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Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange

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  • Vo, Minh T.
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    File URL: http://www.sciencedirect.com/science/article/pii/S1044-0283(06)00058-5
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    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 17 (2007)
    Issue (Month): 3 (03)
    Pages: 379-396

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    Handle: RePEc:eee:glofin:v:17:y:2007:i:3:p:379-396
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620162

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    18. Harris, L., 1990. "Liquidity , Trading Rules and Electronic Trading Systems ," Papers 91-8, Southern California - School of Business Administration.
    19. Hamao, Yasushi & Hasbrouck, Joel, 1995. "Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 849-878.
    20. Stoll, Hans R, 1978. "The Supply of Dealer Services in Securities Markets," Journal of Finance, American Finance Association, vol. 33(4), pages 1133-1151, September.
    21. Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
    22. Meulbroek, Lisa K, 1992. " An Empirical Analysis of Illegal Insider Trading," Journal of Finance, American Finance Association, vol. 47(5), pages 1661-1699, December.
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    35. Chan, K C & Christie, William G & Schultz, Paul H, 1995. "Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities," The Journal of Business, University of Chicago Press, vol. 68(1), pages 35-60, January.
    36. Bondarenko, Oleg & Sung, Jaeyoung, 2003. "Specialist participation and limit orders," Journal of Financial Markets, Elsevier, vol. 6(4), pages 539-571, August.
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