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Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks
The relative merits of dealer versus auction markets have been a subject of significant and sometimes contentious debate. On January 20, 1997, the Securities and Exchange Commission began… Expand
Fundamentals, Trader Activity and Derivative Pricing
- Bahattin Buyuksahin, Michael S. Haigh, J. Harris, James A. Overdahl, Michel A. Robe
- 4 December 2008
We identify and explain a structural change in the relation between crude oil futures prices across contract maturities. As recently as 2001, near- and long-dated futures were priced as though traded… Expand
Do Speculators Drive Crude Oil Futures Prices
The coincident rise in crude oil prices and increased number of financial participants in the crude oil futures market from 2000-2008 has led to allegations that "speculators" drive crude oil prices.… Expand
The trading profits of SOES bandits
SOES bandits are individual investors who day-trade primarily through Nasdaq's Small Order Execution System (SOES). They attempt to predict short-term price movements of Nasdaq stocks by observing… Expand
The Dynamics of Institutional and Individual Trading
We study the daily and intradaily cross-sectional relation between stock returns and the trading of institutional and individual investors in Nasdaq 100 securities. Based on the previous day's stock… Expand
Speculators, Prices and Market Volatility
We employ data over 2005-2009 which uniquely identify categories of traders to test whether speculators like hedge funds and swap dealers cause price changes or volatility. We find little evidence… Expand
Who Drove and Burst the Tech Bubble?
From 1997 to March 2000, as technology stocks rose more than five-fold, institutions bought more new technology supply than individuals. Among institutions, hedge funds were the most aggressive… Expand
NASDAQ Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs
We study the effects of alternative halt and reopening procedures on prices, transaction costs, and trading activity for a sample of news-related trading halts on Nasdaq. For intraday halts that… Expand
Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes?
On May 26 and 27, 1994, several national newspapers reported the findings of W. Christie and P. Schultz (1994) who cannot reject the hypothesis that marketmakers of active NASDAQ stocks implicitly… Expand
The Initial Listing Decisions of Firms that Go Public
We analyze the initial listing decisions of IPOs that qualify for New York Stock Exchange listing. We find that IPOs are more likely to list on the exchange where their industry peers are listed.… Expand