Table 10. The Effect of Consolidated Trading on Four Dow Securities After the Consolidated Initiates Trading

Table 10. The Effect of Consolidated Trading on Four Dow Securities After the Consolidated Initiates Trading

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

SPREAD_it = α₀+ β₁VOL_it + β₂CLOSE_it+ β₃STDEV_i + β₄COMP_t + β₅MVOL_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 after the firm has entered the Dow Averages and the Consolidated initiates trading and the value of zero for the observations in the months after the security enters the Dow Averages but before the Consolidated initiates trading. The other variables are as defined as in Table 9. White-corrected 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 -0.184* -0.172* -0.181* -0.174*

individual security volume (0.021) (0.056) (0.021) (0.055)

natural log of 0.434* -0.444* -0.505* -0.490*

individual security closing price (0.093) (0.096) (0.081) (0.242)

natural log of 0.213* 0.228* 0.224* 0.242*

individual security volatility (0.037) (0.043) (0.036) (0.041)

presence of Consolidated trading -0.272* -0.254* -0.239* -0.222**

(0.105) (0.107) (0.101) (0.103)

natural log of -0.023 -0.028

NYSE total monthly volume (0.073) (0.073)

natural log of 0.199* 0.196*

broker's call rate (0.058) (0.057)

natural log of -0.020 -0.017

security's share of total volume (0.637) (0.064)

natural log of 0.072 0.030

concentration ratio (0.160) (0.158)

constant -0.901** - 0.035 -1.189* -0.250

(0.433) (1.139) (0.383) (1.128)

company fixed effects included no no no no

Observations 564 564 564 564

R-squared 0.216 0.233 0.428 0.440

Table 11. Summary Statistics of Consolidated and Post-Consolidated Period (December 26, 1924 - April 8, 1927)

This table reports the sample statistics for the trading data from the NYSE in the 120 weeks surrounding the cessation of trading of NYSE listed securities on the Consolidated Stock Exchange. One day, usually Friday, from each week is sampled. The absence of Consolidated trading takes a value of one for all observations in the 60 weeks after February 16, 1926 and is zero for the observations in the 60 weeks before Feb. 16, 1926. All other variables are as defined in Table 2.

	absolute bid-ask spread	relative bid-ask spread (%)	individual security volume	individual security closing price	individual security volatility (%)	NYSE total weekly volume (in millions)	security's share of total volume (%)	concentration ratio (%)	broker's call rate (%)	Absence of Consolidated trading (%)
	Full Sample (n = 46,280)
Mean	0.665	1.824	3,952	58.434	0.053	8.955	0.002	0.178	0.044	0.512
Median	0.375	0.995	1,100	44.250	0.043	8.683	0.001	0.168	0.043	1.000
standard dev.	2.016	2.832	10,766	55.311	0.037	2.126	0.006	0.057	0.005	0.500
Minimum	0.125	0.039	1	0.210	0.010	4.782	0.000	0.101	0.031	0.000
Maximum	200.00	105.882	617,400	2,050	0.467	15.300	0.234	0.357	0.060	1.000
	Consolidated Period (n = 22,565)
Mean	0.661	1.737	3,960	59.743	0.053	8.854	0.002	0.147	0.043
Median	0.375	0.945	1,200	45.000	0.043	8.371	0.001	0.140	0.042
standard dev.	1.668	2.807	8,932	54.262	0.036	2.139	0.005	0.032	0.006
Minimum	0.125	0.039	5	0.210	0.010	4.782	0.000	0.101	0.031
Maximum	75.25	85.714	221,100	885.00	0.467	15.300	0.099	0.236	0.060
	Post-Consolidated Period (n = 23,715)
Mean	0.669	1.906	3,944	57.188	0.053	9.051	0.002	0.207	0.044
Median	0.500	1.047	1,000	43.625	0.043	8.764	0.001	0.189	0.045
standard dev.	2.299	2.853	12,259	56.263	0.038	2.108	0.007	0.060	0.005
Minimum	0.125	0.065	1	0.500	0.010	5.024	0.000	0.108	0.036
Maximum	200.00	105.882	617,400	2,050	0.467	15.200	0.234	0.357	0.056
	Difference in Means Test Consolidated and Post-Consolidated Period
T-Statistic	-0.462	6.429	0.156	4.973	0.254	15.960	1.687	140.000	34.807
P-Value	0.644	0.000	0.876	0.000	0.800	0.000	0.092	0.000	0.000

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