Price Discovery without Trading: Evidence from the Nasdaq Preopening
研究纳斯达克做市商在开盘前一个半小时内如何通过报价信号而非交易来发现价格，发现他们使用交叉和锁定报价传递价格方向信号，且做市商之间的价格领导关系与IPO/SEO主承销商角色无关。
This paper studies Nasdaq market makers' activities during the one and one‐half hour preopening period. Price discovery 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.