کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10475158 | 929034 | 2005 | 23 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Order imbalance and liquidity supply: Evidence from the bubble burst of Nasdaq stocks
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
In this study we analyze the effect of order imbalance on the quotation behavior of Nasdaq market makers. We find that Nasdaq market makers use both price and quantity quotes when dealing with order imbalances. However, order imbalance affects only price movement, not spreads. We also find that Nasdaq market makers quote more shares and compete more intensively on bid-side (ask-side) when public sells (buys) exceed public buys (sells). These suggest that market makers increase liquidity supply when order imbalances exist. More interestingly, we show that both market conditions and price movements affect investors' trading behavior.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 12, Issue 4, September 2005, Pages 533-555
Journal: Journal of Empirical Finance - Volume 12, Issue 4, September 2005, Pages 533-555
نویسندگان
Mingsheng Li, Timothy McCormick, Xin Zhao,