The Making of a Dealer Market: From Entry to Equilibrium in the Trading of Nasdaq Stocks KATRINA ELLIS, RONI MICHAELY and MAUREEN O’HARA* *Ellis is from the University of California Davis, Michaely is from Cornell University and IDC and O’Hara is from Cornell University. The authors would like to thank Dean Furbush, Jenny Drake, and Jodi Burns of the NASD for their help with the data. We also acknowledge the helpful comments of David Easley, Pete Kyle, Tim McCormick, Paul Schultz, George Sofianos, Rene Stulz (the editor), Ingrid Werner, two anonymous referees, and seminar participants at Duke, LSE, the NYSE Conference on Equity Market Developments and at the 2000 Western Finance Association meetings.