Competition For Order Flow, Market Quality, And Price Discovery In The Nasdaq 100 Index Tracking Stock

Journal of Financial Research - Tập 26 Số 3 - Trang 301-318 - 2003
Yiuman Tse1, Grigori Erenburg1
1University of Texas at San Antonio

Tóm tắt

AbstractWe investigate competition for order flow, market quality, and price discovery in the Nasdaq 100 Index Tracking Stock (QQQ). The QQQ, an AMEX‐listed, exchange‐traded fund, is the most actively traded security in the U.S. equities market. On July 31, 2001, the NYSE began trading the QQQ, marking the first time it traded securities of companies it does not list. The greatest volume of trading takes place on electronic communication networks (ECNs), following by trading on the AMEX and the NYSE. Most of the block trades are executed on the AMEX, where the bid‐ask spreads are narrower. We find that ECNs contribute the most to the price‐discovery process. The spreads on all trading platforms have decreased and market quality and price discovery have improved since QQQ shares have traded on the NYSE.

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Thông tin xuất bản

Journal of Financial Research

Tập 26 Số 3

301-318

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