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1、ECON394Lecture2 1 OverviewofMarketStructure TheSecuritiesandExchangeCommission SEC wascreatedin1934 StockexchangesareregulatedbytheSEC buttheyareconsideredself regulatoryorganizations SROs withconsiderablelatitude ThemajornationalstockexchangesaretheNewYorkStockExchange NYSE andtheAmericanStockExcha
2、nge AMEX In1998 theNationalAssociationofSecurityDealers NASD acquiredtheAMEX ItthensoldtheAMEXin2003toaprivateequitygroupforonly 110million TheNASDregulatesanelectronictradingnetworkcalledtheNASDAQ NASDAutomatedQuoteSystem TheNASDwentpublicin2001 tradesunderthesymbolNDAQandisnowcalledtheNasdaqStockM
3、arketIncorporated Afunnynameforanexchangethatisnotastockmarket atleastaccordingtotheSEC ECON394Lecture2 2 TheNewYorkStockExchange StockmarketsliketheNewYorkStockExchangeprovidestrictcriteriaforsharestobetradedontheirexchange Forthisreason theyarestillcalledlistedsecurities NYSEFactsandFigures U S li
4、stingrequirements Dailytradingvolume Marketcapitalization 10LargestCompanies ECON394Lecture2 3 TheNYSETradingFloor Virtualtour ECON394Lecture2 4 NYSEParticipants Togainaccesstothefloor youmustbuyaseat Thenumberofseatshasremainedat1 366since1953 Theycurrentlysellforabout 1 5million Eachstocklistedont
5、heNYSEisallocatedtoaspecialist amarketmakerwhotradesonlyinspecificstocksatadesignatedlocation Allbuyingandsellingofastockoccursatthatlocation calledatradingpost Buyersandsellers representedbythefloorbrokers meetopenlytofindthebestpriceforasecurity ECON394Lecture2 5 TheNYSEAuctionProcess Specialistso
6、rganizetheauctionprocessonthetradingfloor Theyprovideinformationaboutthecurrentstateofthemarket thepriceatwhichsharescanbebought bid orsold offerorask andthequantityofsharesavailableateachprice calleddepth Thedifferencebetweenthebidandofferiscalledthespread In2001 allU S equitymarketswenttodecimalsw
7、ithaminimumspreadof 0 01 ECON394Lecture2 6 TheSpecialist Agent Principal Specialistsactasagents executingordersentrustedtothembythepublic Ininstanceswhenthereisatemporaryshortageofbuyersorsellers NYSEspecialistsactasagents buyingorsellingfortheirownaccounts Thespecialisthasanaffirmativeobligationtos
8、tabilizemarketsduringseveremarketdownturns likethemarketcrashofOctober19 1987 Thevastmajority 77 ofNYSEvolumeisaresultofpublicordermeetingpublicorder individuals institutionsandmemberfirmsinteractingdirectlywitheachother Non specialistshandle14 andspecialists10 Note Therecanbeaconflictbetweenthespec
9、ialistactingasbothprincipalandagent ECON394Lecture2 7 NYSESpecialistFirms ThelargestNYSEspecialistfirmisLaBrancheandCo whichhandlesmorethan500stocks Spear LeedsandKellog acquiredbyGoldmanSachsin2000for 6 5billion andFleetMeehanaresecondandthirdwith493and428stocks Together these3firmstradeabout2 3oft
10、hedailyvolume Youcanfindacompletelistonthehere ECON394Lecture2 8 NYSEOrderBook ECON394Lecture2 9 TypesOfOrders NYSE Thesearefourkindsororders marketorders anordertobuyorsellafixedquantityatthecurrentmarketprice limitorders anordertobuyorsellafixedquantityatadesignatedprice stoporder anordertobuyorse
11、llonceadesignated stop pricehasbeenhit stop limitorders acombinationofalimitandastoporderOntheNYSE stopordersbecomemarketordersonceatradehasbeenexecutedatthestopprice ECON394Lecture2 10 NYSEAutomatedExecutionSystems SuperDOTADotNYSEDirect Largeinstitutionalinvestorscanalsotradeinwhatisknownastheupst
12、airsmarket ECON394Lecture2 11 RegulationNMS 1 Tradethroughrule 2 Accessrule 3 Sub pennyrule Theoverridingprincipalofanationalmarketsystemistoenabletraderstogetthebestpricesindependentoftradingvenue ECON394Lecture2 12 SpecialistInvestigations Background Sincedecimalsandwiththedeclineintradingvolumefo
13、llowingthebubble specialistprofitshavedeclined ThestockpriceofpubliclytradedspecialistfirmLaBranche LAB confirmsthis LABandothersbottomedoutinearly2004whenthe5majorspecialistfirmswerefined 240million Calpers amongmanyothers hassuedtheNYSEtorecoverinvestormoney Criminalcasesarepending ECON394Lecture2
14、 13 ExampleOfInterpositioning ThiswasthestateofthelimitorderbookinonJanuary3 2003at11 04AM ThestockisVZandSpearLeadsandKellogg SLKS wasthespecialist Thebookalsoincludedmarketorderstobuy3 300sharesandmarketorderstosell2 100shares Thespecialistcouldhavepairedoffthemarketbuyandsellordersandsatisfiedthe
15、remainingorderfromhisaccountoragainstthelimitordersat41 10and41 12 Instead thespecialistshorted3 300sharesat41 10 400sharesat41 04 200sharesat41 03 bringingthespreadto41 00X41 10 Atthatprice hecovered2 100sharesfromthemarketsellorders earningarisklessprofitonthatportionofthetrade ECON394Lecture2 14
16、Grasso sCompensation DuringhistenureaschairmanandCEOoftheNYSE RichardGrasso whohadstartedoutasaclerkofthefloor receivednearly 160millionincompensation TheWebbreporthasallthedetails EliotSpitzerhassuedGrassotorecoversomeofhispaypackage Thebottomline thespecialiststocksaredown tradingvolumeisdown electronicexchangesareerodingNYSEmarketshare NYSEseatpricesaredownto 1millionfroma1999peakof 2 5million MutualfundslikeFidelityareactivelyexploringalternativestotheNYSE Grassowasessentiallybeingpaidhushmo
