The DOI matches its Crossref record; 8 of the 8 references it cites were found in a registry or an index.
Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks
Abstract
The relative merits of dealer versus auction markets have been a subject of significant and sometimes contentious debate. On January 20, 1997, the Securities and Exchange Commission began implementing reforms that would permit the public to compete directly with Nasdaq dealers by submitting binding limit orders. Additionally, superior quotes placed by Nasdaq dealers in private trading venues began to be displayed in the Nasdaq market. We measure the impact of these new rules on various measures of performance, including trading costs and depths. Our results indicate that quoted and effective spreads fell dramatically without adversely affecting market quality.
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Citations
Cites
Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE
Huang, R. D., & Stoll, H. R. (1996) · Journal of Financial Economics · doi:10.1016/0304-405x(95)00867-e · Cited by 1,009
An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks
McInish, T. H., & Wood, R. J. K. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04408.x · Cited by 879
Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?
Christie, W. G., & Schultz, P. H. (1994) · The Journal of Finance · doi:10.1111/j.1540-6261.1994.tb04782.x · Cited by 710
Self-citationWhy Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes?
Christie, W. G., Harris, J. H., & Schultz, P. H. (1994) · The Journal of Finance · doi:10.1111/j.1540-6261.1994.tb04783.x · Cited by 322
Self-citationMarket Structures and Liquidity: A Transactions Data Study of Exchange Listings
Christie, W. G., & Huang, R. D. (1994) · Journal of Financial Intermediation · doi:10.1006/jfin.1994.1008 · Cited by 198
Self-citationThe trading profits of SOES bandits
Harris, J. H., & Schultz, P. H. (1998) · Journal of Financial Economics · doi:10.1016/s0304-405x(98)00031-2 · Cited by 113
Self-citationEntry, Exit, Market Makers, and the Bid-Ask Spread
Wahal, S. (1997) · Review of Financial Studies · doi:10.1093/rfs/10.3.871 · Cited by 99
Harris, J. H., & Schultz, P. H. (1997) · Journal of Financial Economics · doi:10.1016/s0304-405x(97)00013-5 · Cited by 54
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Cited by
Huberman, G. (2001) · Review of Financial Studies · doi:10.1093/rfs/14.3.659 · Cited by 1,910
IVKOVIĆ, Z., & WEISBENNER, S. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00730.x · Cited by 1,310
The Accuracy of Trade Classification Rules: Evidence from Nasdaq
Ellis, K., Michaely, R., & O'Hara, M. (2000) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2676254 · Cited by 454
The common factor in idiosyncratic volatility: Quantitative asset pricing implications
Herskovic, B., Kelly, B., Lustig, H., & Van Nieuwerburgh, S. (2016) · Journal of Financial Economics · doi:10.1016/j.jfineco.2015.09.010 · Cited by 398
A simple approximation of intraday spreads using daily data
Chung, K. H., & Zhang, H. (2014) · Journal of Financial Markets · doi:10.1016/j.finmar.2013.02.004 · Cited by 339
Metadata
- Authors
- Barclay, M. J., Christie, W. G., Harris, J. H., Kandel, E., & Schultz, P. H.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1999-02
- Volume
- 54
- Issue
- 1
- Pages
- 1-34
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2081012805
- Cited by
- 326
- References
- 8
- FWCI
- 38.28
- Type
- journal article
- Language
- en
- Open access
- closed
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- Barclay, M. J., Christie, W. G., Harris, J. H., Kandel, E., & Schultz, P. H. (1999). Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks. The Journal of Finance. https://doi.org/10.1111/0022-1082.00097
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
