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The Market Microstructure of Dealership Equity and Government Securities Markets: How They Differ

In: Market Liquidity: Research Findings and Selected Policy Implications

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  • Toni Gravelle

    (Bank of Canada)

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This chapter was published in:

  • Bank for International Settlements, 1999. "Market Liquidity: Research Findings and Selected Policy Implications," CGFS Papers, Bank for International Settlements, number 11, January.
    This item is provided by Bank for International Settlements in its series CGFS Papers chapters with number 11-02.

    Handle: RePEc:bis:biscgc:11-02

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    1. Madhavan, Ananth & Smidt, Seymour, 1991. "A Bayesian model of intraday specialist pricing," Journal of Financial Economics, Elsevier, vol. 30(1), pages 99-134, November.
    2. Flood, M. & Huisman , R. & Koedijk, C.G. & Mahieu, R.J., 1999. "Quote disclosure and price discovery in multiple-dealer financial markets," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3106474, Tilburg University.
    3. Leach, J Chris & Madhavan, Ananth N, 1993. "Price Experimentation and Security Market Structure," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 375-404.
    4. Michael J. Fleming & Eli M. Remolona, 1999. "Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information," Journal of Finance, American Finance Association, vol. 54(5), pages 1901-1915, October.
    5. Gravelle, Toni, 1999. "Liquidity of the Government of Canada Securities Market: Stylized Facts and Some Market Microstructure Comparisons to the United States Treasury Market," Working Papers 99-11, Bank of Canada.
    6. Peter Dattels, 1995. "The Microstructure of Government Securities Markets," IMF Working Papers 95/117, International Monetary Fund.
    7. William Perraudin & Paolo Vitale, 1996. "Interdealer Trade and Information Flows in a Decentralized Foreign Exchange Market," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 73-106 National Bureau of Economic Research, Inc.
    8. Ananth Madhavan & Seymour Smidt, . "An Analysis of Daily Changes in Specialist Inventories and Quotations," Rodney L. White Center for Financial Research Working Papers 22-92, Wharton School Rodney L. White Center for Financial Research.
    9. Spulber,Daniel F., 1999. "Market Microstructure," Cambridge Books, Cambridge University Press, number 9780521659789, December.
    10. John Board & Charles Sutcliffe, 1996. "Trade Transparency and the London Stock Exchange," European Financial Management, European Financial Management Association, vol. 2(3), pages 355-365.
    11. Vitale, Paolo, 1998. "Two months in the life of several gilt-edged market makers on the London Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 299-324, December.
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    Cited by:
    1. Dunne, Peter & Moore, Michael J. & Portes, Richard, 2006. "An Empirical Analysis of Transparency-Related Characteristics of European and US Sovereign Bond Markets," Research Technical Papers 9/RT/06, Central Bank of Ireland.
    2. Medvedev, Alexei, 2001. "International investors, contagion and the Russian crisis," BOFIT Discussion Papers 6/2001, Bank of Finland, Institute for Economies in Transition.
    3. Coluzzi, Chiara & Ginebri, Sergio & Turco, Manuel, 2008. "Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08044, University of Molise, Dept. SEGeS.

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