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Can the Treatment of Limit Orders Reconcile the Differences in Trading Costs between the Differences in Trading Costs between NYSE and Nasdaq Issues?

Chung, Kee H.; Ness, Bonnie F. Van; Ness, Robert A. Van - In: Journal of Financial and Quantitative Analysis 36 (2001) 02, pp. 267-286

In this paper, we determine whether each bid (ask) quote reflects the trading interest of the specialist, limit order traders, or both for a sample of NYSE stocks in 1991. We then compare Nasdaq spreads with NYSE spreads that reflect the trading interest of the specialist. Our empirical results...

Persistent link: https://www.econbiz.de/10005139057

Information Content of Earnings Announcements: Evidence from After-Hours Trading

Jiang, Christine X.; Likitapiwat, Tanakorn; McInish, … - In: Journal of Financial and Quantitative Analysis 47 (2012) 06, pp. 1303-1330

We study after-hours trading (AHT), price contributions, and price discovery following quarterly earnings announcements released outside of the normal trading hours. For Standard & Poor’s (S&P) 500 index stocks from 2004–2008, AHT is heightened on announcement days. A significant portion of...

Persistent link: https://www.econbiz.de/10011120766

Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets

deB. Harris, Frederick H.; McInish, Thomas H.; … - In: Journal of Financial and Quantitative Analysis 30 (1995) 04, pp. 563-579

Using synchronous transactions data for IBM from the New York, Pacific, and Midwest Stock Exchanges, we estimate an error correction model to investigate whether each of the exchanges is contributing to price discovery. Johansen's test yields two cointegrating vectors, which together verify the...

Persistent link: https://www.econbiz.de/10005139064