THE IMPORTANCE OF FIRM QUOTES AND RAPID EXECUTIONS - EVIDENCE FROM THE JANUARY 1994 SOES RULES CHANGE

Authors
HARRIS JH SCHULTZ PH
Citation
Jh. Harris et Ph. Schultz, THE IMPORTANCE OF FIRM QUOTES AND RAPID EXECUTIONS - EVIDENCE FROM THE JANUARY 1994 SOES RULES CHANGE, Journal of financial economics, 45(1), 1997, pp. 135-166
Citations number
18
Categorie Soggetti
Economics,"Business Finance
Journal title
Journal of financial economics → ACNP
ISSN journal
0304405X
Volume
45
Issue
1
Year of publication
1997
Pages
135 - 166
Database
ISI
SICI code
0304-405X(1997)45:1<135:TIOFQA>2.0.ZU;2-I
Abstract
Nasdaq's Small Order Execution System (SOES) allows orders to be submi tted by computer, thereby assuring rapid execution at quoted prices. W e examine trading in the 20 largest Nasdaq stocks around the time of a rule change that reduced the largest SOES trades from 1000 to 500 sha res. We show that SOES trades contain information about short-term pri ce movements and that SOES trading declined dramatically with the rule change. However, quoted and effective spreads were unaffected by the rule change.