Intraday Volatility on the NYSE and NASDAQ

Daniel G. Weaver
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Daniel G. Weaver: Rutgers Business School, Rutgers University, Piscataway, USA

Chapter 6 in Advances in Quantitative Analysis of Finance and Accounting:Essays in Microstructure in Honor of David K Whitcomb, 2006, pp 111-138 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis paper compares intraday volatility on two different market structures: specialist and multiple dealer. Return volatility based on 15-minute returns is compared for stocks trading on the NYSE and NASDAQ. It is hypothesized in the paper that the price continuity obligation of specialists will lead to lower volatility for stocks traded in that market structure. The results support the hypothesis. Regressions are performed to control for firm-specific variables. The results of the regressions do not alter the conclusions of the paper that a specialist-based market is associated with a lower level of volatility than a multiple dealer market.

Keywords: Liquidity; Volatility; Limit Orders; Microstructure; Trading Structure (search for similar items in EconPapers)
Date: 2006
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