Curtin University Homepage
  • Library
  • Help
    • Admin

    espace - Curtin’s institutional repository

    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item

    Does market structure matter?Trading costs and return volatility around exchange listings

    20722_downloaded_stream_178.pdf (272.1Kb)
    Access Status
    Open access
    Authors
    Bessembinder, H.
    Rath, Subhrendu
    Date
    2008
    Type
    Working Paper
    
    Metadata
    Show full item record
    Citation
    Bessembinder, Hendrik and Rath, Subhrendu (2008) Does market structure matter?Trading costs and return volatility around exchange listings, School of Economics and Finance Working Paper Series: no. 08:06, Curtin University of Technology, School of Economics and Finance.
    Faculty
    Curtin Business School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/6543
    Collection
    • Curtin Research Publications
    Abstract

    We document that bid-ask spreads decrease substantially for stocks that moved from Nasdaq to the NYSE between 1996 and 2000, and that spread reductions continued to be observed after the 1997 market reforms. Somewhat surprising in light of these reforms, the largest spread reductions are for stocks where Nasdaq liquidity providers round quotations most often. We extend the analysis to document that average return volatility also decreases substantially after exchange listing. However, spreads, volatility, and trading activity are determined jointly in equilibrium, implying that simple before versus after comparisons may not reveal structural effects. The results of simultaneous equation estimation indicate that decreases in average bid-ask spreads are attributable to market structure, while reductions in volatility and trading volume can be attributed to changes in other endogenous and exogenous variables, including the spread reduction.

    Related items

    Showing items related by title, author, creator and subject.

    • Behaviour and performance of key market players in the US futures markets
      Gurrib, Muhammad Ikhlaas (2008)
      This study gives an insight into the behaviour and performance of large speculators and large hedgers in 29 US futures markets. Using a trading determinant model and priced risk factors such as net positions and sentiment ...
    • Does market structure matter?
      Bessembinder, H.; Rath, Subhrendu (2008)
      We document that bid-ask spreads and volatitility decrease for stocks that moved from Nasdaq to the New York Stock Exchange (NYSE), even after the 1997 market reforms. Somewhat surprising in light of these reforms, the ...
    • An analysis of Australian mutual fund performance and market relationships
      Pojanavatee, Sasipa (2013)
      Mutual funds are emerging as an opportunity for investors to automatically diversify their investments in such a way that all their money is pooled and the investment decisions are left to a professional manager. There ...
    Advanced search

    Browse

    Communities & CollectionsIssue DateAuthorTitleSubjectDocument TypeThis CollectionIssue DateAuthorTitleSubjectDocument Type

    My Account

    Admin

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Follow Curtin

    • 
    • 
    • 
    • 
    • 

    CRICOS Provider Code: 00301JABN: 99 143 842 569TEQSA: PRV12158

    Copyright | Disclaimer | Privacy statement | Accessibility

    Curtin would like to pay respect to the Aboriginal and Torres Strait Islander members of our community by acknowledging the traditional owners of the land on which the Perth campus is located, the Whadjuk people of the Nyungar Nation; and on our Kalgoorlie campus, the Wongutha people of the North-Eastern Goldfields.