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Price effects of trading and components of the bid-ask spread on the Paris Bourse

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  • Jong, F.C.J.M. de

    (Tilburg University)

  • Nijman, T.E.

    (Tilburg University)

  • Röell, A.A.

    (Tilburg University)

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Bibliographic Info

Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-153836.

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Date of creation: 1997
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Publication status: Published in Journal of Empirical Finance (1997) v.3, p.193-213
Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-153836

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Web page: http://www.tilburguniversity.edu/

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References

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  1. Keim, Donald B & Madhaven, Ananth, 1996. "The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 9(1), pages 1-36.
  2. Ananth Madhavan & Seymour Smidt, . "A Bayesian Model of Intraday Specialist Pricing," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 2-91, Wharton School Rodney L. White Center for Financial Research.
  3. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 96(5), pages 893-920, October.
  4. Heckman, James J, 1978. "Dummy Endogenous Variables in a Simultaneous Equation System," Econometrica, Econometric Society, Econometric Society, vol. 46(4), pages 931-59, July.
  5. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
  6. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, Archie Craig, 1955-, 1990. "An ordered probit analysis of transaction stock prices," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 3234-90., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  7. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, American Finance Association, vol. 46(1), pages 179-207, March.
  8. Conrad, Jennifer & Kaul, Gautam, 1989. "Mean Reversion in Short-Horizon Expected Returns," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 2(2), pages 225-40.
  9. Glosten, Lawrence R. & Harris, Lawrence E., 1988. "Estimating the components of the bid/ask spread," Journal of Financial Economics, Elsevier, Elsevier, vol. 21(1), pages 123-142, May.
  10. Hasbrouck, Joel, 1991. "The Summary Informativeness of Stock Trades: An Econometric Analysis," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 4(3), pages 571-95.
  11. Ananth Madhavan & Matthew Richardson & Mark Roomans, 1996. "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 96-34, New York University, Leonard N. Stern School of Business-.
  12. Chan, Louis K. C. & Lakonishok, Josef, 1993. "Institutional trades and intraday stock price behavior," Journal of Financial Economics, Elsevier, Elsevier, vol. 33(2), pages 173-199, April.
  13. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, Econometric Society, vol. 48(1), pages 1-48, January.
  14. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
  15. Campbell, John Y & Deaton, Angus, 1989. "Why Is Consumption So Smooth?," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 56(3), pages 357-73, July.
  16. Jong, F.C.J.M. de & Nijman, T.E. & Roell, A.A., 1993. "A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International," Discussion Paper, Tilburg University, Center for Economic Research 1993-29, Tilburg University, Center for Economic Research.
  17. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, American Finance Association, vol. 50(5), pages 1655-89, December.
  18. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, Elsevier, vol. 14(1), pages 71-100, March.
  19. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, Elsevier, vol. 7(2), pages 151-174.
  20. George, Thomas J & Kaul, Gautam & Nimalendran, M, 1991. "Estimation of the Bid-Ask Spread and Its Components: A New Approach," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 4(4), pages 623-56.
  21. Glosten, Lawrence R, 1994. " Is the Electronic Open Limit Order Book Inevitable?," Journal of Finance, American Finance Association, American Finance Association, vol. 49(4), pages 1127-61, September.
  22. Ananth Madhavan & Seymour Smidt, . "An Analysis of Daily Changes in Specialist Inventories and Quotations," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 22-92, Wharton School Rodney L. White Center for Financial Research.
  23. Hasbrouck, Joel, 1993. "Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 6(1), pages 191-212.
  24. Holthausen, Robert W. & Leftwich, Richard W. & Mayers, David, 1990. "Large-block transactions, the speed of response, and temporary and permanent stock-price effects," Journal of Financial Economics, Elsevier, Elsevier, vol. 26(1), pages 71-95, July.
  25. Stoll, Hans R, 1989. " Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests," Journal of Finance, American Finance Association, American Finance Association, vol. 44(1), pages 115-34, March.
  26. Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 19(1), pages 69-90, September.
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Citations

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Cited by:
  1. Timotheos Angelidis & Alexandros Benos, 2009. "The Components of the Bid-Ask Spread: the Case of the Athens Stock Exchange," European Financial Management, European Financial Management Association, European Financial Management Association, vol. 15(1), pages 112-144.
  2. Sandro Brusco & Carolina Manzano & Mikel Tapia, 2003. "Price Discovery In The Pre-Opening Period. Theory And Evidence From The Madrid Stock Exchange," Business Economics Working Papers, Universidad Carlos III, Departamento de Economía de la Empresa wb035814, Universidad Carlos III, Departamento de Economía de la Empresa.
  3. Stefan Frey & Joachim Grammig, 2006. "Liquidity supply and adverse selection in a pure limit order book market," Empirical Economics, Springer, Springer, vol. 30(4), pages 1007-1033, January.
  4. Chan, Yue-Cheong, 2000. "The price impact of trading on the stock exchange of Hong Kong," Journal of Financial Markets, Elsevier, Elsevier, vol. 3(1), pages 1-16, February.
  5. Pascual, Roberto & Escribano, Alvaro & Tapia, Mikel, 2004. "Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(1), pages 107-128, January.
  6. Bowe, Michael & Hyde, Stuart & McFarlane, Lavern, 2013. "Duration, trading volume and the price impact of trades in an emerging futures market," Emerging Markets Review, Elsevier, Elsevier, vol. 17(C), pages 89-105.
  7. Angelo Ranaldo, 2002. "Market Dynamics Around Public Information Arrivals," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp45, International Center for Financial Asset Management and Engineering.
  8. Rubio Irigoyen, Gonzalo & Martínez Sedano, Miguel Angel & Tapia, Mikel, 2001. "Understanding the ex-ante cost of liquidity in the limit order book: A note," DFAEII Working Papers 2002-03, University of the Basque Country - Department of Foundations of Economic Analysis II.
  9. Ferriani, Fabrizio, 2010. "Informed and uninformed traders at work: evidence from the French market," MPRA Paper 24487, University Library of Munich, Germany.
  10. Timotheos Angelidis & Alexandros Benos, 2006. "Liquidity adjusted value-at-risk based on the components of the bid-ask spread," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(11), pages 835-851.

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