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'Teenies' anyone?

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  • Ronen, Tavy
  • Weaver, Daniel G.
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Markets.

    Volume (Year): 4 (2001)
    Issue (Month): 3 (June)
    Pages: 231-260

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    Handle: RePEc:eee:finmar:v:4:y:2001:i:3:p:231-260

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

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    References

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    1. Hasbrouck, Joel, 1991. "The Summary Informativeness of Stock Trades: An Econometric Analysis," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 571-95.
    2. Jerry A. Hausman & Andrew W. Lo & A. Craig MacKinlay, 1991. "An Ordered Probit Analysis of Transaction Stock Prices," NBER Working Papers 3888, National Bureau of Economic Research, Inc.
    3. Kandel, Eugene & Marx, Leslie M., 1997. "Nasdaq market structure and spread patterns," Journal of Financial Economics, Elsevier, Elsevier, vol. 45(1), pages 61-89, July.
    4. Michael A. Goldstein & Kenneth A. Kavajecz, . "Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 14-98, Wharton School Rodney L. White Center for Financial Research.
    5. Lee, Charles M C & Mucklow, Belinda & Ready, Mark J, 1993. "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 345-74.
    6. Jones, C.M. & Lipson, M.L., 1999. "Execution Costs of Institutional Equity Orders," Papers 99-1, Columbia - Graduate School of Business.
    7. Jones, Charles M. & Lipson, Marc L., 1999. "Execution Costs of Institutional Equity Orders," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 8(3), pages 123-140, July.
    8. George, Thomas J. & Hwang, Chuan-Yang, 1995. "Transitory Price Changes and Price-Limit Rules: Evidence from the Tokyo Stock Exchange," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(02), pages 313-327, June.
    9. Ahn, Hee-Joon & Cao, Charles Q. & Choe, Hyuk, 1998. "Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities," Journal of Financial Markets, Elsevier, Elsevier, vol. 1(1), pages 51-87, April.
    10. Forster, Margaret M. & George, Thomas J., 1995. "Trading hours, information flow, and international cross-listing," International Review of Financial Analysis, Elsevier, vol. 4(1), pages 19-34.
    11. Smith, Tom, 1994. "Econometrics of Financial Models and Market Microstructure Effects," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(04), pages 519-540, December.
    12. Charles Cao & Eric Ghysels & Frank Hatheway, 2000. "Price Discovery without Trading: Evidence from the Nasdaq Preopening," Journal of Finance, American Finance Association, vol. 55(3), pages 1339-1365, 06.
    13. Oliver Hansch & Narayan Y. Naik & S. Viswanathan, 1999. "Preferencing, Internalization, Best Execution, and Dealer Profits," Journal of Finance, American Finance Association, vol. 54(5), pages 1799-1828, October.
    14. Chordia, Tarun & Subrahmanyam, Avanidhar, 1995. "Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence," The Journal of Business, University of Chicago Press, vol. 68(4), pages 543-75, October.
    15. Harris, Lawrence, 1990. "Estimation of Stock Price Variances and Serial Covariances from Discrete Observations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(03), pages 291-306, September.
    16. Angel, James J, 1997. " Tick Size, Share Prices, and Stock Splits," Journal of Finance, American Finance Association, vol. 52(2), pages 655-81, June.
    17. Bernhardt, Dan & Hughson, Eric, 1996. "Discrete Pricing and the Design of Dealership Markets," Journal of Economic Theory, Elsevier, vol. 71(1), pages 148-182, October.
    18. Ronen, Tavy, 1997. "Tests and Properties of Variance Ratios in Microstructure Studies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(02), pages 183-204, June.
    19. Madhavan, Ananth & Panchapagesan, Venkatesh, 2000. "Price Discovery in Auction Markets: A Look Inside the Black Box," Review of Financial Studies, Society for Financial Studies, vol. 13(3), pages 627-58.
    20. Ahn, Hee-Joon & Cao, Charles Q. & Choe, Hyuk, 1996. "Tick Size, Spread, and Volume," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 5(1), pages 2-22, January.
    21. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-46, June.
    22. Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 631-51.
    23. Harris, Lawrence E, 1994. "Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes," Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 149-78.
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    Cited by:
    1. Hau, Harald, 2002. "The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse," CEPR Discussion Papers 3651, C.E.P.R. Discussion Papers.
    2. Maria Kasch-Haroutounian & Erik Theissen, 2009. "Competition between Exchanges: Euronext versus Xetra," European Financial Management, European Financial Management Association, vol. 15(1), pages 181-207.
    3. Javier Gil-Bazo & David Moreno & Mikel Tapia, 2005. "Price Dynamics, Informational Efficiency And Wealth Distribution In Continuous Double Auction Markets," Business Economics Working Papers, Universidad Carlos III, Departamento de Economía de la Empresa wb057819, Universidad Carlos III, Departamento de Economía de la Empresa.
    4. Vuorenmaa, Tommi A., 2008. "Decimalization, Realized Volatility, and Market Microstructure Noise," MPRA Paper 8692, University Library of Munich, Germany.
    5. Gajewski, Jean-Francois & Gresse, Carole, 2007. "Centralised order books versus hybrid order books: A paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2906-2924, September.
    6. Portniaguina, Evgenia & Bernhardt, Dan & Hughson, Eric, 2006. "Hybrid markets, tick size and investor trading costs," Journal of Financial Markets, Elsevier, Elsevier, vol. 9(4), pages 433-447, November.
    7. Kam, Tai-Kong & Panchapagesan, Venkatesh & Weaver, Daniel G., 2003. "Competition among markets: The repeal of Rule 390," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1711-1736, September.
    8. Khalil Dayri & Mathieu Rosenbaum, 2012. "Large tick assets: implicit spread and optimal tick size," Papers 1207.6325, arXiv.org, revised Jan 2013.

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