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Intraday Volatility on the NYSE and NASDAQ

In: Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb

Author

Listed:
  • Daniel G. Weaver

    (Rutgers Business School, Rutgers University, Piscataway, USA)

Abstract

This paper compares intraday volatility on two different market structures: specialist and multiple dealer. Return volatility based on 15-minute returns is compared for stocks trading on the NYSE and NASDAQ. It is hypothesized in the paper that the price continuity obligation of specialists will lead to lower volatility for stocks traded in that market structure. The results support the hypothesis. Regressions are performed to control for firm-specific variables. The results of the regressions do not alter the conclusions of the paper that a specialist-based market is associated with a lower level of volatility than a multiple dealer market.

Suggested Citation

  • Daniel G. Weaver, 2006. "Intraday Volatility on the NYSE and NASDAQ," World Scientific Book Chapters, in: Ivan E Brick & Tavy Ronen & Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb, chapter 6, pages 111-138, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812707291_0006
    as

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