Table 3. The Effect of Consolidated Trading on the NYSE in the Pre- and Consolidated Period (December 28, 1883 - April 9, 1886)
This table reports the results from the estimation of the following model:
SPREADit = α0+ β1VOLit +β2CLOSEit+ β3STDEVi + β4COMPt + β5WVOLit + β6CALLt+ β7SHAREit + β8CONCt + εit where SPREAD is either the natural log of the absolute or the relative spread as defined in Table 2. COMP is a dummy variable that takes on a value of one for all observations in the 60 weeks after February 17, 1885 and the value of zero for the observations in the 60 weeks before Feb 17, 1885. The other variables are as defined as in Table 2 but measured in natural logs. Robust standard errors are in parentheses. *** significant at 10%; ** significant at 5%; * significant at 1%.
