Differences in Trading Behavior across NYSE Specialist Firms


  • Shane A. Corwin

    1. University of Georgia, Athens
    Search for more papers by this author
    • University of Georgia, Athens. This paper is based on my dissertation at the Ohio State University. I am grateful to my dissertation committee, Paul Schultz (Chair), Stephen Buser, and John Persons for their suggestions. This paper has also benefited from the comments of Hendrik Bessembinder, Jeffrey Harris, Marc Lipson, Ananth Madhavan, David Mayers, Bill Megginson, Cathy Niden, George Oldfield, Robert Seijas, James Shapiro, Joe Sinkey, George Sofianos, Hans Stoll, Ralph Walkling, and an anonymous referee. Stephen Zilioli of the New York Stock Exchange deserves special thanks for helpful discussions and assistance with data collection. Some data were provided by the New York Stock Exchange.


Using a sample of NYSE-listed equities from 1992, this study examines whether market maker performance differs across specialist firms. We find that spreads and depth differ across specialist firms, but the competitiveness of NYSE quotes relative to other exchanges does not appear to be affected by these differences. Differences are also evident in measures of transitory volatility and in the frequency and duration of order-imbalance trading halts. The results suggest that specialists have a significant effect on execution costs, liquidity, and noise in security prices and that these effects are not completely eliminated by competition or the NYSE's monitoring mechanisms.