WHY DID NASDAQ MARKET MAKERS STOP AVOIDING ODD-8TH QUOTES

被引：138

作者：

CHRISTIE, WG ^{[1
]}

HARRIS, JH ^{[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：

10.2307/2329273

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

On May 26 and 27, 1994 several national newspapers reported the findings of Christie and Schultz (1994) who cannot reject the hypothesis that market makers of active NASDAQ stocks implicitly colluded to maintain spreads of at least $0.25 by avoiding odd-eighth quotes. On May 27, dealers in Amgen, Cisco Systems, and Microsoft sharply increased their use of odd-eighth quotes, and mean inside and effective spreads fell nearly 50 percent. This pattern was repeated for Apple Computer the following trading day. Using individual dealer quotes for Apple and Microsoft, we find that virtually all dealers moved in unison to adopt odd-eighth quotes.

引用

页码：1841 / 1860

页数：20

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