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Symposium on Market Microstructure: A Review of Empirical Research

Author

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  • Coughenour, Jay
  • Shastri, Kuldeep

Abstract

This paper provides a review of empirical research in four topics within the area of market microstructure. Specifically, the paper provides an overview of issues related to (a) the estimation of the components of the bid-ask spread, (b) the effects of order flow and regulation on market liquidity, (c) the differences and similarities between the NYSE and the Nasdaq, and (d) the interaction between the options and underlying stock markets. Copyright 1999 by MIT Press.

Suggested Citation

  • Coughenour, Jay & Shastri, Kuldeep, 1999. "Symposium on Market Microstructure: A Review of Empirical Research," The Financial Review, Eastern Finance Association, vol. 34(4), pages 1-27, November.
    • Handle: RePEc:bla:finrev:v:34:y:1999:i:4:p:1-27
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    Cited by:

    1. William Bertin & Paul Fowler & David Michayluk & Laurie Prather, 2010. "An analysis of Australian exchange traded options and warrants," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 150-172, April.
    2. Imen Kouki & Mahfuzul Haque, 2009. "Tunisian Dealer Behaviour in FX Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(3), pages 265-287, September.
    3. David Geltner & Bryan D. MacGregor & Gregory M. Schwann, 2003. "Appraisal Smoothing and Price Discovery in Real Estate Markets," Urban Studies, Urban Studies Journal Limited, vol. 40(5-6), pages 1047-1064, May.
    4. Kryzanowski, Lawrence & Rubalcava, Arturo, 2005. "International trade-venue clienteles and order-flow competitiveness," Journal of Financial Intermediation, Elsevier, vol. 14(1), pages 86-113, January.
    5. Georges Dionne & Xiaozhou Zhou, 2020. "The dynamics of ex-ante weighted spread: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 593-617, April.
    6. Maxime Charlebois & Stephen Sapp, 2007. "Temporal Patterns in Foreign Exchange Returns and Options," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 443-470, March.
    7. Loistl, Otto & Schossmann, Bernd & Vetter, Olaf, 2001. "Xetra efficiency evaluation and NASDAQ modelling by KapSyn," European Journal of Operational Research, Elsevier, vol. 135(2), pages 270-295, December.
    8. Trifan, Emanuela, 2004. "Entscheidungsregeln und ihr Einfluss auf den Aktienkurs," Darmstadt Discussion Papers in Economics 131, Darmstadt University of Technology, Department of Law and Economics.
    9. Malay Dey & B. Radhakrishna, 2015. "Informed trading, institutional trading, and spread," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 288-307, April.
    10. Georges Dionne & Xiaozhou Zhou, 2016. "The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis," Working Papers 15-5, HEC Montreal, Canada Research Chair in Risk Management.
    11. repec:bla:jfinan:v:58:y:2003:i:6:p:2437-2464 is not listed on IDEAS
    12. Salil K. Sarkar & Niranjan Tripathy, 2002. "An empirical analysis of the impact of stock index futures trading on securities dealers' inventory risk in the NASDAQ market," Review of Financial Economics, John Wiley & Sons, vol. 11(1), pages 1-17.
    13. Michele O'Neill & Judith Swisher, 2003. "Institutional Investors and Information Asymmetry: An Event Study of Self‐Tender Offers," The Financial Review, Eastern Finance Association, vol. 38(2), pages 197-211, May.
    14. Zou, Liping & Rose, Lawrence C. & Pinfold, John F., 2006. "Intra-night trading behaviour of Australian treasury-bond futures overnight options," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 415-433.

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