Competition from the limit order book and NYSE spreads
Abstract
Using the New York Stock Exchange's (NYSE) trades, orders, reports, and quotes data, we investigate whether competition from the limit order book reduces NYSE spreads. We replicate and extend the research design of McInish and Wood (1992). We find that there is a statistically significant reduction in NYSE spreads as a result of limit order competition and that the reduction is significantly greater in the morning than during the remainder of the trading day. We also examine the day-of-the-week differences in limit order placements and find no day of the week pattern in the number or the size of limit order placements. © 2000 Elsevier Science B.V. All rights reserved.
Publication Title
Journal of International Financial Markets, Institutions and Money
Recommended Citation
Kugele, L., McInish, T., Van Ness, B., & Van Ness, R. (2000). Competition from the limit order book and NYSE spreads. Journal of International Financial Markets, Institutions and Money, 10 (1), 31-42. https://doi.org/10.1016/s1042-4431(99)00023-2
