کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960972 | 929764 | 2006 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The value of the specialist: Empirical evidence from the CBOE
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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
Using intraday options data, this paper analyzes the “natural experiment” of the Chicago Board Options Exchange (CBOE) superimposing a specialist system on an existing multiple market maker system during 1999. We find support for the demand uncertainty literature which states that specialists are better able to resolve uncertainty about investor preferences. In particular, we find that quoted, current, and effective spreads decrease following the specialist system adoption. This translates into a $221 million annual savings for investors. We further find that following the switch, the market share of the CBOE increases significantly, suggesting that specialists use spreads to attract order flow.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 9, Issue 2, May 2006, Pages 100-118
Journal: Journal of Financial Markets - Volume 9, Issue 2, May 2006, Pages 100-118
نویسندگان
Amber Anand, Daniel G. Weaver,