7 M.K. Dey and B. Radhakrishna,“Institutional Trading,
Trading Volume and Spread,” working paper, 2001. They
provideevidenceofthelinkbetweeninstitutionaltradingand
the spread for stocks listed on the NYSE.
8 F.Heflin,K.W.Shaw,andJ.J.Wild,“DisclosureQuality
and Market Liquidity,” working paper, SSRN, 2001.
9 C. A. Frost, E. A. Gordon, and A. F. Hayes, “Stock
ExchangeDisclosureand MarketLiquidity:AnAnalysisof
50 International Exchanges,” working paper, SSRN, 2002.
10 J. Hasbrouck, “Measuring the Information Content of
Stock Trades,” Journal of Finance 46 (1991): 179–207; J.
Hasbrouck,“TheSummaryInformativenessofStockTrades:
An Economic Analysis,” Review of Financial Studies 4
(1991): 571–595.
11 SeeM.Barclay,“Bid-AskSpreadsandtheAvoidanceof
Odd-EighthQuotesonNasdaq:AnExaminationofExchange
Listings,”Journal of Financial Economics45 (1997): 35–60.
12 If 1/8 and 1/4 quotes are equally likely to show up,
roughlyhalfofallquotesshouldendwithaneighth(1/8,3/8,
5/8,or7/8)andhalfshouldendwithaquarter(1/4,1/2,3/4,
and zero).
13 K. Chung, B. Van Ness, and R. Van Ness, “Can the
Treatment of Limit Orders Reconcile the Differences in
TradingCostsbetweenNYSEandNasdaqIssues?,”Journal
of Financial and Quantitative Analysis 36, no. 2 (2001):
267–286.Whiletheyfindthatthetreatmentoflimitorders
doeslowerthebid-askspreadontheNYSE, theyconclude