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A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International

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Author Info

  • Jong, F.C.J.M. de

    (Tilburg University)

  • Nijman, T.E.

    (Tilburg University)

  • Röell, A.A.

    (Tilburg University)

Abstract

[Dataset available: http://hdl.handle.net/10411/15614]

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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:12-80491.

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Date of creation: 1995
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Publication status: Published in European Economic Review (1995) v.39, p.1277-1301
Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-80491

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

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References

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  1. 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.
  2. Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  3. Madhavan, Ananth & Smidt, Seymour, 1991. "A Bayesian model of intraday specialist pricing," Journal of Financial Economics, Elsevier, Elsevier, vol. 30(1), pages 99-134, November.
  4. Hausman, J.A. & Lo, A.W. & MacKinlay, A.C., 1991. "An Ordered Probit Analysis of Transaction Stock Prices," Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research 26-91, Wharton School - Weiss Center for International Financial Research.
  5. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, Econometric Society, vol. 55(3), pages 703-08, May.
  6. 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.
  7. Madhavan, Ananth, 1992. " Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 47(2), pages 607-41, June.
  8. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, Econometric Society, vol. 53(6), pages 1315-35, November.
  9. Choi, J. Y. & Salandro, Dan & Shastri, Kuldeep, 1988. "On the Estimation of Bid-Ask Spreads: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 23(02), pages 219-230, June.
  10. Ho, Thomas & Stoll, Hans R., 1981. "Optimal dealer pricing under transactions and return uncertainty," Journal of Financial Economics, Elsevier, Elsevier, vol. 9(1), pages 47-73, March.
  11. 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.
  12. 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.
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