E., 1996. "Why Nasdaq market makers avoid odd-eighth quotes," Journal of Financial Economics, Elsevier, vol. 41(3), pages 465-474, July.
    19. Blume, Marshall E & Goldstein, Michael A, 1997. " Quotes, Order Flow, and Price Discovery," Journal of Finance, American Finance Association, vol. 52(1), pages 221-44, March.
    20. 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.
    21. Roger D. Huang, 2002. "The Quality of ECN and Nasdaq Market Maker Quotes," Journal of Finance, American Finance Association, vol. 57(3), pages 1285-1319, 06.
    22. Bessembinder, Hendrik, 1999. "Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(03), pages 387-407, September.
    23. Bessembinder, Hendrik, 2003. "Quote-based competition and trade execution costs in NYSE-listed stocks," Journal of Financial Economics, Elsevier, vol. 70(3), pages 385-422, December.
    24. Kluger, Brian D. & Wyatt, Steve B., 2002. "Preferencing, Internalization of Order Flow, and Tacit Collusion: Evidence from Experiments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(03), pages 449-469, September.
    25. Mark A. Peterson & Erik R. Sirri, 2003. "Order Preferencing and Market Quality on U.S. Equity Exchanges," Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 385-415.
    26. Bloomfield, Robert & O'Hara, Maureen, 1998. "Does order preferencing matter?," Journal of Financial Economics, Elsevier, vol. 50(1), pages 3-37, October.
    27. Battalio, Robert & Jennings, Robert & Selway, Jamie, 2001. "The potential for clientele pricing when making markets in financial securities," Journal of Financial Markets, Elsevier, vol. 4(1), pages 85-112, January.
    28. Klock, Mark & McCormick, D Timothy, 1999. "The Impact of Market Maker Competition on Nasdaq Spreads," The Financial Review, Eastern Finance Association, vol. 34(4), pages 55-73, November.
    29. Matthew Rhodes-Kropf, 2005. "Price Improvement in Dealership Markets," The Journal of Business, University of Chicago Press, vol. 78(4), pages 1137-1172, July.
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