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Fragmentation, competition, and limit orders: New evidence from interday spreads

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  • Porter, David C.
  • Thatcher, John G.
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    File URL: http://www.sciencedirect.com/science/article/B6W5X-3YCDH2P-P/2/ca48601cb249454df4177745b37a38c9
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    Bibliographic Info

    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 38 (1998)
    Issue (Month): 1 ()
    Pages: 111-128

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    Handle: RePEc:eee:quaeco:v:38:y:1998:i:1:p:111-128

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    Web page: http://www.elsevier.com/locate/inca/620167

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Hamilton, James L, 1995. "Anatomy of Satellite Trading in the National Market System for NYSE-Listed Stocks," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 18(2), pages 189-206, Summer.
    2. Maddala, G. S. & Nimalendran, M., 1995. "An unobserved component panel data model to study the effect of earnings surprises on stock prices, trading volumes, and spreads," Journal of Econometrics, Elsevier, vol. 68(1), pages 229-242, July.
    3. Peterson, David R. & Peterson, Pamela P., 1994. "Variance increases following large stock distributions: the role of changing bid-ask spreads and true variances," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 199-206, January.
    4. Kini, Omesh & Mian, Shehzad, 1995. "Bid-Ask Spread and Ownership Structure," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 18(4), pages 401-14, Winter.
    5. Klemkosky, Robert C. & Conroy, Robert M., 1985. "Competition and the cost of liquidity to investors," Journal of Economics and Business, Elsevier, vol. 37(3), pages 183-195, August.
    6. Porter, David C & Weaver, Daniel G, 1996. " Estimating Bid-Ask Spread Components: Specialist versus Multiple Market Maker Systems," Review of Quantitative Finance and Accounting, Springer, vol. 6(2), pages 167-80, March.
    7. Venkatesh, P C, 1992. "Empirical Evidence on the Impact of the Bid-Ask Spread on the Characteristics of CRSP Daily Returns," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 15(2), pages 113-25, Summer.
    8. Miller, James M. & McConnell, John J., 1995. "Open-Market Share Repurchase Programs and Bid-Ask Spreads on the NYSE: Implications for Corporate Payout Policy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 365-382, September.
    9. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    10. Kee, H. Chung & McInish, Thomas H. & Wood, Robert A. & Wyhowski, Donald J., 1995. "Production of information, information asymmetry, and the bid-ask spread: Empirical evidence from analysts' forecasts," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1025-1046, September.
    11. Porter, David C., 1992. "The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(02), pages 209-227, June.
    12. Tinic, Seha M, 1972. "The Economics of Liquidity Services," The Quarterly Journal of Economics, MIT Press, vol. 86(1), pages 79-93, February.
    13. Hamilton, James L, 1991. "The Dealer and Market Concepts of Bid-Ask Spread: A Comparison for NASDAQ Stocks," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 14(2), pages 129-39, Summer.
    14. Benston, George J. & Hagerman, Robert L., 1974. "Determinants of bid-asked spreads in the over-the-counter market," Journal of Financial Economics, Elsevier, vol. 1(4), pages 353-364, December.
    15. McInish, Thomas H & Wood, Robert A, 1992. " An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-64, June.
    16. Tripathy, Niranjan & Peterson, Richard L, 1991. "The Relationship between OTC Bid-Ask Spreads and Dealer Size: The Impact of Order-Processing and Diversification Costs," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 14(2), pages 117-27, Summer.
    17. Hamilton, James L, 1979. "Marketplace Fragmentation, Competition, and the Efficiency of the Stock Exchange," Journal of Finance, American Finance Association, vol. 34(1), pages 171-87, March.
    18. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-89, December.
    19. Hamilton, James L., 1987. "Market information and price dispersion: Unlisted stocks and NASDAQ," Journal of Economics and Business, Elsevier, vol. 39(1), pages 67-80, February.
    20. Keim, Donald B., 1989. "Trading patterns, bid-ask spreads, and estimated security returns : The case of common stocks at calendar turning points," Journal of Financial Economics, Elsevier, vol. 25(1), pages 75-97, November.
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    Cited by:
    1. Fiorenza Belussi & Silvia Rita Sedita, 2011. "Industrial districts as open learning systems: combining emergent and deliberate knowledge structures," "Marco Fanno" Working Papers 0141, Dipartimento di Scienze Economiche "Marco Fanno".
    2. Prejmerean (Dan), Mihaela Cornelia, 2011. "The development potential of clusters in Romania," MPRA Paper 35349, University Library of Munich, Germany.
    3. Mirko Titze & Matthias Brachert & Alexander Kubis, 2011. "The Identification of Regional Industrial Clusters Using Qualitative Input-Output Analysis (QIOA)," Regional Studies, Taylor & Francis Journals, vol. 45(1), pages 89-102.
    4. Julia Wolf, 2011. "Sustainable Supply Chain Management Integration: A Qualitative Analysis of the German Manufacturing Industry," Journal of Business Ethics, Springer, vol. 102(2), pages 221-235, August.
    5. Sara Tessitore & Tiberio Daddi & Fabio Iraldo, 2010. "Eco-innovation and economic performance in industrial clusters: evidence from Italy," Working Papers 201005, Scuola Superiore Sant'Anna of Pisa, Istituto di Management.
    6. DAVID Lóránt & TOTH Géza & BUJDOSO Zoltán & REMENYIK Bulcsú, 2011. "The role of tourism in the development of border regions in Hungary," Romanian Journal of Economics, Institute of National Economy, vol. 33(2(42)), pages 109-124, December.
    7. Monteiro, Pedro & Noronha, Teresa & Neto, Paulo, 2011. "Contributions towards a Cluster Strategy for the Sea in the Algarve," Spatial and Organizational Dynamics Discussion Papers 2011-10, CIEO-Research Centre for Spatial and Organizational Dynamics, University of Algarve.
    8. Josep-Antoni Ybarra-Pérez & Rafael Doménech-Sánchez, 2011. "Governance of local production networks and public policy: The Spanish aid scheme for Innovative Business Partnerships," ERSA conference papers ersa11p394, European Regional Science Association.
    9. Pedro Valadas Monteiro & Teresa de Noronha & Paulo Neto, 2011. "The Importance of Clusters for Sustainable Innovation Processes: The Context of Small and Medium Sized Regions," CEFAGE-UE Working Papers 2011_24, University of Evora, CEFAGE-UE (Portugal).
    10. José Belso-Martínez & Xavier Molina-Morales & Francisco Más-Verdú, 2011. "How cluster membership places the mediatior effect of the internal resources on the association between KIBS and the growth of new innovative firms," ERSA conference papers ersa11p1732, European Regional Science Association.
    11. Ende, Bartholomäus & Lutat, Marco, 2010. "Trade-throughs in European cross-traded equities after transaction costs: Empirical evidence for the EURO STOXX 50," CFS Working Paper Series 2010/15, Center for Financial Studies (CFS).
    12. Ferrari, Filippo & Timoncini, Bruno & Conzatti, Silvia & Teglia, Egle, 2006. "Una proposta a sostegno dello sviluppo delle Cinque Valli Bolognesi
      [A proposal to support the development of the Cinque Valli Bolognesi]
      ," MPRA Paper 20628, University Library of Munich, Germany.
    13. Bennett, Paul & Wei, Li, 2006. "Market structure, fragmentation, and market quality," Journal of Financial Markets, Elsevier, vol. 9(1), pages 49-78, February.
    14. Mikel Navarro & Juan José Gibaja & Susana Franco & Asier Murciego, 2011. "Territorial benchmarking methodology: The need to identify reference regions," ERSA conference papers ersa11p1585, European Regional Science Association.
    15. Oliver Falck & Stefan Kipar & Ludger Wößmann, 2011. "Innovationstätigkeit von Unternehmen : die Rolle von Qualifikationen, Kooperationen und Clusterpolitik," ifo Beiträge zur Wirtschaftsforschung, Ifo Institute for Economic Research at the University of Munich, number 38.
    16. Ron Martin & Peter Sunley, 2011. "Conceptualising Cluster Evolution: Beyond the Life-Cycle Model?," Papers in Evolutionary Economic Geography (PEEG) 1112, Utrecht University, Section of Economic Geography, revised Jul 2011.
    17. Ron Martin & Peter Sunley, 2011. "Forms of Emergence and the Evolution of Economic Landscapes," Papers in Evolutionary Economic Geography (PEEG) 1116, Utrecht University, Section of Economic Geography, revised Aug 2011.

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