Date of Award


Document Type


Degree Name

Doctor of Philosophy (PhD)


Finance (Business Administration)

First Advisor

Gary C. Sanger


This dissertation investigates specialist and multiple dealer markets. In the first of four essays, simultaneous trading in two market structures on the Paris Bourse is used to evaluate intraday price formation. Specialists are found to exacerbate the end of day price rise. Stock volatility and bid-ask spreads are found to be larger when a specialist is present, in contrast to existing literature that compares market structures on different exchanges. The second essay estimates the components of the bid-ask spread and trade execution costs on the Paris Bourse. Estimates of the adverse selection cost component do not resolve the conflicting findings in existing literature regarding the relative size of this component in different market structures. A larger inventory holding cost component is identified for stocks that trade with the aid of a specialist, confirming the specialists' cost of maintaining an inventory. Higher trading costs are found for those stocks that trade with the aid of a specialist in contrast to existing literature, suggesting previous findings are exchange-specific. Long-term inventory changes are investigated and the impact on the inventory holding cost component is found to be twice as large for those stocks with a specialist. The third essay examines specialist firms on the New York Stock Exchange. Differences are observed in the bid-ask spread, volatility and bid and ask depths. Likewise, final transaction returns differ across specialist firms indicating that the end of day price rise may be a method used by specialist firms to manage end of day prices. This is corroborated by observing minimal differences within each specialist firm. Short-term changes in inventory are investigated and extreme inventory changes are shown to have smaller bid-ask spreads. Depletion of inventory is associated with a larger bid-ask spread than a build-up. Essay four investigates the change in the rules governing market on close orders on the New York Stock Exchange. The new rules require earlier submission of orders. Minimal differences in the end of day price rise are found between the period before and after the rule change, however, volatility levels are found to decline for nine of thirty-seven specialist firms.