An Empirical Analysis of Quoted Depths of NYSE and Amex Stocks
An Empirical Analysis of Quoted Depths of NYSE and Amex Stocks
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纽约证券交易所和美国运通股票报价深度的实证分析
DOI：
10.1023/a:1008332208397
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发表时间：
2000
影响因子：
1.7
通讯作者：
Kee H. Chung
中科院分区：
文献类型：
--
作者：
C. Charoenwong;Kee H. Chung
在这项研究中，我们发现在纽约证券交易所和美国证券交易所上市的股票样本的报价深度和各种证券特征之间存在很强的跨期/横截面相关性。我们的实证结果表明，尽管专家通常无法识别发生内幕交易的情况，但他们会通过对内幕交易倾向较大的股票发布较小的深度来应对内幕交易。经验证据还表明，专家/限价订单交易者对风险较高的股票报价较小的深度，以限制消息灵通的交易者的潜在损失。此外，我们发现，对于交易量较大、市值较大、竞争程度较高的股票，专家/限价交易者的报价深度也较大。总的来说，我们的研究结果表明，深度是专家和限价订单交易者处理逆向选择问题、订单处理问题和竞争的重要手段。
In this study, we find strong intertemporal/cross-sectional correlations between quoted depths and various security characteristics for a sample of stocks listed on the NYSE and Amex. Our empirical results indicate that although specialists are generally unable to discern insider trading as it occurs, they cope with insider trading by posting smaller depths for stocks with a greater tendency of insider trading. Empirical evidence also indicates that specialists/limit order traders quote smaller depths for riskier stocks to limit potential losses to better-informed traders. In addition, we find that specialists/limit order traders quote larger depths for stocks with greater trading volume, larger market capitalization, and higher competition. Overall, our findings suggest that depths are an important means through which specialists and limit order traders deal with the adverse selection problem, order processing problem, and competition.