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

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  • Porter, David C.
  • Thatcher, John G.

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  • Porter, David C. & Thatcher, John G., 1998. "Fragmentation, competition, and limit orders: New evidence from interday spreads," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(1), pages 111-128.
  • Handle: RePEc:eee:quaeco:v:38:y:1998:i:1:p:111-128
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    1. 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.
    2. 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.
    3. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    4. 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.
    5. 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 117-127, Summer.
    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 401-414, Winter.
    7. 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 129-139, Summer.
    8. Seha M. Tinic, 1972. "The Economics of Liquidity Services," The Quarterly Journal of Economics, Oxford University Press, vol. 86(1), pages 79-93.
    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 753-764, June.
    10. 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.
    11. 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.
    12. 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.
    13. 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, June.
    14. 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.
    15. 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 113-125, Summer.
    16. 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 167-180, March.
    17. 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.
    18. Hamilton, James L, 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, Summer.
    19. Hamilton, James L, 1979. "Marketplace Fragmentation, Competition, and the Efficiency of the Stock Exchange," Journal of Finance, American Finance Association, vol. 34(1), pages 171-187, March.
    20. 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.
    21. 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.
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    1. José Belso-Martínez & Xavier Molina-Morales & Francisco Más-Verdú, 2011. "How cluster membership places the mediatior effect of the internal resources on the association between KIBS and the growth of new innovative firms," ERSA conference papers ersa11p1732, European Regional Science Association.
    2. Monteiro, Pedro & Noronha, Teresa & Neto, Paulo, 2011. "Contributions towards a Cluster Strategy for the Sea in the Algarve," Spatial and Organizational Dynamics Discussion Papers 2011-10, CIEO-Research Centre for Spatial and Organizational Dynamics, University of Algarve.
    3. Mikel Navarro Arancegui & Juan José Gibaja Martíns & Susana Franco Rodríguez & Asier Murciego Alonso, 2012. "Territorial Benchmarking Methodology: The Need to Identify Reference Regions," Chapters,in: Innovation, Global Change and Territorial Resilience, chapter 4 Edward Elgar Publishing.
    4. Pedro Valadas Monteiro & Teresa de Noronha & Paulo Neto, 2011. "The Importance of Clusters for Sustainable Innovation Processes: The Context of Small and Medium Sized Regions," CEFAGE-UE Working Papers 2011_24, University of Evora, CEFAGE-UE (Portugal).
    5. Ferrari, Filippo & Timoncini, Bruno & Conzatti, Silvia & Teglia, Egle, 2006. "Una proposta a sostegno dello sviluppo delle Cinque Valli Bolognesi
      [A proposal to support the development of the Cinque Valli Bolognesi]
      ," MPRA Paper 20628, University Library of Munich, Germany.
    6. Martin, Ron & Sunley, Peter, 2012. "Forms of emergence and the evolution of economic landscapes," Journal of Economic Behavior & Organization, Elsevier, vol. 82(2), pages 338-351.
    7. Oliver Falck & Stefan Kipar & Ludger Wößmann, 2011. "Innovationstätigkeit von Unternehmen : die Rolle von Qualifikationen, Kooperationen und Clusterpolitik," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 38.
    8. Fiorenza Belussi & Silvia R. Sedita, 2012. "Industrial Districts as Open Learning Systems: Combining Emergent and Deliberate Knowledge Structures," Regional Studies, Taylor & Francis Journals, vol. 46(2), pages 165-184, April.
    9. Ron Martin & Peter Sunley, 2011. "Conceptualizing Cluster Evolution: Beyond the Life Cycle Model?," Regional Studies, Taylor & Francis Journals, vol. 45(10), pages 1299-1318, November.
    10. Prejmerean (Dan), Mihaela Cornelia, 2011. "The development potential of clusters in Romania," MPRA Paper 35349, University Library of Munich, Germany.
    11. Mirko Titze & Matthias Brachert & Alexander Kubis, 2011. "The Identification of Regional Industrial Clusters Using Qualitative Input-Output Analysis (QIOA)," Regional Studies, Taylor & Francis Journals, vol. 45(1), pages 89-102.
    12. DAVID Lóránt & TOTH Géza & BUJDOSO Zoltán & REMENYIK Bulcsú, 2011. "The role of tourism in the development of border regions in Hungary," Romanian Journal of Economics, Institute of National Economy, vol. 33(2(42)), pages 109-124, December.
    13. Bennett, Paul & Wei, Li, 2006. "Market structure, fragmentation, and market quality," Journal of Financial Markets, Elsevier, vol. 9(1), pages 49-78, February.
    14. Josep-Antoni Ybarra-Pérez & Rafael Doménech-Sánchez, 2011. "Governance of local production networks and public policy: The Spanish aid scheme for Innovative Business Partnerships," ERSA conference papers ersa11p394, European Regional Science Association.
    15. Julia Wolf, 2011. "Sustainable Supply Chain Management Integration: A Qualitative Analysis of the German Manufacturing Industry," Journal of Business Ethics, Springer, vol. 102(2), pages 221-235, August.
    16. Ende, Bartholomäus & Lutat, Marco, 2010. "Trade-throughs in European cross-traded equities after transaction costs: Empirical evidence for the EURO STOXX 50," CFS Working Paper Series 2010/15, Center for Financial Studies (CFS).
    17. Sara Tessitore & Tiberio Daddi & Fabio Iraldo, 2010. "Eco-innovation and economic performance in industrial clusters: evidence from Italy," Working Papers 201005, Scuola Superiore Sant'Anna of Pisa, Istituto di Management.

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