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Liquidity costs: Screen-based trading versus open outcry

  • Ulibarri, Carlos A.
  • Schatzberg, John

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File URL: http://www.sciencedirect.com/science/article/B6W61-4B1YS7W-3/2/cc179001acbac6504492c08e668aeca6
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Article provided by Elsevier in its journal Review of Financial Economics.

Volume (Year): 12 (2003)
Issue (Month): 4 ()
Pages: 381-396

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Handle: RePEc:eee:revfin:v:12:y:2003:i:4:p:381-396
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620170

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  1. Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, vol. 51(2), pages 485-505, March.
  2. 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.
  3. Paul Kofman & James Moser, 1997. "Spreads, information flows and transparency across trading systems," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 281-294.
  4. Francis Breedon & Allison Holland, 1998. "Electronic versus open outcry markets: The case of the Bund futures contract," Bank of England working papers 76, Bank of England.
  5. Grammatikos, Theoharry & Saunders, Anthony, 1986. "Futures Price Variability: A Test of Maturity and Volume Effects," The Journal of Business, University of Chicago Press, vol. 59(2), pages 319-30, April.
  6. Ulibarri, Carlos A., 1998. "Is after-hours trading informative?," MPRA Paper 14818, University Library of Munich, Germany.
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