Bid-Ask Spread Components in an Order-Driven Environment
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References listed on IDEAS
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- Araújo, Gustavo Silva & Barbedo, Claudio Henrique da S. & Vicente, José Valentim M., 2014.
"The adverse selection cost component of the spread of Brazilian stocks,"
Emerging Markets Review,
Elsevier, vol. 21(C), pages 21-41.
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- Vinay Patel, 2015. "Price Discovery in US and Australian Stock and Options Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 27.
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- Tapia Torres, Miguel Ángel & Escribano Sáez, Álvaro & Pascual, Roberto, 2000. "Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context," UC3M Working papers. Economics 7276, Universidad Carlos III de Madrid. Departamento de Economía.
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- Yu Chuan Huang, 2004. "The components of bid‐ask spread and their determinants: TAIFEX versus SGX‐DT," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(9), pages 835-860, September.
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