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Citations of
Hans R. Stoll

For current contact information and a more complete listing of works, please see here

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Working papers

  1. Thomas Ho & Hans Stoll, . "Optimal Dealer Pricing Under Transactions and Return Uncertainty," Rodney L. White Center for Financial Research Working Papers 27-79, Wharton School Rodney L. White Center for Financial Research.
    Published as:

    Cited by:

    1. Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley. [Downloadable!]
      Other versions:
    2. Geir Hoidal Bjonnes & Dagfinn Rime, 2003. "Dealer Behavior and Trading Systems in Foreign Exchange Markets," Working Paper 2003/10, Norges Bank. [Downloadable!]
      Other versions:
    3. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    4. Shafiqur Rahman & Chandrasekhar Krishnamurti & Alice Lee, 2005. "The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 91-124, September. [Downloadable!] (restricted)
    5. 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. [Downloadable!] (restricted)
    6. Roger Huang & H. Weingartner, 2000. "Do Market Makers Suffer from Splitting Headaches?," Journal of Financial Services Research, Springer, vol. 17(2), pages 105-126, August. [Downloadable!] (restricted)
    7. Anthony W. Lynch & Sinan Tan, 2004. "Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs," NBER Working Papers 10994, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. Robert Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 1999-05, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    9. Yi-Tsung Lee & Yu-Jane Liu & Richard Roll & Avanidhar Subrahmanyam, 2001. "Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange, Forthcoming in the Journal of Financial and Quantitative Analysis," University of California at Los Angeles, Anderson Graduate School of Management 1021, Anderson Graduate School of Management, UCLA. [Downloadable!]
    10. Bjonnes,H. & Rime,D., 2000. "FX trading ... LIVE! : dealer behavior and trading systems in foreign exchange markets," Memorandum 29/2000, Oslo University, Department of Economics. [Downloadable!]
    11. Salomonsson, Marcus, 2009. "Introducing a spread into the Kyle model," Working Paper Series in Economics and Finance 713, Stockholm School of Economics. [Downloadable!]
    12. John R. Ezzell & James A. Miles & J. Harold Mulherin, 2001. "Is there Really a When-Issued Premium?," Claremont Colleges Working Papers 2001-34, Claremont Colleges. [Downloadable!]
    13. Harris, Jeffrey H. & Panchapagesan, Venkatesh & Werner, Ingrid, 2008. "Off but Not Gone: A Study of Nasdaq Delistings," Working Paper Series 2008-6, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    14. Liang Ding, 2009. "Bid-ask spread and order size in the foreign exchange market: an empirical investigation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 98-105. [Downloadable!]
    15. Jordi Caballe, 1991. "Expectativas racionales, competencia perfecta y comportamiento estratégico en los mercados financieros," Investigaciones Economicas, Fundación SEPI, vol. 15(1), pages 3-34, January. [Downloadable!]
    16. Geir Høidal Bjønnes, Dagfinn Rime and Haakon O.Aa. Solheim, 2004. "Liquidity provision in the overnight foreign exchange market," Discussion Papers 391, Research Department of Statistics Norway. [Downloadable!]
      Other versions:
    17. Jan Krahnen & Martin Weber, 2001. "Marketmaking in the Laboratory: Does Competition Matter?," Experimental Economics, Springer, vol. 4(1), pages 55-85, June. [Downloadable!] (restricted)
      Other versions:
    18. Sugato Chakravarty & Frederick H. deB. Harris & Robert A. Wood, 2002. "Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?," Econometrics 0201003, EconWPA. [Downloadable!]
      Other versions:
    19. Michael J. Fleming & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York. [Downloadable!]
    20. Gianni De Nicoló & Iryna V. Ivaschenko, 2009. "Global Liquidity, Risk Premiums and Growth Opportunities," IMF Working Papers 09/52, International Monetary Fund. [Downloadable!]
    21. Bjonnes,H. & Rime,D., 2000. "Customer trading and information in foreign exchange markets," Memorandum 30/2000, Oslo University, Department of Economics. [Downloadable!]
    22. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
      Other versions:
    23. Tarun Chordia & Richard Roll & Avanidhar Subrahmanyam, 2003. "Determinants of Daily Fluctuations in Liquidity and Trading Activity," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(121), pages 728-751. [Downloadable!]
    24. Lescourret, Laurence & Robert, Christian Y., 2006. "Preferencing, internalization and inventory position," ESSEC Working Papers DR 06017, ESSEC Research Center, ESSEC Business School. [Downloadable!]
    25. Junjian Miao, . "A search model of centralized and decentralized trade," Boston University - Department of Economics - Macroeconomics Working Papers Series WP2005-012, Boston University - Department of Economics, revised Oct 2005. [Downloadable!]
      Other versions:
    26. Décamps, Jean-Paul & Lovo, Stefano, 2003. "Risk Aversion and Herd Behavior in Financial Markets," IDEI Working Papers 246, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
    27. Voetmann, Torben, 2001. "Changes in The Bid-Ask Components Around Earnings Announcements: Evidence from the Copenhagen Stock Exchange," Working Papers 2000-6, Copenhagen Business School, Department of Finance. [Downloadable!]
    28. Chris D'Souza & Ingrid Lo & Stephen Sapp, 2007. "Price Formation and Liquidity Provision in Short-Term Fixed Income Markets," Working Papers 07-27, Bank of Canada. [Downloadable!]
    29. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," CORE Discussion Papers 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    30. Gianni De Nicolò & Iryna Ivaschenko, 2009. "Global Liquidity, Risk Premiums and Growth Opportunities," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    31. Victoria Saporta & Giorgio Trebeschi & Anne Vila, . "Price formation and transparency on the London Stock Exchange," Bank of England working papers 95, Bank of England. [Downloadable!]
    32. LOVO, Stefano & DECAMPS, Jean-Paul, 2002. "Risk aversion and herd behavior in financial markets," Les Cahiers de Recherche 758, HEC Paris. [Downloadable!]
    33. Michael J. Fleming, 2002. "Are larger Treasury issues more liquid? Evidence from bill reopenings," Staff Reports 145, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    34. Törbjörn I. Becker & Amadou N. R. Sy, 2005. "Were Bid-Ask Spreads in the FX Market Excessive During the Asian Crisis?," IMF Working Papers 05/34, International Monetary Fund. [Downloadable!]
      Other versions:
    35. Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    36. Pu Shen & Ross M. Starr, 2000. "Market makers' supply and pricing of financial market liquidity," Research Working Paper RWP 00-03, Federal Reserve Bank of Kansas City. [Downloadable!]
    37. Lee, Kuan-Hui, 2005. "The World Price of Liquidity Risk," Working Paper Series 2006-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    38. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 01-10, Federal Reserve Bank of San Francisco. [Downloadable!]
      Other versions:
    39. Thomas Gehrig & Matthew Jackson, 1994. "Bid-Ask Spreads with Indirect Competition Among Specialists," Discussion Papers 1107, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
      Other versions:
    40. Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
    41. Gerhard Kling, 2005. "The impact of trading mechanisms and stock characteristics on order processing and information costs: A panel GMM approach," Economics Bulletin, Economics Bulletin, vol. 7(5), pages 1-11. [Downloadable!]
    42. Pu Shen & Ross Starr, 2000. "Market Makers' Supply and Pricing of Financial Market Liquidity," University of California at San Diego, Economics Working Paper Series 2000-28, Department of Economics, UC San Diego. [Downloadable!]
    43. Rafael Romeu, 2003. "An Intraday Pricing Model of Foreign Exchange Markets," IMF Working Papers 03/115, International Monetary Fund. [Downloadable!]
    44. C. L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York. [Downloadable!]
    45. Ron Kaniel & Hong Liu, . "Are Transactions and Market Orders More Important than Limit Orders in the Quote Updating Process?," Rodney L. White Center for Financial Research Working Papers 16-98, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    46. Roberto Pascual & Alvaro Escribano & Mikel Tapia, 2004. "On the bi-dimensionality of liquidity," European Journal of Finance, Taylor and Francis Journals, vol. 10(6), pages 542-566, December. [Downloadable!] (restricted)
    47. Stefano Benati & M. Tavernini, 1998. "A new lagrangean heuristic for the generalized assignment problem," Quaderni DISA 014, Department of Computer and Management Sciences, University of Trento, Italy.
    48. Robert F. Engle & Joe Lange, 1997. "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market," NBER Working Papers 6129, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    49. THEISSEN, Erik, 1999. "Floor versus Screen Trading : Evidence from the German Stock Market," Les Cahiers de Recherche 690, HEC Paris. [Downloadable!]
      Other versions:
    50. Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004. "Over-the-Counter Markets," NBER Working Papers 10816, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
      • Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2005. "Over-the-Counter Markets," Econometrica, Econometric Society, vol. 73(6), pages 1815-1847, November. [Downloadable!] (restricted)
    51. Karl Ludwig Keiber, 2005. "The Informational Content of Transactions," Financial Markets and Portfolio Management, Springer, vol. 19(1), pages 47-60, June. [Downloadable!] (restricted)
    52. Luc Bauwens & Pierre Giot, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annales d'Economie et de Statistique, ADRES, issue 60, pages 06, Octobre-D. [Downloadable!]
    53. Christian At & Laurent Flochel & Patrick Roger, 2002. "Market-making, inventories and martingale pricing," Post-Print halshs-00178162_v1, HAL. [Downloadable!]
    54. Flynn, Sean M., 2005. "Noise-trader Risk: Does it Deter Arbitrage, and Is it Priced?," Vassar College Department of Economics Working Paper Series 69, Vassar College Department of Economics. [Downloadable!]
    55. Jennifer Huang & Jiang Wang, 2008. "Liquidity and Market Crashes," NBER Working Papers 14013, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    56. Andreas Krause, 2000. "Microstructure Effects on Daily Return Volatility in Financial Markets," Quantitative Finance Papers cond-mat/0011295, arXiv.org. [Downloadable!]
    57. Ingmar Nolte & Sandra Lechner, 2007. "Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform," CoFE Discussion Paper 07-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    58. Sasha Stoikov & Mehmet Sağlam, 2009. "Option market making under inventory risk," Review of Derivatives Research, Springer, vol. 12(1), pages 55-79, April. [Downloadable!] (restricted)
    59. Rafael Romeu, 2004. "A Puzzle of Microstructure Market Maker Models," IMF Working Papers 04/6, International Monetary Fund. [Downloadable!]
    60. Sigridur Benediktsdottir, 2006. "An empirical analysis of specialist trading behavior at the New York Stock Exchange," International Finance Discussion Papers 876, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    61. Rodolfo Apreda, 2001. "The Brokerage of Asymmetric Information," CEMA Working Papers: Serie Documentos de Trabajo. 190, Universidad del CEMA. [Downloadable!]
    62. Narasimhan Jegadeesh & Sheridan Titman, 1990. "Short Horizon Reversals and the Bid-Ask Spread," University of California at Los Angeles, Anderson Graduate School of Management 1183, Anderson Graduate School of Management, UCLA. [Downloadable!]
    63. John Thornton, 1993. "The Determinants Of The Spread In The Black Market For Dollars In Costa Rica," International Economic Journal, Korean International Economic Association, vol. 7(4), pages 43-47, December. [Downloadable!] (restricted)
    64. Bryan R. Routledge & Stanley E. Zin, 2001. "Model Uncertainty and Liquidity," NBER Working Papers 8683, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    65. BAUWENS, Luc & GIOT, Pierre, 1998. "Asymmetric ACD models: introducing price information in ACD models with a two state transition model," CORE Discussion Papers 1998044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  2. Hans R. Stoll, . "The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks," Rodney L. White Center for Financial Research Working Papers 13-77, Wharton School Rodney L. White Center for Financial Research.
    Published as:

    Cited by:

    1. Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society. [Downloadable!]
    2. Christian Leuz, 2000. "IAS versus US GAAP: A "New Market" Based Comparison," Working Paper Series: Finance and Accounting 48, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
    3. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2005. "The joint dynamics of liquidity, returns, and volatility across small and large firms," Staff Reports 207, Federal Reserve Bank of New York. [Downloadable!]
    4. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003. "An empirical analysis of stock and bond market liquidity," Staff Reports 164, Federal Reserve Bank of New York. [Downloadable!]
    5. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," CORE Discussion Papers 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    6. Gleason, Katherine I., 2003. "Insider trading, NASDAQ quotes, and market maker competition," Working Papers 2003-09, University of New Orleans, Department of Economics and Finance. [Downloadable!]
    7. Tarun Chordia & Richard Roll & Avanidhar Subrahmanyam, 2000. "Order Imbalance, Liquidity, and Market Returns," University of California at Los Angeles, Anderson Graduate School of Management 1073, Anderson Graduate School of Management, UCLA. [Downloadable!]
    8. Karl A. Muller & Edward J. Riedl & Thorsten Sellhorn, 2008. "Consequences of Voluntary and Mandatory Fair Value Accounting: Evidence Surrounding IFRS Adoption in the EU Real Estate Industry," Harvard Business School Working Papers 09-033, Harvard Business School. [Downloadable!]
    9. Victoria Saporta, . "Which Inter-dealer Market Prevails? An analysis of inter-dealer trading in opaque markets," Bank of England working papers 59, Bank of England. [Downloadable!]
    10. Tao Chen, 2009. "Informational Efficiency: Which Institutions Matter?," Asia-Pacific Financial Markets, Springer, vol. 16(2), pages 141-168, June. [Downloadable!] (restricted)
    11. Vijay Bhasin & Rebel A. Cole & Joseph K. Kiely, 1996. "Changes in REIT liquidity 1990-94: evidence from intra-day transactions," Finance and Economics Discussion Series 96-22, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    12. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2001. "An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies," University of California at Los Angeles, Anderson Graduate School of Management 1018, Anderson Graduate School of Management, UCLA. [Downloadable!]
    13. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2001. "Common determinants of bond and stock market liquidity: the impact of financial crises, monetary policy, and mutual fund flows," Staff Reports 141, Federal Reserve Bank of New York. [Downloadable!]
    14. Bryant, Henry L. & Haigh, Michael S., 2002. "Bid-Ask Spreads In Commodity Futures Markets," Working Papers 28587, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
    15. Tarun Chordia & L Shivakumar & Avanidhar Subrahmanyam, 2000. "Liquidity Dynamics Across Small and Large Firms," University of California at Los Angeles, Anderson Graduate School of Management 1068, Anderson Graduate School of Management, UCLA. [Downloadable!]
    16. Björn Hagströmer & Richard G. Anderson & Jane M. Binner & Birger Nilsson, 2009. "Dynamics in systematic liquidity," Working Papers 2009-025, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:

  3. Aris Protopapadakis & Hans R. Stoll, . "Spot and Futures Prices and the Law of One Price," Rodney L. White Center for Financial Research Working Papers 17-82, Wharton School Rodney L. White Center for Financial Research.
    Published as:

    Cited by:

    1. Alejandro Balbás & María Muñoz-Bouzo, 2002. "Stochastic measures of arbitrage," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 10(2), pages 289-324, December. [Downloadable!] (restricted)
    2. Wang, Qizhi & Chidmi, Benaissa, 2009. "Cotton Price Risk Management across Different Countries," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46762, Southern Agricultural Economics Association. [Downloadable!]
    3. John Sarich, 2006. "What do we know about the real exchange rate? A classical cost of production story," Review of Political Economy, Taylor and Francis Journals, vol. 18(4), pages 469-496, October. [Downloadable!] (restricted)
    4. Alejandro Balbás & Susana López, 2001. "Financial innovation and arbitrage in the Spanish bond market," Business Economics Working Papers wb010101, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    5. Llad Phillips & John Pippenger, 2005. "Some Pitfalls in Testing the Law of One Price in Commodity Markets," University of California at Santa Barbara, Economics Working Paper Series wp4-05, Department of Economics, UC Santa Barbara. [Downloadable!]
    6. Walter C. Labys, 2003. "New Directions in the Modeling and Forecasting of Commodity Markets," Mondes en développement, De Boeck Université, vol. 122(2), pages 3-19. [Downloadable!]
    7. Baffes, John & Ajwad, Mohamed I., 1998. "Detecting price links in the world cotton market," Policy Research Working Paper Series 1944, The World Bank. [Downloadable!]
    8. John Pippenger, 2004. "The Modern Theory of the LOP and PPP: Some Implications," University of California at Santa Barbara, Economics Working Paper Series 03-04, Department of Economics, UC Santa Barbara. [Downloadable!]

  4. Hans R. Stoll, . "Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium," Rodney L. White Center for Financial Research Working Papers 17-79, Wharton School Rodney L. White Center for Financial Research.
    Published as:

    Cited by:

    1. Hector O. Zapata & T. RANDALL FORTENBERY, 1995. "Stochastic Interest Rates and Price Discovery in Selected Commodity Markets," Wisconsin-Madison Agricultural and Applied Economics Staff Papers 383, Wisconsin-Madison Agricultural and Applied Economics Department. [Downloadable!]
    2. David Hirshleifer, 1983. "A Model of Hedging and Futures Price Bias," University of California at Los Angeles, Anderson Graduate School of Management 1207, Anderson Graduate School of Management, UCLA. [Downloadable!]
    3. Roon, F.A. de & Nijman, T.E. & Werker, B.J.M., 1999. "Currency hedging for international stock portfolios : a general approach," Discussion Paper 123, Tilburg University, Center for Economic Research. [Downloadable!]
    4. Roon, F.A. de & Nijman, T.E. & Werker, B.J.M., 2000. "Currency Hedging for International Stock Portfolios," Research Paper ERS-2000-21-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    5. Werker, B.J.M. & Goorbergh, R.W.J. van den & Roon, de F.A., 2003. "Economic hedging portfolios," Discussion Paper 102, Tilburg University, Center for Economic Research. [Downloadable!]
    6. Hector O. ZAPATA & T. Randall FORTENBERY, 1995. "Stochastic Interest Rates And Price Discovery In Selected Commodity Markets," Staff Papers 383, University of Wisconsin Madison, AAE. [Downloadable!]

  5. Hans R. Stoll, . "The Supply of Dealer Services in Securities Markets," Rodney L. White Center for Financial Research Working Papers 02-78, Wharton School Rodney L. White Center for Financial Research.
    Other versions:
    Published as:

    Cited by:

    1. Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley. [Downloadable!]
      Other versions:
    2. Shafiqur Rahman & Chandrasekhar Krishnamurti & Alice Lee, 2005. "The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 91-124, September. [Downloadable!] (restricted)
    3. Anthony W. Lynch & Sinan Tan, 2004. "Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs," NBER Working Papers 10994, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," NBER Working Papers 8816, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Lance E. Davis & Larry Neal & Eugene N. White, 2005. "The Highest Price Ever: The Great NYSE Seat Sale of 1928-1929 and Capacity Constraints," NBER Working Papers 11556, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    6. Albert J. Menkveld & Asani Sarkar & Michel van der Wel, 2007. "Macro News, Riskfree Rates, and the Intermediary," Tinbergen Institute Discussion Papers 07-086/2, Tinbergen Institute. [Downloadable!]
    7. Salomonsson, Marcus, 2009. "Introducing a spread into the Kyle model," Working Paper Series in Economics and Finance 713, Stockholm School of Economics. [Downloadable!]
    8. Liang Ding, 2009. "Bid-ask spread and order size in the foreign exchange market: an empirical investigation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 98-105. [Downloadable!]
    9. Michael J. Fleming & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York. [Downloadable!]
    10. James Weston, 2002. "Electronic Communication Networks and Liquidity on the Nasdaq," Journal of Financial Services Research, Springer, vol. 22(1), pages 125-139, August. [Downloadable!] (restricted)
    11. Carsten Detken & Philipp Hartmann, 2000. "The Euro and International Capital Markets," EUI-RSCAS Working Papers 27, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS). [Downloadable!]
      Other versions:
    12. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," CORE Discussion Papers 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    13. Filip Žikeš & Vít Bubák, 2006. "Trading Intensity and Intraday Volatility on the Prague Stock Exchange: Evidence from an Autoregressive Conditional Duration Model (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(5-6), pages 223-245, May. [Downloadable!]
    14. Victoria Saporta & Giorgio Trebeschi & Anne Vila, . "Price formation and transparency on the London Stock Exchange," Bank of England working papers 95, Bank of England. [Downloadable!]
    15. Michael J. Fleming, 2002. "Are larger Treasury issues more liquid? Evidence from bill reopenings," Staff Reports 145, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    16. Dorn, Daniel & Huberman, Gur & Sengmueller, Paul, 2007. "Correlated Trading and Returns," CEPR Discussion Papers 6530, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    17. Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    18. Pu Shen & Ross M. Starr, 2000. "Market makers' supply and pricing of financial market liquidity," Research Working Paper RWP 00-03, Federal Reserve Bank of Kansas City. [Downloadable!]
    19. Lee, Kuan-Hui, 2005. "The World Price of Liquidity Risk," Working Paper Series 2006-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    20. Beni Lauterbach & Meyer Ungar, 1997. "Switching to Continuous Trading and its Impact on Return Behavior and Volume of Trade," Journal of Financial Services Research, Springer, vol. 12(1), pages 39-50, August. [Downloadable!] (restricted)
    21. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 01-10, Federal Reserve Bank of San Francisco. [Downloadable!]
      Other versions:
    22. Thomas Gehrig & Matthew Jackson, 1994. "Bid-Ask Spreads with Indirect Competition Among Specialists," Discussion Papers 1107, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
      Other versions:
    23. Menkveld, Albert J. & Cheung, Yiu C. & Jong, Frank de, 2006. "Euro-Area Sovereign Yield Dynamics: the role of order imbalance," Serie Research Memoranda 0006, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
      Other versions:
    24. Burnside, A Craig & Eichenbaum, Martin & Kleshchelski, Isaac & Rebelo, Sérgio, 2006. "The Returns to Currency Speculation," CEPR Discussion Papers 5883, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    25. Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
    26. Tarun Chordia & Richard Roll & Avanidhar Subrahmanyam, 2000. "Order Imbalance, Liquidity, and Market Returns," University of California at Los Angeles, Anderson Graduate School of Management 1073, Anderson Graduate School of Management, UCLA. [Downloadable!]
    27. Pu Shen & Ross Starr, 2000. "Market Makers' Supply and Pricing of Financial Market Liquidity," University of California at San Diego, Economics Working Paper Series 2000-28, Department of Economics, UC San Diego. [Downloadable!]
    28. Rafael Romeu, 2003. "An Intraday Pricing Model of Foreign Exchange Markets," IMF Working Papers 03/115, International Monetary Fund. [Downloadable!]
    29. David German, 2009. "Hedging in an equilibrium-based model for a large investor," Quantitative Finance Papers 0910.3258, arXiv.org. [Downloadable!]
    30. Andreas Krause, 1999. "Implicit Collusion in Dealer Markets with Different Costs of Market Making," Finance 9903002, EconWPA. [Downloadable!]
    31. Stefano Benati & M. Tavernini, 1998. "A new lagrangean heuristic for the generalized assignment problem," Quaderni DISA 014, Department of Computer and Management Sciences, University of Trento, Italy.
    32. Tarun Chordia & Avanidhar Subrahmanyam, 2000. "Order Imbalance and Individual Stock Returns," University of California at Los Angeles, Anderson Graduate School of Management 1080, Anderson Graduate School of Management, UCLA. [Downloadable!]
    33. Victoria Saporta, . "Which Inter-dealer Market Prevails? An analysis of inter-dealer trading in opaque markets," Bank of England working papers 59, Bank of England. [Downloadable!]
    34. Karl Ludwig Keiber, 2005. "The Informational Content of Transactions," Financial Markets and Portfolio Management, Springer, vol. 19(1), pages 47-60, June. [Downloadable!] (restricted)
    35. Luc Bauwens & Pierre Giot, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annales d'Economie et de Statistique, ADRES, issue 60, pages 06, Octobre-D. [Downloadable!]
    36. Albert J. Menkveld & Asani Sarkar & Michel van der Wel, 2007. "Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures," Staff Reports 307, Federal Reserve Bank of New York. [Downloadable!]
    37. Karyn L. Williams, 2000. "Price Discovery in Multiple-Dealer Markets: The Case of the Interbank Foreign Exchange Market," Claremont Colleges Working Papers 2000-37, Claremont Colleges. [Downloadable!]
    38. Dunne, Peter & Hau, Harald & Moore, Michael, 2008. "A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market," CEPR Discussion Papers 6969, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    39. Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2009. "Crises and Liquidity in Over-the-Counter Markets," NBER Working Papers 15414, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    40. Andreas Krause, 2000. "Microstructure Effects on Daily Return Volatility in Financial Markets," Quantitative Finance Papers cond-mat/0011295, arXiv.org. [Downloadable!]
    41. G.G. Booth, P. Iversen, S.K. Sarkar, H. Schmidt, A. Young, 1999. "Market structure and bid-ask spreads: IBIS vs Nasdaq," European Journal of Finance, Taylor and Francis Journals, vol. 5(1), pages 51-71, March. [Downloadable!] (restricted)
    42. Rafael Romeu, 2004. "A Puzzle of Microstructure Market Maker Models," IMF Working Papers 04/6, International Monetary Fund. [Downloadable!]
    43. Sigridur Benediktsdottir, 2006. "An empirical analysis of specialist trading behavior at the New York Stock Exchange," International Finance Discussion Papers 876, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    44. Wai-Ming Fong & Giorgio Valente & Joseph K.W. Fung, 2008. "FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value," Working Papers 082008, Hong Kong Institute for Monetary Research. [Downloadable!]
    45. Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2008. "Crashes and Recoveries in Illiquid Markets," NBER Working Papers 14119, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    46. Helena, BELTRAN & Pierre, GIOT & Joachim, GRAMMIG, 2005. "Commonalities in the order book," Discussion Papers (ECON - Département des Sciences Economiques) 2005014, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    47. Matos, Joao Amaro de & Antao, Paula, 2000. "Market Illiquidity and the Bid-Ask Spread of Derivatives," FEUNL Working Paper Series wp386, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]
    48. Anna Calamia, 1999. "Market Microstructure: Theory and Empirics," LEM Papers Series 1999/19, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    49. S. P. Kothari, 2000. "The role of financial reporting in reducing financial risks in the market," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, issue Jun, pages 89-112. [Downloadable!]

  6. Thomas Ho & Hans Stoll, . "On Dealer Markets Under Competition," Rodney L. White Center for Financial Research Working Papers 01-80, Wharton School Rodney L. White Center for Financial Research.
    Other versions:
    Published as:

    Cited by:

    1. Craig H. Furfine & Eli M. Remolona, 2005. "Price discovery in a market under stress: the U.S. Treasury market in fall 1998," Working Paper Series WP-05-06, Federal Reserve Bank of Chicago. [Downloadable!]
    2. Tarsila Segalla Afanasieff & Priscilla Maria Villa Lhacer & Márcio Issao Nakane, 2001. "The Determinants of Bank Interest Spread in Brazil," Anais do XXIX Encontro Nacional de Economia [Proceedings of the 29th Brazilian Economics Meeting] 051, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
    3. Jennifer Huang & Jiang Wang, 2008. "Market Liquidity, Asset Prices and Welfare," NBER Working Papers 14058, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Andreas Krause, 1999. "Implicit Collusion in Dealer Markets with Different Costs of Market Making," Finance 9903002, EconWPA. [Downloadable!]
    5. Jan Hanousek & Richard Podpiera, 2000. "How Important Is Informed Trading for the Bid-Ask Spread? Evidence from an Emerging Market," CERGE-EI Working Papers wp168, The Center for Economic Research and Graduate Education - Economic Institute, Prague. [Downloadable!]
      Other versions:
    6. 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. [Downloadable!] (restricted)
      Other versions:
    7. Wenersamy Ramos de Alcântara, 2008. "An Integrated Model for Liquidity Management and Short-Term Asset Allocation in Commercial Banks," Working Papers Series 168, Central Bank of Brazil, Research Department. [Downloadable!]

Articles

  1. Stoll, Hans R. & Schenzler, Christoph, 2006. "Trades outside the quotes: Reporting delay, trading option, or trade size?," Journal of Financial Economics, Elsevier, vol. 79(3), pages 615-653, March. [Downloadable!] (restricted)

    Cited by:

    1. Rosenthal, Dale W.R., 2008. "Modeling Trade Direction," MPRA Paper 10209, University Library of Munich, Germany. [Downloadable!]

  2. Hans R. Stoll, 2006. "Electronic Trading in Stock Markets," Journal of Economic Perspectives, American Economic Association, vol. 20(1), pages 153-174, Winter. [Downloadable!] (restricted)

    Cited by:

    1. Rosenthal, Dale W.R., 2008. "Modeling Trade Direction," MPRA Paper 10209, University Library of Munich, Germany. [Downloadable!]
    2. Söderberg, Jonas, 2008. "Liquidity on the Scandinavian Order-driven Stock Exchanges," CAFO Working Papers 2009:11, Centre for Labour Market Policy Research (CAFO), School of Management and Economics, Växjö University. [Downloadable!]
    3. Ricardo Lagos & Guillaume Rocheteau, 2007. "Liquidity in asset markets with search frictions," Working Paper 0706, Federal Reserve Bank of Cleveland. [Downloadable!]
      Other versions:

  3. Huang, Roger D. & Stoll, Hans R., 2001. "Exchange rates and firms' liquidity: evidence from ADRs," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 297-325, June. [Downloadable!] (restricted)

    Cited by:

    1. Söderberg, Jonas, 2008. "Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia," CAFO Working Papers 2009:10, Centre for Labour Market Policy Research (CAFO), School of Management and Economics, Växjö University. [Downloadable!]
    2. Sebastian Auguste & Kathryn M.E. Dominguez & Herman Kamil & Linda L. Tesar, 2002. "Cross-Border Trading as a Mechanism for Capital Flight: ADRs and the Argentine Crisis," NBER Working Papers 9343, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  4. Huang, Roger D. & Stoll, Hans R., 2001. "Tick Size, Bid-Ask Spreads, and Market Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(04), pages 503-522, December. [Downloadable!]

    Cited by:

    1. Kirsten Rüchardt & Bodo Vogt, 2009. "Comparison of the Stock Price Clustering of stocks which are traded in the US and Germany—Is XETRA more efficient than the NYSE?," FEMM Working Papers 09016, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management. [Downloadable!]
    2. Matthias Blonski & Ulf von Lilienfeld-Toal, 2008. "Excess Returns and the Distinguished Player Paradox," cege – Center for European, Governance and Economic Development Research Discussion Papers 78, cege – Center for European, Governance and Economic Development Research, University of Goettingen (Germany)., revised 27 Oct 2008. [Downloadable!]
    3. Vuorenmaa, Tommi A., 2008. "Decimalization, Realized Volatility, and Market Microstructure Noise," MPRA Paper 8692, University Library of Munich, Germany. [Downloadable!]
    4. Oxelheim, Lars & Rafferty, Michael, 2004. "On the Static Efficiency of Secondary Bond Markets," Working Paper Series 623, Research Institute of Industrial Economics. [Downloadable!]
      Other versions:

  5. Hans R. Stoll, 2000. "Presidential Address: Friction," Journal of Finance, American Finance Association, vol. 55(4), pages 1479-1514, 08. [Downloadable!] (restricted)

    Cited by:

    1. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2005. "The joint dynamics of liquidity, returns, and volatility across small and large firms," Staff Reports 207, Federal Reserve Bank of New York. [Downloadable!]
    2. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003. "An empirical analysis of stock and bond market liquidity," Staff Reports 164, Federal Reserve Bank of New York. [Downloadable!]
    3. Campa, Jose M. & Fernandes, Nuno, 2004. "Sources of gains from international portfolio diversification," IESE Research Papers D/559, IESE Business School. [Downloadable!]
      Other versions:
    4. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2001. "An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies," University of California at Los Angeles, Anderson Graduate School of Management 1018, Anderson Graduate School of Management, UCLA. [Downloadable!]
    5. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2001. "Common determinants of bond and stock market liquidity: the impact of financial crises, monetary policy, and mutual fund flows," Staff Reports 141, Federal Reserve Bank of New York. [Downloadable!]
    6. Tarun Chordia & L Shivakumar & Avanidhar Subrahmanyam, 2000. "Liquidity Dynamics Across Small and Large Firms," University of California at Los Angeles, Anderson Graduate School of Management 1068, Anderson Graduate School of Management, UCLA. [Downloadable!]

  6. Huang, Roger D & Stoll, Hans R, 1997. "The Components of the Bid-Ask Spread: A General Approach," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(4), pages 995-1034.

    Cited by:

    1. Tanggaard, Carsten, 2003. "Errors in Trade Classification: Consequences and Remedies," Finance Working Papers 03-6, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    2. Geir Hoidal Bjonnes & Dagfinn Rime, 2003. "Dealer Behavior and Trading Systems in Foreign Exchange Markets," Working Paper 2003/10, Norges Bank. [Downloadable!]
      Other versions:
    3. Thierry Foucault & Ohad Kadan & Eugene Kandel, 2003. "Limit Order Book as a Market for Liquidity," Discussion Paper Series dp321, Center for Rationality and Interactive Decision Theory, Hebrew University, Jerusalem. [Downloadable!]
      Other versions:
    4. David Abad & Antonio Rubia, 2005. "Modelos De Estimacion De La Probabilidad De Negociacion Informada: Una Comparacion Metodologica En El Mercado Español," Working Papers. Serie EC 2005-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    5. Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society. [Downloadable!]
    6. Konstantin Tyurin, 2004. "High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market," Econometric Society 2004 North American Summer Meetings 579, Econometric Society. [Downloadable!]
    7. Eric J. Higgins & Richard L. Ott & Robert A. Van Ness, 2006. "The Information Content of the 1999 Announcement of Funds from Operations (FFO) Changes for Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 28(3), pages 241-256. [Downloadable!]
    8. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Discussion Papers 04-07, University of Copenhagen. Department of Economics. [Downloadable!]
      Other versions:
    9. Minardi, Andrea Maria Accioly Fonseca & SANVICENTE, Antônio Zoratto & Monteiro, Rogério, 2006. "Bid-ask spread and liquidity premium in Brazil," Ibmec Working Papers wpe_51, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
    10. Christian A. Johnson, 2002. "Value at Risk: Teoría y Aplicaciones," Working Papers Central Bank of Chile 136, Central Bank of Chile. [Downloadable!]
    11. Victoria Saporta & Giorgio Trebeschi & Anne Vila, . "Price formation and transparency on the London Stock Exchange," Bank of England working papers 95, Bank of England. [Downloadable!]
    12. Nikolaus Hautsch, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Paper 02-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    13. Timotheos Angelidis & Alexandros Benos, 2006. "Liquidity adjusted value-at-risk based on the components of the bid-ask spread," Applied Financial Economics, Taylor and Francis Journals, vol. 16(11), pages 835-851, July. [Downloadable!] (restricted)
    14. Ramadorai, Tarun, 2006. "Persistence, Performance and Prices in Foreign Exchange Markets," CEPR Discussion Papers 5861, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    15. Michael B. Devereux & Shouyong Shi, 2008. "Vehicle Currency," Working Papers tecipa-315, University of Toronto, Department of Economics. [Downloadable!]
      Other versions:
    16. Jose Montalvo, 2003. "Liquidity and market makers: a pseudo-experimental analysis with ultrahigh frequency data," European Journal of Finance, Taylor and Francis Journals, vol. 9(4), pages 358-378, August. [Downloadable!] (restricted)
    17. Louis R. Mercorelli & David Michayluk & Anthony D. Hall, 2008. "Modelling Adverse Selection on Electronic Order-Driven Markets," Research Paper Series 220, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    18. Ken Nyholm, 2003. "Inferring the private information content of trades: a regime-switching approach

      The views presented in the paper are not necessarily shared by," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 457-470. [Downloadable!]

    19. Gerhard Kling, 2005. "The impact of trading mechanisms and stock characteristics on order processing and information costs: A panel GMM approach," Economics Bulletin, Economics Bulletin, vol. 7(5), pages 1-11. [Downloadable!]
    20. Jan Hanousek & Richard Podpiera, 2000. "How Important Is Informed Trading for the Bid-Ask Spread? Evidence from an Emerging Market," CERGE-EI Working Papers wp168, The Center for Economic Research and Graduate Education - Economic Institute, Prague. [Downloadable!]
      Other versions:
    21. Timotheos Angelidis & Alexandros Benos, . "The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange," Working Papers 0615, University of Crete, Department of Economics. [Downloadable!]
      Other versions:
    22. Randi Næs, 2004. "Ownership Structure and Stock Market Liquidity," Working Paper 2004/6, Norges Bank. [Downloadable!]
    23. Koopman, S.J. & Durbin, J., 1998. "Fast filtering and smoothing for multivariate state space models," Discussion Paper 18, Tilburg University, Center for Economic Research. [Downloadable!]
    24. Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2006. "Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets," Science & Finance (CFM) working paper archive 500067, Science & Finance, Capital Fund Management. [Downloadable!]
      Other versions:
    25. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank, Research Centre. [Downloadable!]
    26. Eli Ofek & Matthew Richardson, 2000. "The IPO Lock-Up Period: Implications for Market Efficiency And Downward Sloping Demand Curves," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-054, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    27. Sigridur Benediktsdottir, 2006. "An empirical analysis of specialist trading behavior at the New York Stock Exchange," International Finance Discussion Papers 876, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    28. Andersson, Jonas & Moberg, Jan-Magnus, 2007. "Structural breaks in point processes: With an application to reporting delays for trades on the New York stock exchange," Discussion Papers 2007/28, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
    29. Helena, BELTRAN & Pierre, GIOT & Joachim, GRAMMIG, 2005. "Commonalities in the order book," Discussion Papers (ECON - Département des Sciences Economiques) 2005014, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    30. Bartolomé Pascual-Fuster & Francisco Climent & Roberto Pascual, 2003. "Cross-Listing, Price Discovery And The Informativeness Of The Trading Process," Working Papers. Serie EC 2003-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
      Other versions:
    31. Christian A. Johnson, 2000. "Value at Risk Ajustado por Liquidez: Una Aplicación a los Bonos Soberanos Chilenos," Working Papers Central Bank of Chile 76, Central Bank of Chile. [Downloadable!]
    32. PASCUAL, Roberto & VEREDAS, David, 2006. "Does the open limit order book matter in explaining long run volatility ?," CORE Discussion Papers 2006110, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  7. Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, vol. 41(3), pages 313-357, July. [Downloadable!] (restricted)

    Cited by:

    1. Shafiqur Rahman & Chandrasekhar Krishnamurti & Alice Lee, 2005. "The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 91-124, September. [Downloadable!] (restricted)
    2. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2007. "Are Short-sellers Different?," MPRA Paper 13585, University Library of Munich, Germany, revised 16 Nov 2008. [Downloadable!]
    3. Craig Holden & Avanidhar Subrahmanyam, 1998. "New Events, Information Acquisition, and Serial Correlation," University of California at Los Angeles, Anderson Graduate School of Management 1115, Anderson Graduate School of Management, UCLA. [Downloadable!]
    4. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005. "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper 13586, University Library of Munich, Germany, revised 10 Oct 2008. [Downloadable!]
    5. Gianluca Marcato & Charles Ward, 2007. "Back from Beyond the Bid-Ask Spread: Estimating Liquidity in International Markets," Real Estate & Planning Working Papers rep-wp2007-07, Henley Business School, Reading University. [Downloadable!]
    6. Amber Anand & Carsten Tanggaard & Daniel G. Weaver, 2007. "Paying for Market Quality," CREATES Research Papers 2007-04, School of Economics and Management, University of Aarhus. [Downloadable!]
    7. Jan Krahnen & Martin Weber, 2001. "Marketmaking in the Laboratory: Does Competition Matter?," Experimental Economics, Springer, vol. 4(1), pages 55-85, June. [Downloadable!] (restricted)
      Other versions:
    8. Sugato Chakravarty & Frederick H. deB. Harris & Robert A. Wood, 2002. "Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?," Econometrics 0201003, EconWPA. [Downloadable!]
      Other versions:
    9. Peter Gomber & Peter Rohr & Uwe Schweickert, 2008. "Sports betting as a new asset class—current market organization and options for development," Financial Markets and Portfolio Management, Springer, vol. 22(2), pages 169-192, June. [Downloadable!] (restricted)
    10. William Christie & Paul Schultz, 1998. "Dealer Markets Under Stress: The Performance of NASDAQ Market Makers During the November 15, 1991, Market Break," Journal of Financial Services Research, Springer, vol. 13(3), pages 205-229, June. [Downloadable!] (restricted)
    11. Lucy F. Ackert & Bryan K. Church, 1998. "Bid-ask spreads in multiple dealer settings: Some experimental evidence," Working Paper 98-9, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    12. Arora, Seema, 2000. "Pollution Prevention as Innovation? Measuring the Long Run Stock Performance," Research Papers 1651, Stanford University, Graduate School of Business. [Downloadable!]
    13. Alvaro Escribano & Roberto Pascual, 2006. "Asymmetries in bid and ask responses to innovations in the trading process," Empirical Economics, Springer, vol. 30(4), pages 913-946, January. [Downloadable!] (restricted)
    14. Lescourret, Laurence & Robert, Christian Y., 2006. "Preferencing, internalization and inventory position," ESSEC Working Papers DR 06017, ESSEC Research Center, ESSEC Business School. [Downloadable!]
    15. Joe Chen, 2005. "The Market Structure of Nasdaq Dealer Markets and Quoting Conventions," CIRJE F-Series CIRJE-F-357, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    16. Ian Domowitz & Jack Glen & Ananth Madhavan, 2000. "Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time," William Davidson Institute Working Papers Series 322, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
      Other versions:
    17. Robert Battalio & Robert Jennings & Jamie Selway, 2001. "The Relationship Among Market-Making Revenue, Payment for Order Flow, and Trading Costs for Market Orders," Journal of Financial Services Research, Springer, vol. 19(1), pages 39-56, February. [Downloadable!] (restricted)
    18. Gianluca Marcato & Charles Ward, 2006. "Back from Beyond the Bid-Ask Spread: Perspectives on Liquidity," Real Estate & Planning Working Papers rep-wp2006-15, Henley Business School, Reading University. [Downloadable!]
    19. Bruce Mizrach & Yijie Zhang, 2000. "Should ECNs be SOES-able?," Departmental Working Papers 200010, Rutgers University, Department of Economics. [Downloadable!]
    20. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," CORE Discussion Papers 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    21. Quentin C. Chu & Mustafa Mesut Kayali, 2006. "Standard & Poor’S Depositary Receipts And The Market Quality Of S&P 500 Index Futures," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3). [Downloadable!] (restricted)
    22. Victoria Saporta & Giorgio Trebeschi & Anne Vila, . "Price formation and transparency on the London Stock Exchange," Bank of England working papers 95, Bank of England. [Downloadable!]
    23. Foucault, Thierry & Parlour, Christine A, 1999. "Competition for Listings," CEPR Discussion Papers 2222, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    24. Frederick Adjei & Ken Cyree & Mark Walker, 2008. "The determinants and survival of reverse mergers vs IPOs," Journal of Economics and Finance, Springer, vol. 32(2), pages 176-194, April. [Downloadable!] (restricted)
    25. Lucy F. Ackert & Bryan K. Church, 1998. "Competitiveness and price setting in dealer markets," Economic Review, Federal Reserve Bank of Atlanta, issue Q 3, pages 4-11. [Downloadable!]
    26. Erik Theissen, 2001. "Price Discovery in Floor and Screen Trading Systems," Bonn Econ Discussion Papers bgse35_2001, University of Bonn, Germany. [Downloadable!]
      Other versions:
    27. Aaron S. Edlin & Eric R. Emch, 1998. "The Welfare Losses from Price Matching Policies," Law and Economics 9803001, EconWPA, revised 26 May 1998. [Downloadable!]
      Other versions:
    28. Ramadorai, Tarun, 2006. "Persistence, Performance and Prices in Foreign Exchange Markets," CEPR Discussion Papers 5861, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    29. Francis Breedon & Allison Holland, . "Electronic versus open outcry markets: The case of the Bund futures contract," Bank of England working papers 76, Bank of England. [Downloadable!]
    30. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2006. "The Effect of Corporate Break-ups on Information Asymmetry: A Market Microstructure Analysis," MPRA Paper 13155, University Library of Munich, Germany, revised 26 Oct 2008. [Downloadable!]
    31. Gerhard Kling, 2005. "The impact of trading mechanisms and stock characteristics on order processing and information costs: A panel GMM approach," Economics Bulletin, Economics Bulletin, vol. 7(5), pages 1-11. [Downloadable!]
    32. John Board & Charles Sutcliffe & Anne Vila, 2000. "Market Maker Performance: The Search for Fair Weather Market Makers," Journal of Financial Services Research, Springer, vol. 17(3), pages 259-276, September. [Downloadable!] (restricted)
    33. Timotheos Angelidis & Alexandros Benos, . "The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange," Working Papers 0615, University of Crete, Department of Economics. [Downloadable!]
      Other versions:
    34. Pierre-Olivier Weill, 2004. "Liquidity Premia in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings 648, Econometric Society. [Downloadable!]
      Other versions:
    35. Kevin C. H. Chiang & T. Harikumar, 2004. "Offering price clusters and underpricing in the US primary market," Applied Financial Economics, Taylor and Francis Journals, vol. 14(11), pages 809-822, July. [Downloadable!] (restricted)
    36. Erik Theissen, 2002. "Trader Anonymity, Price Formation and Liquidity," Bonn Econ Discussion Papers bgse20_2002, University of Bonn, Germany. [Downloadable!]
    37. THEISSEN, Erik, 1999. "Floor versus Screen Trading : Evidence from the German Stock Market," Les Cahiers de Recherche 690, HEC Paris. [Downloadable!]
      Other versions:
    38. Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004. "Over-the-Counter Markets," NBER Working Papers 10816, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
      • Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2005. "Over-the-Counter Markets," Econometrica, Econometric Society, vol. 73(6), pages 1815-1847, November. [Downloadable!] (restricted)
    39. Yacine A\"it-Sahalia & Jialin Yu, 2009. "High frequency market microstructure noise estimates and liquidity measures," Quantitative Finance Papers 0906.1444, arXiv.org. [Downloadable!]
    40. David Michayluk & Paul Kofman, 2001. "Market Structure and Stock Splits," Research Paper Series 62, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    41. Erik Theissen, 2003. "Organized Equity Markets in Germany," CFS Working Paper Series 2003/17, Center for Financial Studies. [Downloadable!]
    42. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2007. "When Does a Mutual Fund's Trade Reveal its Skill?," NBER Working Papers 13625, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    43. Paul S. Clyde, 1999. "Is it Efficient to Impose Costs on Small-Volume Equity Traders?," International Journal of the Economics of Business, Taylor and Francis Journals, vol. 6(1), pages 81-92, February. [Downloadable!] (restricted)
    44. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008. "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers 14609, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    45. Patricia Chelley-Steeley & Yan Li, 2005. "Volatility changes caused by the trading system: a Markov switching application," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(6), pages 373-380, November. [Downloadable!] (restricted)
    46. G.G. Booth, P. Iversen, S.K. Sarkar, H. Schmidt, A. Young, 1999. "Market structure and bid-ask spreads: IBIS vs Nasdaq," European Journal of Finance, Taylor and Francis Journals, vol. 5(1), pages 51-71, March. [Downloadable!] (restricted)
    47. Cécile Carpentier & Jean-Marc Suret, 2003. "The Canadian and American Financial Systems: Competition and Regulation," Canadian Public Policy, University of Toronto Press, vol. 29(4), pages 431-447, December. [Downloadable!] (restricted)
    48. Björn Hagströmer & Richard G. Anderson & Jane M. Binner & Birger Nilsson, 2009. "Dynamics in systematic liquidity," Working Papers 2009-025, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    49. Patricia Chelley-Steeley & Antonios Siganos, 2005. "Momentum Profits in Alternative Stock Market Structures," Money Macro and Finance (MMF) Research Group Conference 2005 63, Money Macro and Finance Research Group. [Downloadable!]
    50. Fang Cai, 2003. "Was there front running during the LTCM crisis," International Finance Discussion Papers 758, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  8. Huang, Roger D & Stoll, Hans R, 1994. "Market Microstructure and Stock Return Predictions," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 7(1), pages 179-213. [Downloadable!] (restricted)

    Cited by:

    1. Shafiqur Rahman & Chandrasekhar Krishnamurti & Alice Lee, 2005. "The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 91-124, September. [Downloadable!] (restricted)
    2. Roger Huang & H. Weingartner, 2000. "Do Market Makers Suffer from Splitting Headaches?," Journal of Financial Services Research, Springer, vol. 17(2), pages 105-126, August. [Downloadable!] (restricted)
    3. Sugato Chakravarty, 2002. "Stealth-Trading: Which Traders' Trades Move Stock Prices?," Finance 0201003, EconWPA. [Downloadable!]
      Other versions:
    4. Robert Engle & Andrew Patton, 2000. "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series 2000-26, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    5. David Abad & Antonio Rubia, 2005. "Modelos De Estimacion De La Probabilidad De Negociacion Informada: Una Comparacion Metodologica En El Mercado Español," Working Papers. Serie EC 2005-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    6. Bartley R. Danielsen & David M. Harrison, 2000. "The Impact of Potential Private Information on REIT Liquidity," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 49-71. [Downloadable!]
    7. Wing Lon Ng, 2006. "Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose," SFB 649 Discussion Papers SFB649DP2006-086, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    8. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2007. "An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics," CoFE Discussion Paper 07-04, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    9. J. Doyne Farmer & Shareen Joshi, 2000. "The price dynamics of common trading strategies," Quantitative Finance Papers cond-mat/0012419, arXiv.org. [Downloadable!]
    10. Simon H. Kwan & Mark J. Flannery & M. Nimalendran, 1999. "Market evidence on the opaqueness of banking firms' assets," Working Papers in Applied Economic Theory 99-11, Federal Reserve Bank of San Francisco. [Downloadable!]
      Other versions:
    11. Tarun Chordia & Avanidhar Subrahmanyam, 2000. "Order Imbalance and Individual Stock Returns," University of California at Los Angeles, Anderson Graduate School of Management 1080, Anderson Graduate School of Management, UCLA. [Downloadable!]
    12. Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-357, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    13. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics," CoFE Discussion Paper 06-06, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    14. Bartolomé Pascual-Fuster & Francisco Climent & Roberto Pascual, 2003. "Cross-Listing, Price Discovery And The Informativeness Of The Trading Process," Working Papers. Serie EC 2003-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
      Other versions:
    15. Fohlin, Caroline & Gehrig, Thomas, 2006. "Trading Costs in Early Securities Markets: The Case of the Berlin Stock Exchange, 1880-1910," CEPR Discussion Papers 5827, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    16. J. Doyne Farmer & Shareen Joshi, 2000. "The Price Dynamics of Common Trading Strategies," Working Papers 00-12-069, Santa Fe Institute.
      Other versions:
    17. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

  9. Stoll, Hans R & Whaley, Robert E, 1990. "Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew," Journal of Business, University of Chicago Press, vol. 63(1), pages S165-92, January. [Downloadable!] (restricted)

    Cited by:

    1. Paul Kofman & James T. Moser, 2001. "Stock margins and the condition probability of price reversals," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 2-12. [Downloadable!]
      Other versions:
    2. Juan A. Lafuente & Manuel Illueca Muñoz, 2006. "New Evidence On Expiration-Day Effects Using Realized Volatility: An Intraday Analysis For The Spanish Stock Exchange," Working Papers. Serie EC 2006-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]

  10. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 441-468, December. [Downloadable!]

    Cited by:

    1. Heinz Zimmermann & Claudia Zogg-Wetter, 1997. "Preisbildung am schweizerischen SMI-Futuresmarkt: Arbitrage und dynamische Preisbeziehungen," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 133(II), pages 95-132, June. [Downloadable!]
    2. Alfonso Novales & J.A. Lafuente, 2002. "Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market," Documentos del Instituto Complutense de Análisis Económico 0223, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
      Other versions:
    3. Pascal Alphonse, 2000. "Efficient Price Discovery in Stock Index Cash and Futures Markets," Annales d'Economie et de Statistique, ADRES, issue 60, pages 08, Octobre-D. [Downloadable!]
    4. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    5. Berglund, T. & Kabir, R., 1995. "What explains the difference between the futures' price and its "fair" value? : evidence from the european options exchange," Discussion Paper 83, Tilburg University, Center for Economic Research. [Downloadable!]
    6. Robert Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 1999-05, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    7. Gerard Gannon & Siu Pang Au-Yeung, 2004. "Regulatory Change, Structural Breaks and Transmission Effects in HSIF abd HSI Volatility," Accounting, Finance, Financial Planning and Insurance Series 2004_11, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
    8. Joseph K.W. Fung & Philip Yu, 2007. "Order Imbalance and the Dynamics of Index and Futures Prices," Working Papers 072007, Hong Kong Institute for Monetary Research. [Downloadable!]
    9. Helder Sebastião, 2008. "The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems," GEMF Working Papers 2008-07, GEMF - Faculdade de Economia, Universidade de Coimbra. [Downloadable!]
    10. Dimitris Kenourgios, 2005. "Price Discovery In The Athens Derivatives Exchange: Evidence For The Ftse/Ase-20 Futures Market," Finance 0512014, EconWPA. [Downloadable!]
    11. K.C. Chan & G. Andrew Karolyi & Rene M. Stulz, 1992. "Global Financial Markets and the Risk Premium on U.S. Equity," NBER Working Papers 4074, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. R. M. Eldridge & Maurice Peat & Max Stevenson, 2003. "The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets," Working Paper Series 122, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
    13. Paul Kupiec, 1998. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?," Journal of Financial Services Research, Springer, vol. 13(3), pages 231-255, June. [Downloadable!] (restricted)
    14. Kai-Li Wang & Mei-Ling Chen, 2007. "The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 371-394, November. [Downloadable!] (restricted)
    15. Yue-cheong Chan & Louis Cheng, 2009. "Price reversals versus price continuations: the transitory price effects of futures trading extension on the underlying stock market," Review of Quantitative Finance and Accounting, Springer, vol. 33(2), pages 159-176, August. [Downloadable!] (restricted)
    16. Beaulieu, Marie-claude & Cosset, Jean-Claude & Essaddam, Naceur, 2002. "The Impact of Political Risk on the Volatility of Stock Returns: the Case of Canada," Cahiers de recherche 0208, CIRPEE. [Downloadable!]
    17. I.N. Lobato & N.E. Savin, 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Econometrics 9605004, EconWPA, revised 26 Sep 1996. [Downloadable!]
      Other versions:
    18. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    19. Michael Boluch & Trevor Chamberlain, 1997. "Option volume and stock price behavior: Some evidence from the Chicago board options exchange," Atlantic Economic Journal, International Atlantic Economic Society, vol. 25(4), pages 358-370, December. [Downloadable!] (restricted)
    20. Hyun-Jung Ryoo & Graham Smith, 2004. "The impact of stock index futures on the Korean stock market," Applied Financial Economics, Taylor and Francis Journals, vol. 14(4), pages 243-251, January. [Downloadable!] (restricted)
    21. Joseph K.W. Fung, 2006. "Order Imbalance and the Pricing of Index Futures," Working Papers 132006, Hong Kong Institute for Monetary Research. [Downloadable!]
    22. Longin, François, 1999. "From Value at Risk to Stress Testing: The Extreme Value Approach," CEPR Discussion Papers 2161, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    23. Ming-Shiun Pan & L. Hsueh, 1998. "Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets," Asia-Pacific Financial Markets, Springer, vol. 5(3), pages 211-225, November. [Downloadable!] (restricted)
    24. Vicente Meneu & Hipolit Torro, . "Asymmetric covariance in sport-future markets," Studies on the Spanish Economy 135, FEDEA. [Downloadable!]
    25. Gerard L. Gannon, 2009. "Dispersion of Information or Market Behaviour: General Public Trading in S&P500 Index Futures," Accounting, Finance, Financial Planning and Insurance Series 2009_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]

  11. Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(1), pages 37-71. [Downloadable!] (restricted)

    Cited by:

    1. Sandro Sapio, 2004. "Market Design, Bidding Rules, and Long Memory in Electricity Prices," LEM Papers Series 2004/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    2. Abdelhamid El Bouhadi, 2003. "Conditional Volatility Of Most Active Shares Of Casablanca Stock Exchange," Finance 0305007, EconWPA, revised 10 Oct 2003. [Downloadable!]
    3. Bronfman, Corinne & McCabe, Kevin & Porter, David & Rassenti, Stephen & Smith, Vernon, 1992. "An Experimental Examination of the Walrasian Tatonnement Mechanism," Working Papers 824, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
      Other versions:
    4. Torben G. Anderson & Tim Bollerslev & Ashish Das, 1998. "Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment," NBER Working Papers 6666, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Claudio Loderer & Marc-André Mittermayer, 2006. "America and the Swiss Stock Exchange: An Intraday Analysis," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 142(I), pages 79-114, March. [Downloadable!]
    6. Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns," Econometrics Working Papers Archive wp2001_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    7. Lucy F. Ackert & Bryan K. Church, 1998. "Competitiveness and price setting in dealer markets," Economic Review, Federal Reserve Bank of Atlanta, issue Q 3, pages 4-11. [Downloadable!]
    8. Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York. [Downloadable!]
    9. Gary Tian & Mingyuan Guo, 2007. "Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 28(3), pages 287-306, April. [Downloadable!] (restricted)
    10. Allan W. Kleidon & Ingrid M. Werner, 1993. "Round-the-clock Trading: Evidence from U.K. Cross-Listed Securities," NBER Working Papers 4410, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. 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. [Downloadable!] (restricted)
      Other versions:
    12. Albert J. Menkveld & Siem Jan Koopman & André Lucas, 2003. "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers 03-037/2, Tinbergen Institute, revised 13 Oct 2003. [Downloadable!]
    13. Takatoshi Ito & Wen-Ling Lin, 1993. "Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets," NBER Working Papers 4592, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    14. Paola Zuccolotto, 2002. "Modelling the impact of open volume on inter-trade autoregressive durations," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3-4), pages 49-63. [Downloadable!]
    15. Patricia Chelley-Steeley & Yan Li, 2005. "Volatility changes caused by the trading system: a Markov switching application," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(6), pages 373-380, November. [Downloadable!] (restricted)
    16. K.C. Chan & Wai-Ming Fong & Rene M. Stulz, 1994. "Information, Trading and Stock Returns: Lessons from Dually-Listed Securities," NBER Working Papers 4743, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    17. Wen-Ling Lin & Robert F. Engle & Takatoshi Ito, 1991. "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns," NBER Working Papers 3911, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    18. Carole Comerton-Forde & James Rydge & Hayley Burridge, 2007. "Not all call auctions are created equal: evidence from Hong Kong," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 395-413, November. [Downloadable!] (restricted)
    19. M. D. Mckenzie & R. D. Brooks, 2003. "The role of information in Hong Kong individual stock futures trading," Applied Financial Economics, Taylor and Francis Journals, vol. 13(2), pages 123-131, January. [Downloadable!] (restricted)
    20. Giampiero M. Gallo, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Volatility," Econometrics Working Papers Archive wp2001_02, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
      Other versions:
    21. Rita Madarassy Akin, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Center for International Economics, Working Paper Series 1006, Center for International Economics, UC Santa Cruz. [Downloadable!]

  12. Haller, Andreas & Stoll, Hans R., 1989. "Market structure and transaction costs: Implied spreads in the German stock market," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 697-708, September. [Downloadable!] (restricted)

    Cited by:

    1. G.G. Booth, P. Iversen, S.K. Sarkar, H. Schmidt, A. Young, 1999. "Market structure and bid-ask spreads: IBIS vs Nasdaq," European Journal of Finance, Taylor and Francis Journals, vol. 5(1), pages 51-71, March. [Downloadable!] (restricted)

  13. Stoll, Hans R, 1989. " Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests," Journal of Finance, American Finance Association, vol. 44(1), pages 115-34, March. [Downloadable!] (restricted)

    Cited by:

    1. 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. [Downloadable!] (restricted)
    2. David Abad & Antonio Rubia, 2005. "Modelos De Estimacion De La Probabilidad De Negociacion Informada: Una Comparacion Metodologica En El Mercado Español," Working Papers. Serie EC 2005-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    3. Bartley R. Danielsen & David M. Harrison, 2000. "The Impact of Potential Private Information on REIT Liquidity," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 49-71. [Downloadable!]
    4. Kathleen Weiss Hanley & Charles Lee & Paul Seguin, 1995. "The Marketing of Closed-End Fund IPOs," Center for Financial Institutions Working Papers 94-21, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    5. Robert Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 1999-05, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    6. Laura Nyantung Beny, 2005. "Do Insider Trading Laws Matter? Some Preliminary Comparative Evidence," William Davidson Institute Working Papers Series wp741, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    7. Eric J. Higgins & Richard L. Ott & Robert A. Van Ness, 2006. "The Information Content of the 1999 Announcement of Funds from Operations (FFO) Changes for Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 28(3), pages 241-256. [Downloadable!]
    8. Jordi Caballe, 1991. "Expectativas racionales, competencia perfecta y comportamiento estratégico en los mercados financieros," Investigaciones Economicas, Fundación SEPI, vol. 15(1), pages 3-34, January. [Downloadable!]
    9. Ellingsen, Tore & Rydqvist, Kristian, 1997. "The Stock Market as a Screening Device and the Decision to Go Public," Working Paper Series in Economics and Finance 174, Stockholm School of Economics. [Downloadable!]
    10. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Discussion Papers 04-07, University of Copenhagen. Department of Economics. [Downloadable!]
      Other versions:
    11. Minardi, Andrea Maria Accioly Fonseca & SANVICENTE, Antônio Zoratto & Monteiro, Rogério, 2006. "Bid-ask spread and liquidity premium in Brazil," Ibmec Working Papers wpe_51, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
    12. Esther Brio & Javier Perote, 2007. "What Enhances Insider Trading Profitability?," Atlantic Economic Journal, International Atlantic Economic Society, vol. 35(2), pages 173-188, June. [Downloadable!] (restricted)
    13. Voetmann, Torben, 2001. "Changes in The Bid-Ask Components Around Earnings Announcements: Evidence from the Copenhagen Stock Exchange," Working Papers 2000-6, Copenhagen Business School, Department of Finance. [Downloadable!]
    14. Richard K. Lyons, 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," NBER Working Papers 4471, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    15. Gianluca Marcato & Charles Ward, 2006. "Back from Beyond the Bid-Ask Spread: Perspectives on Liquidity," Real Estate & Planning Working Papers rep-wp2006-15, Henley Business School, Reading University. [Downloadable!]
    16. Laura Beny, . "A Comparative Empirical Investigation of Agency and Market Theories of Insider Trading," University of Michigan John M. Olin Center for Law & Economics Working Paper Series umichlwps-1003, University of Michigan John M. Olin Center for Law & Economics. [Downloadable!]
    17. Ramadorai, Tarun, 2006. "Persistence, Performance and Prices in Foreign Exchange Markets," CEPR Discussion Papers 5861, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    18. Hans Gerhard Heidle, 1999. "Market Microstructure and Asset Pricing: A Survey," Discussion Papers 691, The Research Institute of the Finnish Economy. [Downloadable!]
    19. Peter L. Swan & Joakim Westerholm, 2001. "The Impact Of Transaction Costs On Turnover And Asset Prices; The Cases Of Sweden'S And Finland'S Security Transaction Tax Reductions," Departmental Working Papers 144, Tor Vergata University, CEIS. [Downloadable!]
    20. Louis R. Mercorelli & David Michayluk & Anthony D. Hall, 2008. "Modelling Adverse Selection on Electronic Order-Driven Markets," Research Paper Series 220, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    21. Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
    22. Gerhard Kling, 2005. "The impact of trading mechanisms and stock characteristics on order processing and information costs: A panel GMM approach," Economics Bulletin, Economics Bulletin, vol. 7(5), pages 1-11. [Downloadable!]
    23. Jan Hanousek & Richard Podpiera, 2000. "How Important Is Informed Trading for the Bid-Ask Spread? Evidence from an Emerging Market," CERGE-EI Working Papers wp168, The Center for Economic Research and Graduate Education - Economic Institute, Prague. [Downloadable!]
      Other versions:
    24. Timotheos Angelidis & Alexandros Benos, . "The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange," Working Papers 0615, University of Crete, Department of Economics. [Downloadable!]
      Other versions:
    25. 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. [Downloadable!] (restricted)
      Other versions:
    26. Stefano Benati & M. Tavernini, 1998. "A new lagrangean heuristic for the generalized assignment problem," Quaderni DISA 014, Department of Computer and Management Sciences, University of Trento, Italy.
    27. THEISSEN, Erik, 1999. "Floor versus Screen Trading : Evidence from the German Stock Market," Les Cahiers de Recherche 690, HEC Paris. [Downloadable!]
      Other versions:
    28. Simon H. Kwan & Mark J. Flannery & M. Nimalendran, 1999. "Market evidence on the opaqueness of banking firms' assets," Working Papers in Applied Economic Theory 99-11, Federal Reserve Bank of San Francisco. [Downloadable!]
      Other versions:
    29. T. Clifton Green, 2004. "Economic News and the Impact of Trading on Bond Prices," Journal of Finance, American Finance Association, vol. 59(3), pages 1201-1234, 06. [Downloadable!] (restricted)
    30. Emanuela Trifan, 2004. "Decision Rules and their Influence on Asset Prices," Darmstadt Discussion Papers in Economics 139, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
    31. Narasimhan Jegadeesh & Sheridan Titman, 1990. "Short Horizon Reversals and the Bid-Ask Spread," University of California at Los Angeles, Anderson Graduate School of Management 1183, Anderson Graduate School of Management, UCLA. [Downloadable!]
    32. PASCUAL, Roberto & VEREDAS, David, 2006. "Does the open limit order book matter in explaining long run volatility ?," CORE Discussion Papers 2006110, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    33. Fohlin, Caroline & Gehrig, Thomas, 2006. "Trading Costs in Early Securities Markets: The Case of the Berlin Stock Exchange, 1880-1910," CEPR Discussion Papers 5827, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:

  14. A. Protopapadakis, Aris & R. Stoll, Hans, 1986. "The Law of One Price in international commodity markets: A reformulation and some formal tests," Journal of International Money and Finance, Elsevier, vol. 5(3), pages 335-360, September. [Downloadable!] (restricted)

    Cited by:

    1. John Sarich, 2006. "What do we know about the real exchange rate? A classical cost of production story," Review of Political Economy, Taylor and Francis Journals, vol. 18(4), pages 469-496, October. [Downloadable!] (restricted)
    2. Christian Gillitzer & Jonathan Kearns, 2005. "Long-term Patterns in Australia's Terms of Trade," RBA Research Discussion Papers rdp2005-01, Reserve Bank of Australia. [Downloadable!]
    3. Llad Phillips & John Pippenger, 2005. "Some Pitfalls in Testing the Law of One Price in Commodity Markets," University of California at Santa Barbara, Economics Working Paper Series wp4-05, Department of Economics, UC Santa Barbara. [Downloadable!]
    4. John Pippenger, 2004. "The Modern Theory of the LOP and PPP: Some Implications," University of California at Santa Barbara, Economics Working Paper Series 03-04, Department of Economics, UC Santa Barbara. [Downloadable!]

  15. Stoll, Hans R. & Whaley, Robert E., 1983. "Transaction costs and the small firm effect," Journal of Financial Economics, Elsevier, vol. 12(1), pages 57-79, June. [Downloadable!] (restricted)

    Cited by:

    1. Robert Rutledge & Zhaohui Zhang & Khondkar Karim, 2008. "Is There a Size Effect in the Pricing of Stocks in the Chinese Stock Markets?: The Case of Bull Versus Bear Markets," Asia-Pacific Financial Markets, Springer, vol. 15(2), pages 117-133, June. [Downloadable!] (restricted)
    2. Muravyev Alexander, 2004. "The Puzzle of Dual Class Stock in Russia. Explaining the Price Differential between Common and Preferred Shares," EERC Working Paper Series 04-07e, EERC Research Network, Russia and CIS. [Downloadable!]
    3. Chitru S. Fernando & Srinivasan Krishnamurthy & Paul A. Spindt, 2002. "Is the Offer Price in IPOs Informative? Underpricing, Ownership Structure, and Performance," Center for Financial Institutions Working Papers 01-33, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    4. Joel L. Horowitz & Tim Loughran & N. E. Savin, 1996. "A Spline Analysis of the Small Firm Effect: Does Size Really Matter?," Econometrics 9608001, EconWPA. [Downloadable!]
    5. Dennis R. Capozza & Sohan Lee, 1995. "Property Type, Size, and REIT Value," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 363-380. [Downloadable!]
    6. A. Gregoriou & CHRISTOS IOANNIDIS, 2003. "GMM and present value tests of the C-CAPM under Transactions Costs: Evidence from the UK stock market," Public Policy Discussion Papers 03-01, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    7. George M. Constantinides, 1984. "Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns," NBER Working Papers 1176, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. Hans Gerhard Heidle, 1999. "Market Microstructure and Asset Pricing: A Survey," Discussion Papers 691, The Research Institute of the Finnish Economy. [Downloadable!]
    9. Jeremy Grant & Thomas Kirchmaier, 2004. "Corporate Ownership Structure and Performance in Europe," CEP Discussion Papers dp0631, Centre for Economic Performance, LSE. [Downloadable!]
    10. Gabriel Hawawini & Donald B. Keim, . "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 08-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
      Other versions:
    11. Juan Carlos Gómez-Sala, 2001. "Rentabilidad y liquidez alrededor de la fecha de desdoblamiento de las acciones," Investigaciones Economicas, Fundación SEPI, vol. 25(1), pages 171-202, January. [Downloadable!]
    12. de la Torre, Augusto & Soledad Martinez Peria, Maria & Schmukler , Sergio L., 2008. "Bank involvement with SMEs : beyond relationship lending," Policy Research Working Paper Series 4649, The World Bank. [Downloadable!]
    13. Eckbo, B Espen & Norli, Øyvind, 2005. "Liquidity Risk, Leverage and Long-Run IPO Returns," CEPR Discussion Papers 4832, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    14. Bjorn Wahlroos & Tom Berglund, 1984. "Anomalies and Equilibrium Returns in a Small Stock Market," Discussion Papers 589, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
    15. Alexander Muravyev, 2007. "Dual Class Stock in Russia: What Explains the Price Differential between Common and Preferred Shares?," Discussion Papers of DIW Berlin 680, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    16. Muravyev, Alexander, 2009. "Investor protection and share prices: Evidence from statutory rules governing variations of shareholders’ class rights in Russia," MPRA Paper 13678, University Library of Munich, Germany. [Downloadable!]
      Other versions:

  16. 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. [Downloadable!] (restricted)

    Cited by:

    1. Geir Hoidal Bjonnes & Dagfinn Rime, 2003. "Dealer Behavior and Trading Systems in Foreign Exchange Markets," Working Paper 2003/10, Norges Bank. [Downloadable!]
      Other versions:
    2. Shafiqur Rahman & Chandrasekhar Krishnamurti & Alice Lee, 2005. "The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 91-124, September. [Downloadable!] (restricted)
    3. 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. [Downloadable!] (restricted)
    4. Roger Huang & H. Weingartner, 2000. "Do Market Makers Suffer from Splitting Headaches?," Journal of Financial Services Research, Springer, vol. 17(2), pages 105-126, August. [Downloadable!] (restricted)
    5. Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society. [Downloadable!]
    6. 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. [Downloadable!] (restricted)
      Other versions:
    7. Yi-Tsung Lee & Yu-Jane Liu & Richard Roll & Avanidhar Subrahmanyam, 2001. "Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange, Forthcoming in the Journal of Financial and Quantitative Analysis," University of California at Los Angeles, Anderson Graduate School of Management 1021, Anderson Graduate School of Management, UCLA. [Downloadable!]
    8. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2005. "The joint dynamics of liquidity, returns, and volatility across small and large firms," Staff Reports 207, Federal Reserve Bank of New York. [Downloadable!]
    9. Michael J. Fleming & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York. [Downloadable!]
    10. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003. "An empirical analysis of stock and bond market liquidity," Staff Reports 164, Federal Reserve Bank of New York. [Downloadable!]
    11. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
      Other versions:
    12. Lescourret, Laurence & Robert, Christian Y., 2006. "Preferencing, internalization and inventory position," ESSEC Working Papers DR 06017, ESSEC Research Center, ESSEC Business School. [Downloadable!]
    13. Richard K. Lyons, 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," NBER Working Papers 4471, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    14. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Working Papers 02-9, Bank of Canada. [Downloadable!]
    15. Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York. [Downloadable!]
    16. Richard K. Lyons, 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Working Papers 4984, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    17. Yalin Gündüz & Torsten Lüdecke & Marliese Uhrig-Homburg, 2007. "Trading Credit Default Swaps via Interdealer Brokers," Journal of Financial Services Research, Springer, vol. 32(3), pages 141-159, December. [Downloadable!] (restricted)
    18. Tarun Chordia & Richard Roll & Avanidhar Subrahmanyam, 2000. "Order Imbalance, Liquidity, and Market Returns," University of California at Los Angeles, Anderson Graduate School of Management 1073, Anderson Graduate School of Management, UCLA. [Downloadable!]
    19. Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
    20. Gerhard Kling, 2005. "The impact of trading mechanisms and stock characteristics on order processing and information costs: A panel GMM approach," Economics Bulletin, Economics Bulletin, vol. 7(5), pages 1-11. [Downloadable!]
    21. Jan Hanousek & Richard Podpiera, 2000. "How Important Is Informed Trading for the Bid-Ask Spread? Evidence from an Emerging Market," CERGE-EI Working Papers wp168, The Center for Economic Research and Graduate Education - Economic Institute, Prague. [Downloadable!]
      Other versions:
    22. José Ramón Martínez-Resano, 2005. "Size and heterogeneity matter. A microstructure-based analysis of regulation of secondary markets for governments bonds," Banco de España Occasional Papers 0501, Banco de España. [Downloadable!]
    23. Takatosh Ito & Richard K. Lyons & Michael T. Melvin, 1997. "Is there private information in the FX market? the Tokyo experiment," Pacific Basin Working Paper Series 97-04, Federal Reserve Bank of San Francisco. [Downloadable!]
      Other versions:
    24. Martin D. D. Evans(Georgetown University and NBER), . "What are the Origins of Foreign Exchange Movements?," Working Papers gueconwpa~05-05-06, Georgetown University, Department of Economics. [Downloadable!]
    25. Stefano Benati & M. Tavernini, 1998. "A new lagrangean heuristic for the generalized assignment problem," Quaderni DISA 014, Department of Computer and Management Sciences, University of Trento, Italy.
    26. Martin D. D. Evans & Richard K. Lyons, 2003. "Are Different-Currency Assets Imperfect Substitutes?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    27. Karl Ludwig Keiber, 2005. "The Informational Content of Transactions," Financial Markets and Portfolio Management, Springer, vol. 19(1), pages 47-60, June. [Downloadable!] (restricted)
    28. Ingrid Lo & Stephen G. Sapp, 2007. "Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?," Working Papers 07-23, Bank of Canada. [Downloadable!]
    29. Bruno Biais & Thierry Foucault & François Salani, 1995. "Implicit Collusion on Wide Spreads," Economics Working Papers 153, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    30. Christophe Bisiere & Thierry Kamionka, 2000. "Timing of Orders, Order Aggressiveness and the Order Book at the Paris Bourse," Annales d'Economie et de Statistique, ADRES, issue 60, pages 04, Octobre-D. [Downloadable!]
    31. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2001. "An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies," University of California at Los Angeles, Anderson Graduate School of Management 1018, Anderson Graduate School of Management, UCLA. [Downloadable!]
    32. Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2009. "Crises and Liquidity in Over-the-Counter Markets," NBER Working Papers 15414, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    33. Alexis Derviz, 2003. "Components of the Czech Koruna Risk Premium in a Multiple-Dealer FX Market," Working Papers 2003/04, Czech National Bank, Research Department. [Downloadable!]
    34. Sigridur Benediktsdottir, 2006. "An empirical analysis of specialist trading behavior at the New York Stock Exchange," International Finance Discussion Papers 876, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    35. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2001. "Common determinants of bond and stock market liquidity: the impact of financial crises, monetary policy, and mutual fund flows," Staff Reports 141, Federal Reserve Bank of New York. [Downloadable!]
    36. Ryosuke Ishii, 2009. "Optimal Execution in an Evolutionary Setting," KIER Working Papers 670, Kyoto University, Institute of Economic Research. [Downloadable!]
    37. Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2008. "Crashes and Recoveries in Illiquid Markets," NBER Working Papers 14119, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  17. Protopapadakis, Aris & Stoll, Hans R, 1983. " Spot and Futures Prices and the Law of One Price," Journal of Finance, American Finance Association, vol. 38(5), pages 1431-55, December. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  18. Ho, Thomas & Stoll, Hans R., 1981. "Optimal dealer pricing under transactions and return uncertainty," Journal of Financial Economics, Elsevier, vol. 9(1), pages 47-73, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  19. Ho, Thomas & Stoll, Hans R, 1980. " On Dealer Markets under Competition," Journal of Finance, American Finance Association, vol. 35(2), pages 259-67, May. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  20. Stoll, Hans R., 1979. "Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(04), pages 873-894, November. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  21. Stoll, Hans R, 1978. "The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks," Journal of Finance, American Finance Association, vol. 33(4), pages 1153-72, September. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  22. Stoll, Hans R, 1978. "The Supply of Dealer Services in Securities Markets," Journal of Finance, American Finance Association, vol. 33(4), pages 1133-51, September. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  23. Stoll, Hans R, 1973. "The Relationship Between Put and Call Option Prices: Reply," Journal of Finance, American Finance Association, vol. 28(1), pages 185-87, March. [Downloadable!] (restricted)

    Cited by:

    1. Vesa Puttonen, 1992. "On the behaviour of the Finnish stock index options markets," Finnish Economic Papers, Finnish Economic Association, vol. 5(2), pages 117-128, Autumn. [Downloadable!]

  24. Kraus, Alan & Stoll, Hans R, 1972. "Price Impacts of Block Trading on the New York Stock Exchange," Journal of Finance, American Finance Association, vol. 27(3), pages 569-88, June. [Downloadable!] (restricted)

    Cited by:

    1. Gideon Saar, 1999. "Price Impact Asymmetry of Block Trades: An Institutional Trading," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-030, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    2. Matilde Fernández-Blanco & C. José García Martín, 2000. "La compra de volúmenes significativos de acciones en el mercado español," Investigaciones Economicas, Fundación SEPI, vol. 24(1), pages 237-267, January. [Downloadable!]
    3. Sanvicente, A. Z., 2002. "A Guerra entre Comprados e Vendidos no Mercado de Opções de Compra da Bolsa de Valores de São Paulo," Finance Lab Working Papers flwp_44, Finance Lab, Ibmec São Paulo. [Downloadable!]
    4. Daniel Cooper & Geoffrey Woglom, 2002. "The S&P 500 effect: not such good news in the long run," Finance and Economics Discussion Series 2002-48, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    5. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2004. "Market Impact Costs of Institutional Equity Trades," DNB Staff Reports (discontinued) 125, Netherlands Central Bank. [Downloadable!]
      Other versions:
    6. A. Gregoriou & CHRISTOS IOANNIDIS, 2003. "Liquidity Effects due to Information Costs from Changes in the FTSE 100 List," Economics and Finance Discussion Papers 03-02, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    7. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2005. "Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs," DNB Working Papers 069, Netherlands Central Bank, Research Department. [Downloadable!]
    8. John Pound & Robert J. Shiller, 1986. "Speculative Behavior of Institutional Investors," NBER Working Papers 1964, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. Eric Nowak & Alexandra Gropp, 2000. "Ist der Ablauf der Lock-up-Frist bei Neuemissionen ein kursrelevantes Ereignis," Working Paper Series: Finance and Accounting 63, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
    10. Campbell, John Y & Ramadorai, Tarun & Schwartz, Allie, 2007. "Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements," CEPR Discussion Papers 6390, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    11. C. L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York. [Downloadable!]
    12. David F. Babbel & Craig B. Merrill & Mark F. Meyer & Meiring de Villiers, 2001. "The Effect of Transaction Size on Off-the-Run Treasury Prices," Center for Financial Institutions Working Papers 01-03, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    13. Kempf, Alexander & Korn, Olaf, 1998. "Market depth and order size : an analysis of permanent price effects of DAX futures' trades," ZEW Discussion Papers 98-10, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    14. Schoeneborn, Torsten & Schied, Alexander, 2007. "Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision," MPRA Paper 5548, University Library of Munich, Germany. [Downloadable!]
    15. Andros Gregoriou & Christos Ioannidis, 2006. "Information costs and liquidity effects from changes in the FTSE 100 list," European Journal of Finance, Taylor and Francis Journals, vol. 12(4), pages 347-360, June. [Downloadable!] (restricted)
    16. Narasimhan Jegadeesh & Sheridan Titman, 1990. "Short Horizon Reversals and the Bid-Ask Spread," University of California at Los Angeles, Anderson Graduate School of Management 1183, Anderson Graduate School of Management, UCLA. [Downloadable!]
    17. M. A. Martínez & M. Tapia & J. Yzaguirre, 2005. "Information transmission around block trades on the Spanish stock exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 15(3), pages 173-186, February. [Downloadable!] (restricted)
    18. David B. Brown & Bruce Ian Carlin & Miguel Sousa Lobo, 2009. "On the Scholes Liquidation Problem," NBER Working Papers 15381, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  25. Stoll, Hans R, 1969. "The Relationship between Put and Call Option Prices," Journal of Finance, American Finance Association, vol. 24(5), pages 801-24, December. [Downloadable!] (restricted)

    Cited by:

    1. Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach," Post-Print halshs-00162221_v1, HAL. [Downloadable!]
    2. Vesa Puttonen, 1992. "On the behaviour of the Finnish stock index options markets," Finnish Economic Papers, Finnish Economic Association, vol. 5(2), pages 117-128, Autumn. [Downloadable!]
    3. Vicky Henderson & Rafal Wojakowski, 2001. "On the Equivalence of Floating and Fixed-Strike Asian Options," OFRC Working Papers Series 2001mf08, Oxford Financial Research Centre. [Downloadable!]
    4. Kleopatra Nikolaou & Lucio Sarno, 2005. "New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market," Money Macro and Finance (MMF) Research Group Conference 2005 77, Money Macro and Finance Research Group. [Downloadable!]
    5. K. Sandmann & Sandmann, K., 1995. "The Direct Approach to Debt Option Pricing," Discussion Paper Serie B 212, University of Bonn, Germany. [Downloadable!]

  26. Hans R. Stoll, 1968. "An Empirical Study of the Forward Exchange Market under Fixed and Flexible Exchange Rate Systems," Canadian Journal of Economics, Canadian Economics Association, vol. 1(1), pages 55-78, February. [Downloadable!] (restricted)

    Cited by:

    1. Paul Ormerod, 1980. "The forward exchange rate for sterling and the efficiency of expectations," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 116(2), pages 205-224, June. [Downloadable!] (restricted)
    2. Adrian W. Throop, 1980. "Managed floating and the independence of interest rates," Economic Review, Federal Reserve Bank of San Francisco, issue Sum, pages 6-23. [Downloadable!]
    3. Costas Karfakis, 2008. "What Determines the Forward Exchange Rate of the Euro?," Discussion Paper Series 2008_02, Department of Economics, University of Macedonia, revised Feb 2008. [Downloadable!]
    4. Alberto Giovannini, 1980. "The deviations from interest rate parity along the term structure of forward exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 116(2), pages 225-234, June. [Downloadable!] (restricted)

Chapters

  1. Stoll, Hans R., 2003. "Market microstructure," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 9, pages 553-604 Elsevier. [Downloadable!] (restricted)

    Cited by:

    1. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," CORE Discussion Papers 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    2. Steven Anderson & Daniel Friedman & Garrett Milam & Nirvikar Singh, 2004. "Buy it Now: A Hybrid Internet Market Institution," Industrial Organization 0412003, EconWPA. [Downloadable!]
      Other versions:
    3. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

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