Why Nasdaq market makers avoid odd-eighth quotes

被引：42
|
作者：
Godek, PE
机构：
[1] Economists Incorporated, Washington
来源：
JOURNAL OF FINANCIAL ECONOMICS | 1996年 / 41卷 / 03期
关键词：
NASDAQ market markers; quotes; spreads; preference trading; collusion;
D O I：
10.1016/0304-405X(95)00863-A
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Recent studies argue that implicit collusion explains the tendency of Nasdaq market makers to avoid odd-eighth price quotes. This paper focuses on the role that preference trading plays in determining quoted spreads, Under the postulated effects of preference trading, an analysis of the relation between spreads and price fractions explains the paucity of odd-eighth quotes on Nasdaq. Empirical results from a comprehensive data set show that exogenous economic characteristics explain the distribution of price fractions across securities, and illustrate the stability of that distribution over time. These results contradict empirical results offered as support for the collusion hypothesis.
引用
收藏
页码：465 / 474
页数：10
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