Spreads, Depths, and Quote Clustering on the NYSE and Nasdaq: Evidence after the 1997 Securities and Exchange Commission Rule Changes
研究了1997年规则改革后纽交所和纳斯达克的流动性及报价聚类，发现纳斯达克股票价差更宽、深度更小，且偶数报价比例高的股票价差更大，这与早期研究结论不同。
This paper examines liquidity and quote clustering on the NYSE and Nasdaq using data after the two market reforms—the 1997 order–handling rule and minimum tick size changes. We find that Nasdaq–listed stocks exhibit wider spreads and smaller depths than NYSE–listed stocks and stocks with higher proportions of even–eighth and even–sixteenth quotes have wider quoted, effective, and realized spreads on both the NYSE and Nasdaq. This result differs from the findings by Bessembinder (1999, p. 404) that “trade execution costs on Nasdaq in late 1997 are no longer significantly explained by a tendency for liquidity providers to avoid odd–eighth quotations,” and “odd–sixteenth avoidance has little relevance for explaining post–reform Nasdaq trading costs.”