The effect of price tests on trader behavior and market quality: An analysis of Reg SHO

被引：73

作者：

Alexander, Gordon J. ^{[2
]}

Peterson, Mark A. ^{[1
]}

机构：

[1] So Illinois Univ, Coll Business & Adm, Carbondale, IL 62901 USA

[2] Univ Minnesota, Carlson Sch Management, Minneapolis, MN 55455 USA

来源：

JOURNAL OF FINANCIAL MARKETS | 2008年 / 11卷 / 01期

关键词：

short selling; uptick rule; bid test; Regulation SHO;

D O I：

10.1016/j.finmar.2007.06.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using data from Regulation SHO's pilot program, we examine how price tests affect trader behavior and market quality, which are areas of interest given by the US Securities and Exchange Commission in evaluating these tests. After comparing sampled matched pairs of pilot and control stocks, we find that the removal of price tests benefit traders by allowing them to trade more aggressively by placing orders that receive quicker execution. Furthermore, concerns about the suspension of price tests leading to a degradation of market quality are unfounded. The evidence therefore suggests unambiguously that such tests should be removed. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：84 / 111

页数：28

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