IDEAS home Printed from https://ideas.repec.org/a/kap/rqfnac/v14y2000i1p85-102.html
   My bibliography  Save this article

An Empirical Analysis of Quoted Depths of NYSE and Amex Stocks

Author

Listed:
  • Charoenwong, Charlie
  • Chung, Kee H

Abstract

In this study, we find strong intertemporal/cross-sectional correlations between quoted depths and various security characteristics for a sample of stocks listed on the NYSE and Amex. Our empirical results indicate that although specialists are generally unable to discern insider trading as it occurs, they cope with insider trading by posting smaller depths for stocks with a greater tendency of insider trading. Empirical evidence also indicates that specialists/limit order traders quote smaller depths for riskier stocks to limit potential losses to better-informed traders. In addition, we find that specialists/limit order traders quote larger depths for stocks with greater trading volume, larger market capitalization, and higher competition. Overall, our findings suggest that depths are an important means through which specialists and limit order traders deal with the adverse selection problem, order processing problem, and competition. Copyright 2000 by Kluwer Academic Publishers

Suggested Citation

  • Charoenwong, Charlie & Chung, Kee H, 2000. "An Empirical Analysis of Quoted Depths of NYSE and Amex Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 14(1), pages 85-102, January.
    • Handle: RePEc:kap:rqfnac:v:14:y:2000:i:1:p:85-102
    as

    Download full text from publisher

    File URL: http://journals.kluweronline.com/issn/0924-865X/contents
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gur Huberman & Dominika Halka, 2001. "Systematic Liquidity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 161-178, June.
    2. Chen, Jiayuan & Muckley, Cal B. & Bredin, Don, 2017. "Is information assimilated at announcements in the European carbon market?," Energy Economics, Elsevier, vol. 63(C), pages 234-247.
    3. Cheng, Louis & Firth, Michael & Leung, T.Y. & Rui, Oliver, 2006. "The effects of insider trading on liquidity," Pacific-Basin Finance Journal, Elsevier, vol. 14(5), pages 467-483, November.
    4. Pierre Collin-Dufresne & Vyacheslav Fos, 2012. "Do prices reveal the presence of informed trading?," NBER Working Papers 18452, National Bureau of Economic Research, Inc.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:rqfnac:v:14:y:2000:i:1:p:85-102. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.