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Fragmentation, competition, and limit orders: New evidence from interday spreads

  • Porter, David C.
  • Thatcher, John G.
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    File URL: http://www.sciencedirect.com/science/article/B6W5X-3YCDH2P-P/2/ca48601cb249454df4177745b37a38c9
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 38 (1998)
    Issue (Month): 1 ()
    Pages: 111-128

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    Handle: RePEc:eee:quaeco:v:38:y:1998:i:1:p:111-128
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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    1. Kee, H. Chung & McInish, Thomas H. & Wood, Robert A. & Wyhowski, Donald J., 1995. "Production of information, information asymmetry, and the bid-ask spread: Empirical evidence from analysts' forecasts," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1025-1046, September.
    2. Peterson, David R. & Peterson, Pamela P., 1994. "Variance increases following large stock distributions: the role of changing bid-ask spreads and true variances," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 199-206, January.
    3. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    4. Hamilton, James L, 1991. "The Dealer and Market Concepts of Bid-Ask Spread: A Comparison for NASDAQ Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(2), pages 129-39, Summer.
    5. P. C. Venkatesh, 1992. "Empirical Evidence On The Impact Of The Bid-Ask Spread On The Characteristics Of Crsp Daily Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(2), pages 113-125, 06.
    6. Kini, Omesh & Mian, Shehzad, 1995. "Bid-Ask Spread and Ownership Structure," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(4), pages 401-14, Winter.
    7. James L. Hamilton, 1995. "Anatomy Of Satellite Trading In The National Market System For Nyse-Listed Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 189-206, 06.
    8. Tinic, Seha M, 1972. "The Economics of Liquidity Services," The Quarterly Journal of Economics, MIT Press, vol. 86(1), pages 79-93, February.
    9. McInish, Thomas H & Wood, Robert A, 1992. " An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-64, June.
    10. Klemkosky, Robert C. & Conroy, Robert M., 1985. "Competition and the cost of liquidity to investors," Journal of Economics and Business, Elsevier, vol. 37(3), pages 183-195, August.
    11. Hamilton, James L., 1987. "Market information and price dispersion: Unlisted stocks and NASDAQ," Journal of Economics and Business, Elsevier, vol. 39(1), pages 67-80, February.
    12. 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.
    13. Porter, David C., 1992. "The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(02), pages 209-227, June.
    14. Maddala, G. S. & Nimalendran, M., 1995. "An unobserved component panel data model to study the effect of earnings surprises on stock prices, trading volumes, and spreads," Journal of Econometrics, Elsevier, vol. 68(1), pages 229-242, July.
    15. Miller, James M. & McConnell, John J., 1995. "Open-Market Share Repurchase Programs and Bid-Ask Spreads on the NYSE: Implications for Corporate Payout Policy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 365-382, September.
    16. Tripathy, Niranjan & Peterson, Richard L, 1991. "The Relationship between OTC Bid-Ask Spreads and Dealer Size: The Impact of Order-Processing and Diversification Costs," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(2), pages 117-27, Summer.
    17. Keim, Donald B., 1989. "Trading patterns, bid-ask spreads, and estimated security returns : The case of common stocks at calendar turning points," Journal of Financial Economics, Elsevier, vol. 25(1), pages 75-97, November.
    18. Benston, George J. & Hagerman, Robert L., 1974. "Determinants of bid-asked spreads in the over-the-counter market," Journal of Financial Economics, Elsevier, vol. 1(4), pages 353-364, December.
    19. Porter, David C & Weaver, Daniel G, 1996. " Estimating Bid-Ask Spread Components: Specialist versus Multiple Market Maker Systems," Review of Quantitative Finance and Accounting, Springer, vol. 6(2), pages 167-80, March.
    20. Hamilton, James L, 1979. "Marketplace Fragmentation, Competition, and the Efficiency of the Stock Exchange," Journal of Finance, American Finance Association, vol. 34(1), pages 171-87, March.
    21. Venkatesh, P C, 1992. "Empirical Evidence on the Impact of the Bid-Ask Spread on the Characteristics of CRSP Daily Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(2), pages 113-25, Summer.
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