Price Pressure on the NYSE and Nasdaq: Evidence from S&P 500 Index Changes

Price Pressure on the NYSE and Nasdaq: Evidence from S&P 500 Index Changes

Using additions of NYSE- and Nasdaq-listed firms to the S&P 500, between 1989 and 2000, we explore the price effects of noninformation related demand shocks. After controlling for various firm characteristics, index fund growth, and arbitrage risk, we find that NYSE stocks suffer less pronounced...

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Veröffentlicht in:Financial management 2003-10, Vol.32 (3), p.85-99
Hauptverfasser: Elliott, William B., Warr, Richard S.
Format: Artikel
Sprache:eng
Schlagworte:
Arbitrage
Demand shocks
Index funds
Investment advisors
Investment risk
Liquidity
Nasdaq Composite Index
New stock market listings
Securities markets
Securities trading
Statistical discrepancies
Stock exchanges
Stock market indices
Stock prices
Studies
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description Using additions of NYSE- and Nasdaq-listed firms to the S&P 500, between 1989 and 2000, we explore the price effects of noninformation related demand shocks. After controlling for various firm characteristics, index fund growth, and arbitrage risk, we find that NYSE stocks suffer less pronounced price effects than do Nasdaq stocks on the day stocks are added to the Index. For NYSE stocks, this effect is reversed immediately, but Nasdaq stocks show a partial reversal taking place over several days. We interpret this result as evidence of the superiority of the specialist system over the dealer system in mitigating price pressures.
doi_str_mv 10.2307/3666385
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source EBSCOhost Business Source Complete; JSTOR Archive Collection A-Z Listing
subjects Arbitrage
Demand shocks
Index funds
Investment advisors
Investment risk
Liquidity
Nasdaq Composite Index
New stock market listings
Securities markets
Securities trading
Statistical discrepancies
Stock exchanges
Stock market indices
Stock prices
Studies
title Price Pressure on the NYSE and Nasdaq: Evidence from S&P 500 Index Changes
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