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A closing call's impact on market quality at Euronext Paris

Listed author(s):
  • Pagano, Michael S.
  • Schwartz, Robert A.
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    File URL: http://www.sciencedirect.com/science/article/pii/S0304-405X(03)00073-4
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    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 68 (2003)
    Issue (Month): 3 (June)
    Pages: 439-484

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    Handle: RePEc:eee:jfinec:v:68:y:2003:i:3:p:439-484
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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    1. Roll, Richard, 1984. " A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-1139, September.
    2. Cohen, Kalman J. & Hawawini, Gabriel A. & Maier, Steven F. & Schwartz, Robert A. & Whitcomb, David K., 1983. "Friction in the trading process and the estimation of systematic risk," Journal of Financial Economics, Elsevier, vol. 12(2), pages 263-278, August.
    3. Amihud, Yakov & Mendelson, Haim, 1987. " Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-553, July.
    4. Elyasiani, Elyas & Hauser, Shmuel & Lauterbach, Beni, 2000. "Market Response to Liquidity Improvements: Evidence from Exchange Listings," The Financial Review, Eastern Finance Association, vol. 35(1), pages 1-14, February.
    5. Madhavan, Ananth & Panchapagesan, Venkatesh, 2000. "Price Discovery in Auction Markets: A Look Inside the Black Box," Review of Financial Studies, Society for Financial Studies, vol. 13(3), pages 627-658.
    6. Kalman J. Cohen & Gabriel A. Hawawini & Steven F. Maier & Robert A. Schwartz & David K. Whitcomb, 1983. "Estimating and Adjusting for the Intervalling-Effect Bias in Beta," Management Science, INFORMS, vol. 29(1), pages 135-148, January.
    7. Cohen, Kalman J, et al, 1981. "Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread," Journal of Political Economy, University of Chicago Press, vol. 89(2), pages 287-305, April.
    8. Fung, William K. H. & Schwartz, Robert A. & Whitcomb, David K., 1985. "Adjusting for the intervalling effect bias in beta : A Test using Paris Bourse Data," Journal of Banking & Finance, Elsevier, vol. 9(3), pages 443-460, September.
    9. Levhari, David & Levy, Haim, 1977. "The Capital Asset Pricing Model and the Investment Horizon," The Review of Economics and Statistics, MIT Press, vol. 59(1), pages 92-104, February.
    10. Tarun Chordia & Bhaskaran Swaminathan, 2000. "Trading Volume and Cross-Autocorrelations in Stock Returns," Journal of Finance, American Finance Association, vol. 55(2), pages 913-935, 04.
    11. Schwartz, Robert A. & Whitcomb, David K., 1977. "Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(02), pages 291-313, June.
    12. Hans R. Stoll, 2000. "Presidential Address: Friction," Journal of Finance, American Finance Association, vol. 55(4), pages 1479-1514, 08.
    13. Muscarella, Chris J. & Piwowar, Michael S., 2001. "Market microstructure and securities values: : Evidence from the Paris Bourse," Journal of Financial Markets, Elsevier, vol. 4(3), pages 209-229, June.
    14. Lesmond, David A & Ogden, Joseph P & Trzcinka, Charles A, 1999. "A New Estimate of Transaction Costs," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1113-1141.
    15. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
    16. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
    17. Michael J. Barclay & William G. Christie & Jeffrey H. Harris & Eugene Kandel & Paul H. Schultz, 1999. "Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks," Journal of Finance, American Finance Association, vol. 54(1), pages 1-34, 02.
    18. Schultz, Paul, 2000. "Regulatory and Legal Pressures and the Costs of Nasdaq Trading," Review of Financial Studies, Society for Financial Studies, vol. 13(4), pages 917-957.
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