Nyse most active stocks
[DOC File]Making a market with the spread and depth
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Whole sample Most active Middle Least active 100 stocks 100 stocks 100 stocks Intercept Mean coefficient 0.0247 0.0284 0.0337 0.0232 t-statistic 10.68 14.4 5.02 1.3 (p-value) 0.0001 0.0001 0.0001 0.1958 z-statistic 41.53 47.5 8.71 2.96 (p-value) 0.0001 0.0001 0.0001 0.0031 DNI Mean coefficient 0.3215 0.3305 0.3023 0.3393 t-statistic 51.77 42.5 ...
[DOC File]Half of What You See on the Screen Isn't Real
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Most readers are familiar with the NYSE TICK, a measure of how many New York stocks are trading on upticks (at their offer price) vs. downticks (at their bid price). Let's say that, instead of measuring the number of NYSE stocks trading at their offer prices vs. those trading at their bids, we simply focus on the Dow 30 Industrial stocks and ...
[DOC File]Competing with the NYSE
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The mean share of total volume was 1.69 percent for securities with NYSE volume and the average concentration ratio for the four highest volume NYSE securities is 55.5 percent, indicating that NYSE volume was highly concentrated among the most active securities over the sample period.
[DOC File]DATE:
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Based on the request of the SEC staff, the Pilot stocks were broken into 3 groups for analysis. One group consists of the 10 least active securities of the original 63 added to the Pilot to be used as a Control Group. A second group consists of the 10 most active securities added to the Pilot.
[DOC File]University at Buffalo
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The mean values of the standard deviation of daily returns for our Nasdaq and NYSE stocks are 0.0319 and 0.0284, respectively. Overall, our matched sample of Nasdaq and NYSE stocks are similar in price, number of trades, trade size, and return volatility. 3. Measures of trading costs and depths
[DOC File]The Highest Price Ever: The Great NYSE Seat Sale, 1928-1929
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The more concentrated trading was, as measured by the share of sales in the most active stock, the most active 20 stocks or a Herfindahl index of sales, the lower the spreads. Concentrating brokers at fewer posts, which increased the number of potential counterparties at one location, appears to have reduced bid-ask spreads, no matter whether ...
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