Why do NASDAQ Market Makers Avoid Odd‐Eighth Quotes?
研究发现纳斯达克100只活跃股票中70只几乎不存在奇数八分之一报价，导致买卖价差至少0.25美元，暗示做市商可能隐性合谋维持宽价差。
ABSTRACT The NASDAQ multiple dealer market is designed to produce narrow bid‐ask spreads through the competition for order flow among individual dealers. However, we find that odd‐eighth quotes are virtually nonexistent for 70 of 100 actively traded NASDAQ securities, including Apple Computer and Lotus Development. The lack of odd‐eighth quotes cannot be explained by the negotiation hypothesis of Harris (1991) , trading activity, or other variables thought to impact spreads. This result implies that the inside spread for a large number of NASDAQ stocks is at least $0.25 and raises the question of whether NASDAQ dealers implicitly collude to maintain wide spreads.