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Citations for "Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange"

by Oliver Hansch & Narayan Y. Naik & S. Viswanathan

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  1. Li, Mingsheng & McCormick, Timothy & Zhao, Xin, 2005. "Order imbalance and liquidity supply: Evidence from the bubble burst of Nasdaq stocks," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 533-555, September.
  2. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Businesss School.
  3. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
  4. Massa, Massimo & Simonov, Andrei, 2003. "Reputation and interdealer trading: a microstructure analysis of the Treasury Bond market," Journal of Financial Markets, Elsevier, vol. 6(2), pages 99-141, April.
  5. Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2013. "Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis," CEPR Discussion Papers 9659, C.E.P.R. Discussion Papers.
  6. H. Henry Cao & Richard K. Lyons & Martin D.D. Evans, 2003. "Inventory Information," NBER Working Papers 9893, National Bureau of Economic Research, Inc.
  7. Stefan Nagel, 2011. "Evaporating Liquidity," NBER Working Papers 17653, National Bureau of Economic Research, Inc.
  8. Huang, Roger D. & Cai, Jun & Wang, Xiaozu, 2002. "Information-Based Trading in the Treasury Note Interdealer Broker Market," Journal of Financial Intermediation, Elsevier, vol. 11(3), pages 269-296, July.
  9. J. Doyne Farmer, 1998. "Market Force, Ecology, and Evolution," Research in Economics 98-12-117e, Santa Fe Institute.
  10. Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February.
  11. Angeles de Frutos, M. & Manzano, Carolina, 2005. "Trade disclosure and price dispersion," Journal of Financial Markets, Elsevier, vol. 8(2), pages 183-216, May.
  12. Gajewski, Jean-Francois & Gresse, Carole, 2007. "Centralised order books versus hybrid order books: A paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2906-2924, September.
  13. Faff, Robert & Hillier, David, 2005. "Complete markets, informed trading and equity option introductions," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1359-1384, June.
  14. 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.
  15. Martin D. D. Evans & Richard K. Lyons, 2003. "Are Different-Currency Assets Imperfect Substitutes?," CESifo Working Paper Series 978, CESifo Group Munich.
  16. Hau, Harald, 2001. "Geographic patterns of trading profitability in Xetra," European Economic Review, Elsevier, vol. 45(4-6), pages 757-769, May.
  17. Viswanathan, S. & Wang, James J. D., 2002. "Market architecture: limit-order books versus dealership markets," Journal of Financial Markets, Elsevier, vol. 5(2), pages 127-167, April.
  18. Jankowitsch, Rainer & Nashikkar, Amrut & Subrahmanyam, Marti G., 2011. "Price dispersion in OTC markets: A new measure of liquidity," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 343-357, February.
  19. Gündüz, Yalin & Nasev, Julia & Trapp, Monika, 2013. "The price impact of CDS trading," Discussion Papers 20/2013, Deutsche Bundesbank, Research Centre.
  20. Bessembinder, Hendrik, 2003. "Quote-based competition and trade execution costs in NYSE-listed stocks," Journal of Financial Economics, Elsevier, vol. 70(3), pages 385-422, December.
  21. Wu, Thomas Y, 2008. "Order Flow in the South: Anatomy of the Brazilian FX Market," Santa Cruz Department of Economics, Working Paper Series qt968459j2, Department of Economics, UC Santa Cruz.
  22. Menyah, Kojo & Paudyal, Krishna, 2000. "The components of bid-ask spreads on the London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(11), pages 1767-1785, November.
  23. J. Doyne Farmer & Shareen Joshi, 2000. "The price dynamics of common trading strategies," Papers cond-mat/0012419, arXiv.org.
  24. Naik, Narayan Y. & Yadav, Pradeep K., 2004. "Trading costs of public investors with obligatory and voluntary market-making: Evidence from market reforms," CFR Working Papers 04-06, University of Cologne, Centre for Financial Research (CFR).
  25. Hansch, Oliver, 2004. "The cross-sectional determinants of inventory control and the subtle effects of ADRs," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1915-1933, August.
  26. Lescourret, Laurence & Robert, Christian Y., 2006. "Preferencing, internalization and inventory position," ESSEC Working Papers DR 06017, ESSEC Research Center, ESSEC Business School.
  27. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 2001-10, Federal Reserve Bank of San Francisco.
  28. Theobald, Michael & Yallup, Peter, 2005. "Intradaily volatility and adjustment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 407-424, December.
  29. Naik, Narayan Y. & Yadav, Pradeep K., 2003. "Do dealer firms manage inventory on a stock-by-stock or a portfolio basis?," Journal of Financial Economics, Elsevier, vol. 69(2), pages 325-353, August.
  30. Victoria Saporta & Giorgio Trebeschi & Anne Vila, 1999. "Price formation and transparency on the London Stock Exchange," Bank of England working papers 95, Bank of England.
  31. Lescourret, Laurence & Robert, Christian Y., 2011. "Transparency matters: Price formation in the presence of order preferencing," Journal of Financial Markets, Elsevier, vol. 14(2), pages 227-258, May.
  32. Angelidis, Timotheos & Andrikopoulos, Andreas, 2010. "Idiosyncratic risk, returns and liquidity in the London Stock Exchange: A spillover approach," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 214-221, June.
  33. Umut \c{C}etin & Albina Danilova, 2014. "Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems," Papers 1407.2420, arXiv.org.
  34. Bessembinder, Hendrik & Venkataraman, Kumar, 2004. "Does an electronic stock exchange need an upstairs market?," Journal of Financial Economics, Elsevier, vol. 73(1), pages 3-36, July.
  35. Zhu, Mei & Chiarella, Carl & He, Xue-Zhong & Wang, Duo, 2009. "Does the market maker stabilize the market?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(15), pages 3164-3180.
  36. Karl Friedrich Habermeier & Andrei Kirilenko, 2001. "Securities Transaction Taxes and Financial Markets," IMF Working Papers 01/51, International Monetary Fund.
  37. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
  38. Wu, Wei-Shao & Liu, Yu-Jane & Lee, Yi-Tsung & Fok, Robert C.W., 2014. "Hedging costs, liquidity, and inventory management: The evidence from option market makers," Journal of Financial Markets, Elsevier, vol. 18(C), pages 25-48.
  39. Reiner Franke & Toichiro Asada, 2008. "Incorporating positions into asset pricing models with order-based strategies," Journal of Economic Interaction and Coordination, Springer, vol. 3(2), pages 201-227, December.
  40. Hatch, Brian C. & Johnson, Shane A., 2002. "The impact of specialist firm acquisitions on market quality," Journal of Financial Economics, Elsevier, vol. 66(1), pages 139-167, October.
  41. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Working Papers 02-9, Bank of Canada.
  42. Martin D. D. Evans & Richard K. Lyons, 2001. "Portfolio Balance, Price Impact, and Secret Intervention," NBER Working Papers 8356, National Bureau of Economic Research, Inc.
  43. de Groot, Wilma & Huij, Joop & Zhou, Weili, 2012. "Another look at trading costs and short-term reversal profits," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 371-382.