Journal of Finance Vol. 48 No. 5 1993
The Trades of Market Makers: An Empirical Analysis of NYSE Specialists.
Abstract
This paper presents a transaction-level empirical analysis of the trading activities of New York Stock Exchange specialists. The main findings of the analysis are the following: adjustment lags in inventories vary across stocks and are in some cases as long as one or two months; decomposition of specialist trading profits by trading horizon shows that the principal source of these profits is short term; an analysis of the dynamic relations among inventories, signed order flow, and quote changes suggests that trades in which the specialist participates have a higher immediate impact on the quotes than trades with no specialist participation.
- Volume
- 48
- Issue
- 5
- Pages
- 1565-93
- Sources
- bibtex:phds-export.bib