Does market structure matter?Trading costs and return volatility around exchange listings
dc.contributor.author | Bessembinder, H. | |
dc.contributor.author | Rath, Subhrendu | |
dc.date.accessioned | 2017-01-30T10:53:49Z | |
dc.date.available | 2017-01-30T10:53:49Z | |
dc.date.created | 2008-11-12T23:36:22Z | |
dc.date.issued | 2008 | |
dc.identifier.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. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/6543 | |
dc.description.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. | |
dc.publisher | School of Economics and Finance, Curtin Business School | |
dc.subject | return volatility | |
dc.subject | market structure | |
dc.subject | exchange listings | |
dc.title | Does market structure matter?Trading costs and return volatility around exchange listings | |
dc.type | Working Paper | |
dcterms.source.volume | 08.06 | |
dcterms.source.series | School of Economics and Finance Working Paper Series | |
curtin.identifier | EPR-2993 | |
curtin.accessStatus | Open access | |
curtin.faculty | Curtin Business School | |
curtin.faculty | School of Economics and Finance |