Short‐ and Long‐Term Effects of Multimarket Trading

We analyze short‐ and long‐term effects of multimarket trading by examining the entries of multiple markets into transacting three ETFs, DIA, QQQ, and SPY. We find that large‐scale entries improve overall market quality, while small‐scale entries have ambiguous effects. Our results show that the competition effect dominates the fragmentation effect over a long horizon and that market fragmentation leads to a decline in trading costs. Further, we find that the order handling rules help mitigate the fragmentation effect and facilitate the competition effect. We do not find that multimarket trading harms price efficiency or increases price volatility.     

CLIENTELE TRADING IN RESPONSE TO PUBLISHED INFORMATION: EVIDENCE FROM THE DARTBOARD COLUMN

We present an analysis of clientele trading effects in response to the widespread dissemination of public information. Employing analyst recommendations published in the Wall Street Journal's Dartboard column as the informational stimulus and the NYSE's trades and quotes (TAQ) transactions database as the data resource, we document that investors in different trading clienteles exhibit dramatically different trading responses to identical innovations in the informational environment.     

TRADING COSTS AND QUOTE CLUSTERING ON THE NYSE AND NASDAQ AFTER DECIMALIZATION

We examine execution costs and quote clustering on the New York Stock Exchange (NYSE) and NASDAQ using 517 matching pairs of stocks after decimalization. We find that the mean spread of NASDAQ stocks is greater than the mean spread of NYSE stocks when spreads are equally weighted across stocks, and the difference is greater for smaller stocks. In contrast, the mean NASDAQ spread is narrower than the mean NYSE spread when spreads are volume weighted, and the difference is statistically significant for large stocks. Both NYSE and NASDAQ stocks exhibit high degrees of quote clustering on nickels and dimes, and quote clustering has a significant effect on spreads in both markets.     

Market Power,Industrial Organization and Tradeable Quotas

Individual Transferable Quotas (ITQs) wereintroduced into the Mid-Atlantic Surf Clam and OceanQuahog fishery to reduce over-capitalization whileconserving clam populations. Because the number ofoperators in the fishery declined drastically sincethe introduction of this policy, there is concernabout its effect on competitiveness. This paperutilizes Bertrand Pricing Models to show thatmonopoly power is absent from the surf clam andocean quahog markets. Concentration ratios, Lorenzcurves and Gini Coefficients estimated for thefishery for periods before and after ITQintroduction support the results of the Bertrand model.     

Memory in returns and volatilities of futures' contracts

Various authors claim to have found evidence of stochastic long‐memory behavior in futures’ contract returns using the Hurst statistic. This paper reexamines futures’ returns for evidence of persistent behavior using a biased‐corrected version of the Hurst statistic, a nonparametric spectral test, and a spectral‐regression estimate of the long‐memory parameter. Results based on these new methods provide no evidence for persistent behavior in futures’ returns. However, they provide overwhelming evidence of long‐memory behavior for the volatility of futures’ returns. This finding adds to the emerging literature on persistent volatility in financial markets and suggests the use of new methods of forecasting volatility, assessing risk, and optimizing portfolios in futures’ markets. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:525–543, 2000     

Perceptions of Functionality and Usability on Travel Websites: The Case of Chinese Travelers

Despite the large increase in the amount of online purchases of travel-related products in recent years, previous studies on travel website analysis have concentrated mainly on assessing the quality of travel websites, customer purchase behavior, and website content analysis. In the context of Mainland China (hereafter known as China), with growing wealth of her citizens and the inclination to travel, more Chinese travelers have been, and will probably be, visiting worldwide destinations. In addition, many Chinese travelers will use the Internet to search, and subsequently to purchase, travel-related products and services. This study makes an attempt to analyze Chinese online buyers and online browsers on their perceived importance of travel website functionality (content) and usability (design) and their specific factors. Online buyers (e-buyers) are the Internet users who have previously purchased on travel websites, whereas online browsers (e-browsers) are the Internet users who have browsed travel websites but without making any purchases. The research findings showed that e-buyers did not differ significantly from e-browsers in most of the included factors. The findings of this research are expected to assist travel website developers to improve their websites and to attract more e-travelers.     

Claiming a family brand identity: The role of website storytelling

This study focuses on the creation of a family identity as a central communication objective in business storytelling. We contribute to the field of business website marketing by identifying, through textual analysis of US winery website narratives, how businesses communicate family brand identities. Results show that three claims that are critical for family brand identities—character, temporal continuity, and distinctiveness—do appear in the website texts. Our study provides beginning evidence that family identity does not require family ownership alone but can be built upon complementary narrative elements and tactics, including kinship references and heritage storytelling. Both content and linguistic style of narratives are useful in conveying a family brand identity to an external public for website design. Implications are discussed.