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Publication year
Why Did Nasdaq Market Makers Stop Avoiding Odd-Eighth Quotes?
Resource type
Authors/contributors
- Christie, William G (Author)
- Harris, Jeffrey H (Author)
- Schultz, Paul H (Author)
Title
Why Did Nasdaq Market Makers Stop Avoiding Odd-Eighth Quotes?
Abstract
On May 26 and 27, 1994, several national newspapers reported the findings of W. Christie and P. Schultz (1994) who cannot reject the hypothesis that marketmakers of active NASDAQ stocks implicitly colluded to maintain spreads of at least $0.25 by avoiding odd-eighth quotes. On May 27, dealers in Amgen, Cisco Systems, and Microsoft sharply increased their use of odd-eighth quotes, and mean inside and effective spreads fell nearly 50 percent. This pattern was repeated for Apple Computer the following trading day. Using individual dealer quotes for Apple and Microsoft, the authors find that virtually all dealers moved in unison to adopt odd-eighth quotes.
Publication
The Journal of Finance
Volume
49
Issue
5
Pages
1841-60
Date
1994-12
Citation
Christie, W. G., Harris, J. H., & Schultz, P. H. (1994). Why Did Nasdaq Market Makers Stop Avoiding Odd-Eighth Quotes? The Journal of Finance, 49, 1841–1860.
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