Order consolidation, price efficiency, and extreme liquidity shocks

被引：39

作者：

Barclay, Michael J. ^{[1
]}

Hendershott, Terrence ^{[2
]}

Jones, Charles M. ^{[3
]}

机构：

[1] Univ Rochester, Simon Sch Business, Rochester, NY 14627 USA

[2] Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA

[3] Columbia Univ, Grad Sch Business, New York, NY 10027 USA

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2008年 / 43卷 / 01期

关键词：

D O I：

10.1017/S0022109000002763

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We show that the consolidation of orders is important for producing efficient prices, especially during times of high liquidity demand. The NYSE's centralized opening call market performs better than Nasdaq's decentralized opening process on typical trading days. The NYSE is much better than Nasdaq on witching days when index arbitrage activity subjects S&P 500 stocks to large, predictable, and mostly informationless order flow around quarterly futures contract expirations. Nasdaq opening price efficiency improves to NYSE levels once Nasdaq initiates a consolidated opening call in November 2004, but prices on the decentralized Nasdaq remain less efficient at other times of day.

引用

页码：93 / 121

页数：29

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