Abstract
We examine the effects of the uptick rule on the quoting and trading of NYSE-listed stocks, and find that the uptick rule increases liquidity by decreasing quoted spreads and increasing ask depths. We also find that when the rule is suspended, those short sell orders that are executed take place at a price that is, on average, above the quote midpoint.
TOPICS: Exchanges/markets/clearinghouses, statistical methods
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The Effect of the Uptick Rule on Spreads, Depths, and Short Sale Prices
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