An empirical analysis of NYSE specialist trading

被引：96

作者：

Madhavan, A ^{[1
]}

Sofianos, G

机构：

[1] Univ So Calif, Marshall Sch Business, Los Angeles, CA 90089 USA

[2] New York Stock Exchange Inc, New York, NY 10005 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1998年 / 48卷 / 02期

关键词：

NYSE specialists; bid-ask spreads; dealer trading; market makers;

D O I：

10.1016/S0304-405X(98)00008-7

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines empirically the magnitude and determinants of dealer trading by NYSE market makers (specialists) across stocks and over time. Across stocks, specialist dealer trading varies widely and is inversely related to trading volume and proxies for off-exchange competition. Over time in an individual stock, specialists participate more actively as sellers (buyers) when holding long (short) inventory positions. This results suggest that dealers control their inventory positions by selectively timing the size and direction of their trades rather than by adjusting their quotes. Further, specialists participate more in smaller trades and when the bid-ask spread is wide. (C) 1998 Elsevier Science S.A. All rights reserved.

引用

页码：189 / 210

页数：22

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