The next tick on Nasdaq: Does level II information matter?

The Nasdaq stock market provides information about buying and selling interest in what is called the Level II display. Using a bivariate VAR model of trades and quotes, I assess the effect of Level II prices and depths on short-run quote dynamics. I also determine the influence of individual market makers and electronic networks and find evidence of strategic behavior. Finally, I produce a set of dynamic market price responses to buy and sell orders, and I find that these estimates vary with standard measures of liquidity.

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Year of publication:	2002
Authors:	Mizrach, Bruce
Publisher:	New Brunswick, NJ : Rutgers University, Department of Economics
Subject:	Aktienmarkt \| Schätzung \| USA \| Neuer Markt \| Börsennotierung \| Level II \| microstructure \| Nasdaq \| tick

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Series:	Working Paper ; 2002-02
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	349906300 [GVK] hdl:10419/79161 [Handle] RePEc:rut:rutres:200202 [RePEc]
Classification:	G14 - Information and Market Efficiency; Event Studies
Source:	EconStor

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