Intraday Variation in the Bid‐Ask Spread: Evidence after the Market Reform
研究了纳斯达克新订单处理规则实施后，其股票买卖价差的日内变化模式与纽交所股票趋同，归因于限价订单显示规则。
Abstract In this article we show that intraday variation in spreads for Nasdaq‐listed stocks has converged to intraday variation in spreads for NYSE‐listed stocks after the implementation of the new order‐handling rules. We attribute this convergence to the Limit Order Display Rule, which requires that limit orders be displayed in Nasdaq best bid and offer when they are better than quotes posted by market makers. Our findings suggest that the different patterns of intraday spreads between NYSE and Nasdaq stocks reported in prior studies can largely be attributed to the different treatment of limit orders between the NYSE and Nasdaq before the market reform.