Effects of stock attributes, market structure, and tick size on the speed of spread and depth adjustment

  • Kee H. Chungand, Chairat Chuwonganant, +4 authors Robert Van Ness
  • Published 2004


Liquidity providers on the NYSE make faster quote adjustments toward optimal spreads and depths than they do on NASDAQ. Both NYSE specialists and NASDAQ dealers make faster spread and depth adjustments for stocks with more frequent trading, greater return volatility, higher prices, and smaller trade sizes. We find that stocks with greater information-based… (More)

14 Figures and Tables