Document Type


Publication Date



Liquidity providers on the NYSE make faster quote adjustments towards equilibrium spreads and depths than they do on NASDAQ. Liquidity providers in both markets make faster spread and depth adjustments for stocks with more frequent trading, greater return volatility, higher prices, smaller market capitalizations, and smaller trade sizes. We find that stocks with greater information-based trading and in more competitive trading environments exhibit faster quote adjustments. The speed of quote adjustment is faster after decimalization in both markets. These results are robust and not driven by differences in stock attributes between the two markets or time periods. Overall, our results indicate that stock attributes, market structure, and tick size exert a significant impact on the speed of quote adjustment.


Published: Chung, Kee H., Chuwonganant, Chairat, Jiang, Jing. "The Dynamics of Quote Adjustments." Journal of Banking and Finance 32.11 (2008): 2390-2400.

At the time of publication, Jing Jiang was affiliated with SUNY Buffalo. He is now a professor of Finance in the John F. Welch College of Business at Sacred Heart University.




To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.