Price Discovery Without Trading : Evidence From The Nasdaq Preopeing  

Oleh:

Cao, Charles ; Ghysels, Eric ; Hatheway, Frank

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 3 (2000), page 1339-1366.
Topik: PRICE; studies; securities markets; stock prices; stock exchanges
Fulltext: p 1339.pdf (130.28KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper studies nasdaq markers' activities during the one and one - half hour preopring period. Price discobery during the preopening is conducted via price signaling as opposed to the auction used to open the NYSE or the continuous market used during trading. In the absence of trades, nasdaq dealers use crossed and locked inside quotes to signal to other market makers which direction the price should move. Furthermore, we find evidence of price leadership among market makers that bears little resemblance to their IPO / SEO lead underwriter participation.

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