IDEAS home Printed from https://ideas.repec.org/a/taf/eurjfi/v5y1999i1p51-71.html
   My bibliography  Save this article

Market structure and bid-ask spreads: IBIS vs Nasdaq

Author

Listed:
  • G. G. Booth
  • P. Iversen
  • S. K. Sarkar
  • H. Schmidt
  • A. Young

Abstract

A comparison is made between the bid-ask spreads of 30 high volume German stocks traded on IBIS and 30 high volume US stocks traded on Nasdaq. IBIS and Nasdaq are best described as agency and dealer auction markets, respectively. On average, the market spread for these IBIS and Nasdaq stocks is the same, but for the 10 most active stocks in each market, IBIS spreads are considerably lower. For these latter stocks, IBIS spreads change in a predictable manner throughout the day. Nasdaq spreads do not. The critical factor appears to be the unrestricted access of suppliers of immediacy that is distinctive for agency auction markets.

Suggested Citation

  • G. G. Booth & P. Iversen & S. K. Sarkar & H. Schmidt & A. Young, 1999. "Market structure and bid-ask spreads: IBIS vs Nasdaq," The European Journal of Finance, Taylor & Francis Journals, vol. 5(1), pages 51-71.
  • Handle: RePEc:taf:eurjfi:v:5:y:1999:i:1:p:51-71
    DOI: 10.1080/135184799337181
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/135184799337181
    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.

    References listed on IDEAS

    as
    1. 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.
    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. Christie William G. & Huang Roger D., 1994. "Market Structures and Liquidity: A Transactions Data Study of Exchange Listings," Journal of Financial Intermediation, Elsevier, vol. 3(3), pages 300-326, June.
    4. Tinic, Seha M. & West, Richard R., 1972. "Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(03), pages 1707-1727, June.
    5. George, Thomas J & Kaul, Gautam & Nimalendran, M, 1991. "Estimation of the Bid-Ask Spread and Its Components: A New Approach," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 623-656.
    6. Haller, Andreas & Stoll, Hans R., 1989. "Market structure and transaction costs: Implied spreads in the German stock market," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 697-708, September.
    7. Lau, Sie Ting & McInish, Thomas H., 1995. "Reducing tick size on the Stock Exchange of Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 3(4), pages 485-496, December.
    8. Anderson, Ronald W. & Tychon, Pierre, 1993. "Competition Among European Financial Markets : The Case of Cross-Listed Belgian Equities," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1993014, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    Full references (including those not matched with items on IDEAS)

    Citations

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


    Cited by:

    1. Theissen, Erik, 2003. "Organized equity markets in Germany," CFS Working Paper Series 2003/17, Center for Financial Studies (CFS).
    2. Oehler, Andreas & Häcker, Mirko, 2003. "Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt," Discussion Papers 20, University of Bamberg, Chair of Finance.

    More about this item

    Keywords

    Bid-ask Spreads; Germany; Nasdaq;

    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:taf:eurjfi:v:5:y:1999:i:1:p:51-71. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/REJF20 .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.