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Information flows and open outcry: evidence of imitation trading

  • Griffiths, Mark D.
  • Smith, Brian F.
  • Turnbull, D. Alasdair S.
  • White, Robert W.
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    File URL: http://www.sciencedirect.com/science/article/B6VGT-3V72V82-1/2/92762da3a0a65f165876f14ea012431d
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    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 8 (1998)
    Issue (Month): 2 (June)
    Pages: 101-116

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    Handle: RePEc:eee:intfin:v:8:y:1998:i:2:p:101-116
    Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

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    1. Lee, Charles M C & Mucklow, Belinda & Ready, Mark J, 1993. "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 345-74.
    2. David C. Porter & Daniel G. Weaver, 1997. "Tick Size and Market Quality," Financial Management, Financial Management Association, vol. 26(4), Winter.
    3. Lehmann, Bruce N & Modest, David M, 1994. " Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View," Journal of Finance, American Finance Association, vol. 49(3), pages 951-84, July.
    4. Ian Domowitz, 1992. "Automating the Price Discovery Process: Some International Comparisons and Regulatory Implications," IMF Working Papers 92/80, International Monetary Fund.
    5. Harris, Lawrence E, 1994. "Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes," Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 149-78.
    6. Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, vol. 41(3), pages 313-357, July.
    7. Ferris, Stephen P. & McInish, Thomas H. & Wood, Robert A., 1997. "Automated trade execution and trading activity: The case of the Vancouver stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 61-72, April.
    8. Bruce N. Lehmann and David M. Modest., 1994. "Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View," Research Program in Finance Working Papers RPF-234, University of California at Berkeley.
    9. 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 1655-89, December.
    10. Ahn, Hee-Joon & Cao, Charles Q. & Choe, Hyuk, 1996. "Tick Size, Spread, and Volume," Journal of Financial Intermediation, Elsevier, vol. 5(1), pages 2-22, January.
    11. Benveniste, Lawrence M. & Marcus, Alan J. & Wilhelm, William J., 1992. "What's special about the specialist?," Journal of Financial Economics, Elsevier, vol. 32(1), pages 61-86, August.
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