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    Does market structure matter?

    Access Status
    Fulltext not available
    Authors
    Bessembinder, H.
    Rath, Subhrendu
    Date
    2008
    Type
    Book Chapter
    
    Metadata
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    Citation
    Bessembinder, Hendrik and Rath, Subhrendu. 2008. Does market structure matter?: trading costs and return volatility around exchange listings, in Stock market liquidity: Implications for market microstructure and asset pricing, pp. 149-172. Hoboken, NJ: Wiley.
    Source Title
    Stock market liquidity: Implications for market microstructure and asset pricing
    ISBN
    978-0-470-18169-0
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/7882
    Collection
    • Curtin Research Publications
    Abstract

    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 spread reductions are most apparent for stocks where Nasdaq liquidity providers round quotations most often. However, spreads, volatility, and trading activity are determined jointly in equilibrium, implying that simple before versus after comparisons equation framework to overcome this problem and find that decreasses in average bid-ask spreads are attributable to market structure, while reductions in volatility anad trading volume can be attributed to changes in other endogenous and exogenous variables, including the spread reduction.

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