Does Market Structure Affect the Immediacy of Stock Price Responses to News?

B-Tier
Journal: Journal of Financial and Quantitative Analysis
Year: 2002
Volume: 37
Issue: 4
Pages: 617-648

Authors (2)

Masulis, Ronald W. (UNSW Sydney) Shivakumar, Lakshmanan (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This study compares the speed of price adjustments to seasoned equity offering announcements by NYSE/AMEX and Nasdaq stocks. We find that price adjustments are quicker by as much as one hour on Nasdaq. This result is not due to differences in issuer characteristics or announcement effects across the markets, but due to differences in market structures. Greater risk taking by dealers, more rapid order execution, and more frequent informed trading (SOES bandits) on Nasdaq, as well as stale limit orders and a less efficient opening price-setting mechanism on the NYSE/AMEX, all contribute to faster stock price adjustments on Nasdaq.

Technical Details

RePEc Handle
repec:cup:jfinqa:v:37:y:2002:i:04:p:617-648_00
Journal Field
Finance
Author Count
2
Added to Database
2026-01-25