Access the full text.
Sign up today, get DeepDyve free for 14 days.
L. Harris (1989)
The October 1987 S&P 500 Stock-Futures BasisJournal of Finance, 44
P. Schultz, M. Zaman (1994)
Aftermath Support and Underpricing of Initial Public OfferingsJournal of Financial Economics, 35
R. Schwartz (1991)
Reshaping the Equity Markets: A Guide for the 1990s
W. Christie, J. Harris, P. Schultz (1994)
Why Did NASDAQ Market Makers Stop Avoiding Odd-Eighth Quotes?Journal of Finance, 49
M. Blume, C. MacKinlay, B. Terker (1989)
Order Imbalances and Stock Price Movements on October 19 and 20, 1987Journal of Finance, 44
R. Huang, H. Stoll (1996)
Dealer versus Auction Markets: A Paired Comparison of Execution Costs on NASDAQ and the NYSEJournal of Financial Economics, 41
K.C. Chan, W. Christie, P. Schultz (1995)
Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ SecuritiesJournal of Business, 68
W. Christie, P. Schultz (1994)
Why Do NASDAQ Market Makers Avoid Odd-Eighth Quotes?Journal of Finance, 49
The liquidity of the NASDAQ market was seriously undermined during the crash on October 19, 1987, when bid-ask spreads widened dramatically and dealers reputedly withdrew from market making. This paper studies the liquidity of 36 NASDAQ issues on November 15, 1991, when average prices fell over 4%, representing the first major correction in the post-crash era. We find that bid-ask spreads, the percentage of dealers posting inside quotes, and trading volume remained virtually unaffected. Effective spreads were also largely unaffected, except for trades in excess of 1,000 shares among issues whose market makers avoided odd-eighth quotes. Our evidence implies that, unlike October 1987, the liquidity of the NASDAQ market did not deteriorate appreciably during this episode of unusual market stress.
Journal of Financial Services Research – Springer Journals
Published: Oct 13, 2004
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.