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- W2019671427 endingPage "2400" @default.
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- W2019671427 abstract "Liquidity providers on the NYSE make faster quote adjustments towards equilibrium spreads and depths than they do on NASDAQ. Liquidity providers in both markets make faster spread and depth adjustments for stocks with more frequent trading, greater return volatility, higher prices, smaller market capitalizations, and smaller trade sizes. We find that stocks with greater information-based trading and in more competitive trading environments exhibit faster quote adjustments. The speed of quote adjustment is faster after decimalization in both markets. These results are robust and not driven by differences in stock attributes between the two markets or time periods. Overall, our results indicate that stock attributes, market structure, and tick size exert a significant impact on the speed of quote adjustment." @default.
- W2019671427 created "2016-06-24" @default.
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- W2019671427 date "2008-11-01" @default.
- W2019671427 modified "2023-10-02" @default.
- W2019671427 title "The dynamics of quote adjustments" @default.
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- W2019671427 doi "https://doi.org/10.1016/j.jbankfin.2008.02.001" @default.
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