Regulatory and Legal Pressures and the Costs of Nasdaq Trading
- 1 October 2000
- journal article
- Published by Oxford University Press (OUP) in The Review of Financial Studies
- Vol. 13 (4) , 917-957
- https://doi.org/10.1093/rfs/13.4.917
Abstract
The Nasdaq market came under intense pressure from regulators and class-action lawsuits following allegations of tacit collusion by Christie and Schultz (1994). This article examines the changes in transaction costs on the Nasdaq from January 1993 through June 1996 using 16 million trades in 30 stocks. Effective spreads cannot be matched. However, the autocovariance spread estimator of Roll (1984) works well with intraday data over this period. This spread estimator reveals that trading costs declined significantly for 29 of the 30 stocks over 1993-1996.Keywords
This publication has 15 references indexed in Scilit:
- Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading near Ten DollarsJournal of Financial Intermediation, 2000
- Market Making and Trading in Nasdaq StocksThe Financial Review, 1999
- A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed StocksJournal of Financial and Quantitative Analysis, 1997
- Bid-ask spreads and the avoidance of odd-eighth quotes on Nasdaq: An examination of exchange listingsJournal of Financial Economics, 1997
- Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes?The Journal of Finance, 1994
- Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?The Journal of Finance, 1994
- Market Structures and Liquidity: A Transactions Data Study of Exchange ListingsJournal of Financial Intermediation, 1994
- A Day-End Transaction Price AnomalyJournal of Financial and Quantitative Analysis, 1989
- On the Estimation of Bid-Ask Spreads: Theory and EvidenceJournal of Financial and Quantitative Analysis, 1988
- Components of the Bid-Ask Spread and the Statistical Properties of Transaction PricesThe Journal of Finance, 1987