U.S. markets has significantly reduced bid–ask spreads (see NYSE, 2001; NASDAQ, 2001; Chak- ravarty et al., 2001a,b; Chung et al., 2001; Gibson et al., 2002). These findings coincide with two earl- ier studies (Ahn et al., 1998; Bacidore, 1997) on the Toronto Stock Exchange (TSE). Bacidore et al.,[r]