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Differences in Trading Behavior across NYSE Specialist Firms
Author(s) -
Corwin Shane A.
Publication year - 1999
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/0022-1082.00123
Subject(s) - market liquidity , business , volatility (finance) , market maker , monetary economics , sample (material) , order (exchange) , competition (biology) , financial economics , economics , finance , stock market , ecology , chemistry , chromatography , biology , paleontology , horse
Using a sample of NYSE‐listed equities from 1992, this study examines whether market maker performance differs across specialist firms. We find that spreads and depth differ across specialist firms, but the competitiveness of NYSE quotes relative to other exchanges does not appear to be affected by these differences. Differences are also evident in measures of transitory volatility and in the frequency and duration of order‐imbalance trading halts. The results suggest that specialists have a significant effect on execution costs, liquidity, and noise in security prices and that these effects are not completely eliminated by competition or the NYSE's monitoring mechanisms.