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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/72674


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/72674


    题名: Volatility and Liquidity at NYSE Opening Calls: A Closer Look
    作者: 李志宏
    Lee, Jie-Haun;Lin, Ji-Chai
    贡献者: 財管系
    日期: 1995-12
    上传时间: 2015-01-08 17:26:33 (UTC+8)
    摘要: The literature suggests that the bid-ask spread is responsible, at least in part, for greater price volatility and more negative autocorrelation at the open than at the close. In this study, we find that these phenomena are not related to the bid-ask spread, but are related instead to pricing errors by specialists or limit-order traders around the open. We use George, Kaul, and Nimalendran`s (1991) model, which is less biased than Roll`s (1984) model, to estimate the implied spread. The results show that, on average, the implied spread earned by liquidity suppliers is lower at the open than at the close. These results refute the contention that specialists exploit their monopoly position and earn a higher profit at the opening call. The evidence is consistent with the hypothesis that specialists set a lower cost of immediacy to encourage trading and the release of more information at the opening call. This could reduce information asymmetry and make subsequent trades in the continuous market more profitable.
    關聯: Journal of Financial Research, 18(4), 479-493
    数据类型: article
    显示于类别:[財務管理學系] 期刊論文

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