WHY DO NASDAQ MARKET MAKERS AVOID ODD-8TH QUOTES

被引：357

作者：

CHRISTIE, WG ^{[1
]}

SCHULTZ, PH ^{[1
]}

机构：

[1] OHIO STATE UNIV, MAX FISHER COLL BUSINESS, COLUMBUS, OH 43210 USA

来源：

JOURNAL OF FINANCE | 1994年 / 49卷 / 05期

关键词：

D O I：

10.2307/2329272

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The NASDAQ multiple dealer market is designed to produce narrow bid-ask spreads through the competition for order flow among individual dealers. However, we find that odd-eighth quotes are virtually nonexistent for 70 of 100 actively traded NASDAQ securities, including Apple Computer and Lotus Development. The lack of odd-eighth quotes cannot be explained by the negotiation hypothesis of Harris (1991), trading activity, or other variables thought to impact spreads. This result implies that the inside spread for a large number of NASDAQ stocks is at least $0.25 and raises the question of whether NASDAQ dealers implicitly collude to maintain wide spreads.

引用

页码：1813 / 1840

页数：28

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