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Tick size and the returns to providing liquidity

  • MacKinnon, Greg
  • Nemiroff, Howard
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    File URL: http://www.sciencedirect.com/science/article/B6W4V-49XPF16-1/2/0f429ecef9c4c3a97eb46b28485bbf50
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    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 13 (2004)
    Issue (Month): 1 ()
    Pages: 57-73

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    Handle: RePEc:eee:reveco:v:13:y:2004:i:1:p:57-73
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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    1. Jones, Charles M. & Lipson, Marc L., 2001. "Sixteenths: direct evidence on institutional execution costs," Journal of Financial Economics, Elsevier, vol. 59(2), pages 253-278, February.
    2. Handa, Puneet & Schwartz, Robert A, 1996. " Limit Order Trading," Journal of Finance, American Finance Association, vol. 51(5), pages 1835-61, December.
    3. Griffiths, Mark D. & Smith, Brian F. & Turnbull, D. Alasdair S. & White, Robert W., 1998. "The Role of Tick Size in Upstairs Trading and Downstairs Trading," Journal of Financial Intermediation, Elsevier, vol. 7(4), pages 393-417, October.
    4. David C. Porter & Daniel G. Weaver, 1997. "Tick Size and Market Quality," Financial Management, Financial Management Association, vol. 26(4), Winter.
    5. Goldstein, Michael A. & A. Kavajecz, Kenneth, 2000. "Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE," Journal of Financial Economics, Elsevier, vol. 56(1), pages 125-149, April.
    6. MacKinnon, Greg & Nemiroff, Howard, 1999. "Liquidity and Tick Size: Does Decimalization Matter?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(3), pages 287-99, Fall.
    7. Van Ness, Bonnie F & Van Ness, Robert A & Pruitt, Stephen W, 2000. " The Impact of the Reduction in Tick Increments in Major U.S. Markets on Spreads, Depth, and Volatility," Review of Quantitative Finance and Accounting, Springer, vol. 15(2), pages 153-67, September.
    8. 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.
    9. 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.
    10. Chung, Kee H. & Van Ness, Bonnie F. & Van Ness, Robert A., 1999. "Limit orders and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 53(2), pages 255-287, August.
    11. Harris, Lawrence & Hasbrouck, Joel, 1996. "Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(02), pages 213-231, June.
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