Price discovery without trading: Evidence from the Nasdaq preopening

被引：104

作者：

Cao, C ^{[1
]}

Ghysels, E ^{[1
]}

Hatheway, F ^{[1
]}

机构：

[1] Penn State Univ, University Pk, PA 16802 USA

来源：

JOURNAL OF FINANCE | 2000年 / 55卷 / 03期

关键词：

D O I：

10.1111/0022-1082.00249

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies Nasdaq market makers' activities during the one and one-half hour preopening period. Price discovery during the preopening is conducted via price signaling as opposed to the auction used to open the NYSE or the continuous market used during trading. In the absence of trades, Nasdaq dealers use crossed and locked inside quotes to signal to other market makers which direction the price should move. Furthermore, we find evidence of price leadership among market makers that bears little resemblance to their IPO/SEO lead underwriter participation.

引用

页码：1339 / 1365

页数：27

共 46 条

[41] Informed traders, intervention, and price leadership: A deeper view of the microstructure of the foreign exchange market [J].