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Risk allocation and inter-dealer trading

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  • Vogler, Karl-Hubert
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    Bibliographic Info

    Article provided by Elsevier in its journal European Economic Review.

    Volume (Year): 41 (1997)
    Issue (Month): 8 (August)
    Pages: 1615-1634

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    Handle: RePEc:eee:eecrev:v:41:y:1997:i:8:p:1615-1634

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    Web page: http://www.elsevier.com/locate/eer

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    1. Petersen, Mitchell A. & Fialkowski, David, 1994. "Posted versus effective spreads *1: Good prices or bad quotes?," Journal of Financial Economics, Elsevier, vol. 35(3), pages 269-292, June.
    2. Peter C. Reiss & Ingrid M. Werner, 1994. "Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange," NBER Working Papers 4727, National Bureau of Economic Research, Inc.
    3. Richard K. Lyons., 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," Research Program in Finance Working Papers RPF-230, University of California at Berkeley.
    4. Richard K. Lyons, 1993. "Optimal Transparency in a Dealership Market with an Application to Foreign Exchange," NBER Working Papers 4467, National Bureau of Economic Research, Inc.
    5. de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1995. "A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International," European Economic Review, Elsevier, vol. 39(7), pages 1277-1301, August.
    6. Madhavan, Ananth, 1992. " Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-41, June.
    7. Ho, Thomas S Y & Stoll, Hans R, 1983. " The Dynamics of Dealer Markets under Competition," Journal of Finance, American Finance Association, vol. 38(4), pages 1053-74, September.
    8. Kyle, Albert S, 1989. "Informed Speculation with Imperfect Competition," Review of Economic Studies, Wiley Blackwell, vol. 56(3), pages 317-55, July.
    9. Biais, Bruno, 1993. " Price Information and Equilibrium Liquidity in Fragmented and Centralized Markets," Journal of Finance, American Finance Association, vol. 48(1), pages 157-85, March.
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    Cited by:
    1. Derviz, Alexis, 2004. "Asset return dynamics and the FX risk premium in a decentralized dealer market," European Economic Review, Elsevier, vol. 48(4), pages 747-784, August.
    2. Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February.
    3. Zalewska, Ania, 1999. "Does Market Organization Speed Up Market Stabilization? First Lessons From the Budapest and Warsaw Stock Exchanges," CEPR Discussion Papers 2134, C.E.P.R. Discussion Papers.
    4. Andrew Clare & Mark Johnson & James Proudman & Victoria Saporta, 1999. "The Impact of UK Macroeconomic Announcements on the Market for Gilts," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-16 Bank for International Settlements.
    5. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 2001-10, Federal Reserve Bank of San Francisco.
    6. Nicolas Audet & Toni Gravelle & Jing Yang, 2002. "Alternative Trading Systems: Does One Shoe Fit All?," Working Papers 02-33, Bank of Canada.

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