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Specialist participation and limit orders

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  • Bondarenko, Oleg
  • Sung, Jaeyoung

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  • Bondarenko, Oleg & Sung, Jaeyoung, 2003. "Specialist participation and limit orders," Journal of Financial Markets, Elsevier, vol. 6(4), pages 539-571, August.
  • Handle: RePEc:eee:finmar:v:6:y:2003:i:4:p:539-571
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    References listed on IDEAS

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    1. Glosten, Lawrence R, 1989. "Insider Trading, Liquidity, and the Role of the Monopolist Specialist," The Journal of Business, University of Chicago Press, vol. 62(2), pages 211-235, April.
    2. 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, vol. 50(5), pages 1655-1689, December.
    3. Madhavan, Ananth & Smidt, Seymour, 1993. " An Analysis of Changes in Specialist Inventories and Quotations," Journal of Finance, American Finance Association, vol. 48(5), pages 1595-1628, December.
    4. Bruno Biais & David Martimort & Jean-Charles Rochet, 2000. "Competing Mechanisms in a Common Value Environment," Econometrica, Econometric Society, vol. 68(4), pages 799-838, July.
    5. Seppi, Duane J, 1997. "Liquidity Provision with Limit Orders and a Strategic Specialist," Review of Financial Studies, Society for Financial Studies, pages 103-150.
    6. Leach, J Chris & Madhavan, Ananth N, 1993. "Price Experimentation and Security Market Structure," Review of Financial Studies, Society for Financial Studies, pages 375-404.
    7. Chakravarty Sugato & Holden Craig W., 1995. "An Integrated Model of Market and Limit Orders," Journal of Financial Intermediation, Elsevier, pages 213-241.
    8. Jürgen Dennert, 1993. "Price Competition between Market Makers," Review of Economic Studies, Oxford University Press, vol. 60(3), pages 735-751.
    9. Bhattacharya, Utpal & Spiegel, Matthew, 1991. "Insiders, Outsiders, and Market Breakdowns," Review of Financial Studies, Society for Financial Studies, pages 255-282.
    10. Durland, J Michael & McCurdy, Thomas H, 1994. "Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth," Journal of Business & Economic Statistics, American Statistical Association, pages 279-288.
    11. 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, pages 71-100.
    12. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    13. Glosten, Lawrence R, 1994. " Is the Electronic Open Limit Order Book Inevitable?," Journal of Finance, American Finance Association, vol. 49(4), pages 1127-1161, September.
    14. Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    15. Christian Leuz & Karl V. Lins & Francis E. Warnock, 2010. "Do Foreigners Invest Less in Poorly Governed Firms?," Review of Financial Studies, Society for Financial Studies, pages 3245-3285.
    16. Madhavan, Ananth & Sofianos, George, 1998. "An empirical analysis of NYSE specialist trading," Journal of Financial Economics, Elsevier, pages 189-210.
    17. Albert S. Kyle, 1989. "Informed Speculation with Imperfect Competition," Review of Economic Studies, Oxford University Press, vol. 56(3), pages 317-355.
    18. Bernhardt, Dan & Hughson, Eric, 1997. "Splitting Orders," Review of Financial Studies, Society for Financial Studies, pages 69-101.
    19. Harris, Lawrence, 1991. "Stock Price Clustering and Discreteness," Review of Financial Studies, Society for Financial Studies, pages 389-415.
    20. Chakravarty, Sugato, 2001. "Stealth-trading: Which traders' trades move stock prices?," Journal of Financial Economics, Elsevier, vol. 61(2), pages 289-307, August.
    21. Subrahmanyam, Avanidhar, 1991. "Risk Aversion, Market Liquidity, and Price Efficiency," Review of Financial Studies, Society for Financial Studies, pages 416-441.
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    Cited by:

    1. Castellano, Rosella & Cerqueti, Roy, 2011. "The optimal bid/ask spread in a Specialist System," Economic Modelling, Elsevier, vol. 28(5), pages 2247-2253, September.
    2. 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, pages 25-48.
    3. Köksal, Bülent, 2010. "Participation strategy of the NYSE specialists to the posted quotes," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 314-331, December.
    4. Visaltanachoti, Nuttawat & Charoenwong, Charlie & Ding, David K., 2008. "Liquidity distribution in the limit order book on the stock exchange of Thailand," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 291-311.
    5. Vo, Minh T., 2007. "Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange," Global Finance Journal, Elsevier, pages 379-396.
    6. Bülent, Köksal, 2008. "Participation Strategy of the NYSE Specialists to the Trades," MPRA Paper 30512, University Library of Munich, Germany.
    7. Frino, Alex & Lecce, Steven & Segara, Reuben, 2011. "The impact of trading halts on liquidity and price volatility: Evidence from the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, pages 298-307.

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