Competing with the nyse

Table 4. The Effect of Three Competitive Events on the NYSE in the Pre- and Consolidated Period (May 26, 1882 - April 9, 1886)

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Table 5. Bid-Ask Spreads on the Boston Exchange in the Pre- and Consolidated Period (December 28, 1883 - April 9, 1886)

Table 4. The Effect of Three Competitive Events on the NYSE in the Pre- and Consolidated Period (May 26, 1882 - April 9, 1886)

This table reports the results from the estimation of the following model:

SPREAD_it = α₀+ β₁VOL_it+β₂CLOSE_it+ β₃STDEV_i + β₄COMP1_t + β₅COMP2_t + β₆COMP3_t + β₇WVOL_it + β₈CALL_t+ β₉SHARE_it + β₁₀CONC_t + ε_it
where SPREAD is either the natural log of the absolute or the relative spread as defined in Table 2. COMP1 is a dummy variable that takes on a value of one for all observations in the weeks after May 1, 1882. COMP2 is a dummy variable that takes on a value of one for all observations in the weeks after September 21, 1884. COMP3 is a dummy variable that takes on a value of one for all observations in the weeks after February 17, 1885. The other variables are as defined as in Table 3. Robust standard errors are in parentheses. *** significant at 10%; ** significant at 5%; * significant at 1%.

(A) (B) (C) (D)

dependent variable

natural log of natural log of natural log of natural log of

independent variable absolute spread absolute spread relative spread relative spread


natural log of	-0.023	-0.022	-0.024	-0.023
individual security volume	(0.027)	(0.023)	(0.027)	(0.023)

natural log of	0.364*	-0.029	-0.631*	-1.016*
individual security closing price	(0.046)	(0.052)	(0.046)	(0.051)

natural log of	0.329*		0.333*
individual security volatility	(0.078)		(0.078)

post NY Mining Exchange and	-0.035	-0.021	-0.034	-0.021
Natl. Petroleum Exchange merger	(0.043)	(0.039)	(0.043)	(0.039)

initiation of trading on	-0.029	-0.064***	-0.028	-0.061***
NY Petroleum Exchange	(0.035)	(0.033)	(0.035)	(0.032)

presence of Consolidated trading	-0.108***	-0.095***	-0.105***	-0.093***
	(0.055)	(0.052)	(0.055)	(0.052)

natural log of	0.022	0.024	0.023	0.025
NYSE total weekly volume	(0.027)	(0.023)	(0.027)	(0.023)

natural log of	0.095*	0.074*	0.094*	0.073*
broker's call rate	(0.019)	(0.018)	(0.019)	(0.018)

natural log of	-0.318*	-0.142*	-0.316*	-0.142*
security's share of total volume	(0.027)	(0.023)	(0.027)	(0.023)

natural log of	-0.364*	-0.138*	-0.363*	-0.138*
concentration ratio	(0.046)	(0.036)	(0.046)	(0.036)

constant	-3.264*	-1.734*	-3.285*	-1.801*
	(0.347)	(0.333)	(0.346)	(0.330)
Company fixed effects included	no	yes	no	yes
Number of fixed effects
Quarterly time effects	yes	yes	yes	yes
Observations	11486	11486	11486	11486
R-squared	0.496	0.637	0.755	0.823
F-Statistic	66.08*	20.22*	187.29*	68.34*
Competition Variables Jointly 0
F-Statistic	4.78**	5.61**	4.56**	5.37**

Table 5. Bid-Ask Spreads on the Boston Exchange in the Pre- and Consolidated Period (December 28, 1883 - April 9, 1886)
This table reports the results from the estimation of the following model:

SPREAD_it = α₀+ β₁VOL_it+β₂CLOSE_it+ β₃STDEV_i + β₄COMP_t + β₅WVOL_it + β₆CALL_t+ β₇SHARE_it + β₈CONC_t + ε_it

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%.

(A) (B) (C) (D)

dependent variable

natural log of natural log of natural log of natural log of

independent variable absolute spread absolute spread relative spread relative spread
natural log of -0.130* -0.085** -0.075* -0.089**

individual security volume (0.039) (0.037) (0.068) (0.037)

natural log of 0.247* -0.223** -0.749* -1.183*

individual security closing price (0.068) (0.089) (0.068) (0.085)

natural log of 0.172 0.172

individual security volatility (0.111) (0.112)

presence of Consolidated trading -0.126 -0.148 -0.123 -0.145

(0.106) (0.090) (0.105) (0.090)

natural log of 0.138** 0.123** 0.142** 0.126**

broker's call rate (0.056) (0.053) (0.055) (0.054)

natural log of -0.034 0.014 -0.032 0.016

security's share of total volume (0.052) (0.036) (0.051) (0.036)

natural log of 0.035 0.066 0.036 0.069

concentration ratio (0.071) (0.076) (0.071) (0.075)

constant -0.857*** 0.935*** -0.842*** 0.824

(0.457) (0.510) (0.453) (0.501)

Company fixed effects included no yes no yes

No. of Company fixed effects 37 37

Quarterly Time Effects yes yes yes yes

Observations 1490 1490 1490 1490

R-squared 0.345 0.567 0.687 0.793

F-Statistic 18.7* 12.3* 39.9* 60.9*

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