Abstracts » Business

Order flow and liquidity aruond NYSE trading halls

Article Abstract:

A study of order flow and liquidity in and around New York Stock Exchange (NYSE) trading halls is presented. The NYSE allows trading to halt for individual securities if major news is expected to impact prices or when a large imbalance exists so that investors can react to new information and specialists can find a new equilibrium. Study findings include a significant increase in market and limit order submissions and cancellations during trading halts and a disproportionate number of orders submitted during the halt taking up the limit order book at the reopen. The market-clearing price at the reopen is shown to be a good predictor of future prices. Specialists and floor traders may account for additional liquidity provided during trading halts despite unusually low depth near the quotes; specialists may be 'spreading the quote' prior to imbalance halts, verbally conveying information to participants.

Science & research, Management, Human behavior

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The development of secondary market liquidity for NYSE-listed IPOs

Article Abstract:

Factors that influence initial trading patterns of stocks that are offered through initial public offerings listed on New York Stock Exchange are discussed.

United States, Securities & Commodities Services, Securities, Commodity Contracts, and Other Financial Investments and Related Activities, Going public (Securities), Initial public offerings, Company public offering, Company business forecast/projection, Company forecasts, Secondary market

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Differences in trading behavior across NYSE specialist firms

Article Abstract:

Using a sample of NYSE-listed equities from 1992, this study examines whether market maker performance differs across specialist firms. We find that spreads and depth differ across specialist firms, but the competitiveness of NYSE quotes relative to other exchanges does not appear to be affected by these differences. Differences are also evident in measures of transitory volatility and in the frequency and duration of order-imbalance trading halts. The results suggest that specialists have a significant effect on execution costs, liquidity, and noise in security prices and that these effects are not completely eliminated by competition or the NYSE's monitoring mechanisms. (Reprinted by permission of the publisher.)

Securities Brokerage, Securities Trading, Research, Market makers (Securities trading)

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