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William Gary Christie

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Christie, William G & Schultz, Paul H, 1994. "Why Do NASDAQ Market Makers Avoid Odd-Eighth Quotes?," Journal of Finance, American Finance Association, vol. 49(5), pages 1813-1840, December.

    Mentioned in:

    1. Liquidity, OTC Market and TBTF Banks
      by Mike in Rortybomb on 2009-11-18 21:37:59
  2. William G. Christie & Paul H. Schultz, 1995. "Policy Watch: Did Nasdaq Market Makers Implicitly Collude?," Journal of Economic Perspectives, American Economic Association, vol. 9(3), pages 199-208, Summer.

    Mentioned in:

    1. Monitoring the Monitors
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2019-11-11 12:47:22

Articles

  1. Timothy R. Burch & William G. Christie & Vikram Nanda, 2004. "Do Firms Time Equity Offerings? Evidence from the 1930s and 1940s," Financial Management, Financial Management Association, vol. 33(1), Spring.

    Cited by:

    1. Don M. Autore & Irena Hutton & Tunde Kovacs, 2011. "Accelerated Equity Offers and Firm Quality," European Financial Management, European Financial Management Association, vol. 17(5), pages 835-859, November.
    2. Qiming Wang & James A. Ligon, 2009. "The Underpricing of Insurance IPOs," Financial Management, Financial Management Association International, vol. 38(2), pages 301-322, June.
    3. Weining Niu, 2017. "Corporate Financing Under Heterogeneous Beliefs," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 1-12, December.
    4. Walker, Mark D. & Yost, Keven, 2008. "Seasoned equity offerings: What firms say, do, and how the market reacts," Journal of Corporate Finance, Elsevier, vol. 14(4), pages 376-386, September.
    5. Claudio Loderer & Urs Waelchli, 2010. "Protecting Minority Shareholders: Listed versus Unlisted Firms," Financial Management, Financial Management Association International, vol. 39(1), pages 33-57, March.
    6. Nancy D. Ursel, 2006. "Rights Offerings and Corporate Financial Condition," Financial Management, Financial Management Association International, vol. 35(1), pages 31-52, March.
    7. John R. Graham & Sonali Hazarika & Krishnamoorthy Narasimhan, 2011. "Financial Distress in the Great Depression," NBER Working Papers 17388, National Bureau of Economic Research, Inc.
    8. Dang, Man & Puwanenthiren, Premkanth & Truong, Cameron & Henry, Darren & Vo, Xuan Vinh, 2022. "Audit quality and seasoned equity offerings methods," International Review of Financial Analysis, Elsevier, vol. 83(C).
    9. Autore, Don M. & Bray, David E. & Peterson, David R., 2009. "Intended use of proceeds and the long-run performance of seasoned equity issuers," Journal of Corporate Finance, Elsevier, vol. 15(3), pages 358-367, June.
    10. Svein olav Krakstad, 2013. "Timing Differences between SEO Methods," Economics Bulletin, AccessEcon, vol. 33(4), pages 3070-3079.
    11. Christopher B. Barry & Steven C. Mann & Vassil T. Mihov & Mauricio Rodríguez, 2008. "Corporate Debt Issuance and the Historical Level of Interest Rates," Financial Management, Financial Management Association International, vol. 37(3), pages 413-430, September.
    12. Tim Loughran, 2008. "The Impact of Firm Location on Equity Issuance," Financial Management, Financial Management Association International, vol. 37(1), pages 1-21, March.

  2. Christie, William G. & Schultz, Paul H., 1999. "The initiation and withdrawal of odd-eighth quotes among Nasdaq stocks: an empirical analysis," Journal of Financial Economics, Elsevier, vol. 52(3), pages 409-442, June.

    Cited by:

    1. Kyle Bagwell, 2004. "Collusion and Price Rigidity," Theory workshop papers 658612000000000081, UCLA Department of Economics.
    2. Joe Chen, 2005. "The Market Structure of Nasdaq Dealer Markets and Quoting Conventions," CARF F-Series CARF-F-040, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    3. William Christie & Paul Schultz, 1998. "Dealer Markets Under Stress: The Performance of NASDAQ Market Makers During the November 15, 1991, Market Break," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 205-229, June.
    4. David P. Brown & Andrew Eckert & James Lin, 2018. "Information and Transparency in Wholesale Electricity Markets: Evidence from Alberta," Working Papers 2018-02, University of Alberta, Department of Economics.
    5. Lesmond, David A. & Pan, Xuhui (Nick), 2026. "Can the bid–ask spread explain the trend in aggregate idiosyncratic variance?," Journal of Banking & Finance, Elsevier, vol. 184(C).
    6. Joe Chen, 2005. "The Market Structure of Nasdaq Dealer Markets and Quoting Conventions," CIRJE F-Series CIRJE-F-357, CIRJE, Faculty of Economics, University of Tokyo.
    7. Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2001. "Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange, Forthcoming in the Journal of Financial and Quantitative Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt7w8106qn, Anderson Graduate School of Management, UCLA.
    8. Joseph E. Harrington, Jr, 2005. "Detecting Cartels," Economics Working Paper Archive 526, The Johns Hopkins University,Department of Economics.
    9. Fang Cai, 2009. "Trader Exploitation Of Order Flow Information During The Ltcm Crisis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(3), pages 261-284, September.
    10. David P. Brown & Daniel O. Cajueiro & Andrew Eckert & Douglas Silveira, 2024. "Evaluating the Role of Information Disclosure on Bidding Behavior in Wholesale Electricity Markets," Working Papers 2024-02, University of Alberta, Department of Economics.
    11. David P. Brown & Daniel O. Cajueiro & Andrew Eckert & Douglas Silveira, 2023. "Information and Transparency: Using Machine Learning to Detect Communication," Working Papers 2023-06, University of Alberta, Department of Economics.
    12. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2002. "Order imbalance, liquidity, and market returns," Journal of Financial Economics, Elsevier, vol. 65(1), pages 111-130, July.
    13. Aktas, Nihat & de Bodt, Eric & Van Oppens, Hervé, 2008. "Legal insider trading and market efficiency," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1379-1392, July.
    14. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Order Imbalance, Liquidity, and Market Returns," University of California at Los Angeles, Anderson Graduate School of Management qt7gh9t9w3, Anderson Graduate School of Management, UCLA.
    15. Scott Marchi & James Hamilton, 2006. "Assessing the Accuracy of Self-Reported Data: an Evaluation of the Toxics Release Inventory," Journal of Risk and Uncertainty, Springer, vol. 32(1), pages 57-76, January.
    16. Tsujimoto, Yusuke, 2025. "Coarse pricing in QE auctions," Journal of Financial Markets, Elsevier, vol. 73(C).
    17. Roll, Richard & Subrahmanyam, Avanidhar, 2010. "Liquidity skewness," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2562-2571, October.
    18. David P. Brown & Andrew Eckert & Douglas Silveira, 2023. "Screening for Collusion in Wholesale Electricity Markets: A Review of the Literature," Working Papers 2023-07, University of Alberta, Department of Economics.
    19. Lambertides, Neophytos & Savva, Christos S. & Tsouknidis, Dimitris A., 2017. "The effects of oil price shocks on U.S. stock order flow imbalances and stock returns," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 137-146.
    20. Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S., 2015. "The effect of security and market order flow shocks on co-movement," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 136-155.
    21. Brown, David P. & Eckert, Andrew & Silveira, Douglas, 2023. "Screening for collusion in wholesale electricity markets: A literature review," Utilities Policy, Elsevier, vol. 85(C).

  3. Chan, K C & Christie, William G & Schultz, Paul H, 1995. "Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities," The Journal of Business, University of Chicago Press, vol. 68(1), pages 35-60, January.

    Cited by:

    1. Efstathios Panayi & Gareth Peters, 2014. "Survival Models for the Duration of Bid-Ask Spread Deviations," Papers 1406.5487, arXiv.org.
    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. Charles Cao & Eric Ghysels & Frank Hatheway, 1998. "Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening," CIRANO Working Papers 98s-14, CIRANO.
    4. Al-Suhaibani, Mohammad & Kryzanowski, Lawrence, 2000. "An exploratory analysis of the order book, and order flow and execution on the Saudi stock market," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1323-1357, August.
    5. Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2012. "Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume," Post-Print hal-01632822, HAL.
    6. Chelley-Steeley, Patricia & Park, Keebong, 2011. "Intraday patterns in London listed Exchange Traded Funds," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 244-251.
    7. Keim, Donald B. & Madhavan, Ananth, 1997. "Transactions costs and investment style: an inter-exchange analysis of institutional equity trades," Journal of Financial Economics, Elsevier, vol. 46(3), pages 265-292, December.
    8. William Christie & Paul Schultz, 1998. "Dealer Markets Under Stress: The Performance of NASDAQ Market Makers During the November 15, 1991, Market Break," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 205-229, June.
    9. Chung, Kee H. & Van Ness, Robert A., 2001. "Order handling rules, tick size, and the intraday pattern of bid-ask spreads for Nasdaq stocks," Journal of Financial Markets, Elsevier, vol. 4(2), pages 143-161, April.
    10. ap Gwilym, Owain & Thomas, Stephen, 2002. "An empirical comparison of quoted and implied bid-ask spreads on futures contracts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(1), pages 81-99, February.
    11. Kehr, Carl-Heinrich & Krahnen, Jan P. & Theissen, Erik, 2001. "The Anatomy of a Call Market," Journal of Financial Intermediation, Elsevier, vol. 10(3-4), pages 249-270, July.
    12. He, Yan & Lin, Hai & Wang, Junbo & Wu, Chunchi, 2009. "Price discovery in the round-the-clock U.S. Treasury market," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 464-490, July.
    13. Vitale, Paolo, 1998. "Two months in the life of several gilt-edged market makers on the London Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 299-324, December.
    14. Garvey, Ryan & Wu, Fei, 2009. "Intraday time and order execution quality dimensions," Journal of Financial Markets, Elsevier, vol. 12(2), pages 203-228, May.
    15. Stoyu Ivanov, 2017. "Comparative Analysis of ETF and Common Stock Intraday Bid-Ask Spread Behavior," Economics Bulletin, AccessEcon, vol. 37(2), pages 723-732.
    16. Ligot, Stephanie & Gillet, Roland & Veryzhenko, Iryna, 2021. "Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    17. McConnell, John J. & Dybevik, Heidi J. & Haushalter, David & Lie, Erik, 1996. "A survey of evidence on domestic and international stock exchange listings with implications for markets and managers," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 347-376, December.
    18. Iwatsubo, Kentaro & Watkins, Clinton & Xu, Tao, 2018. "Intraday seasonality in efficiency, liquidity, volatility and volume: Platinum and gold futures in Tokyo and New York," Journal of Commodity Markets, Elsevier, vol. 11(C), pages 59-71.
    19. Lin, Bing-Xuan & Michayluk, David & Oppenheimer, Henry R. & Sabherwal, Sanjiv, 2009. "French and U.S. trading of cross-listed stocks around the period of U.S. decimalization: Volume, spreads, and depth effects," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 223-231, December.
    20. Weiß, Gregor N.F. & Supper, Hendrik, 2013. "Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3334-3350.
    21. Gaurav Kumar & Arun Kumar Misra & Abhay Pant & Molla Ramizur Rahman, 2024. "Assessing Commonality in Liquidity: Evidence from an Emerging Market’s Index Stocks," Global Business Review, International Management Institute, vol. 25(2), pages 302-322, April.
    22. David Allen & Shelton Peiris & Joey Wenling Yang, 2005. "An Examination of the Role of Time and its Impact on Price Revision," Australian Journal of Management, Australian School of Business, vol. 30(2), pages 283-301, December.
    23. Kee H. Chung & Xin Zhao, 2003. "Intraday Variation in the Bid‐Ask Spread: Evidence after the Market Reform," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 26(2), pages 191-206, June.
    24. Chris Brooks & Melvin. J. Hinich & Douglas M. Patterson, 2003. "Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange," ICMA Centre Discussion Papers in Finance icma-dp2003-14, Henley Business School, University of Reading.
    25. Kathryn Schumann‐Foster & Elias Semaan & Hui Sono, 2020. "The local market perception of firm risks during cross‐listing events," The Financial Review, Eastern Finance Association, vol. 55(2), pages 221-246, May.
    26. Frijns, Bart & Schotman, Peter C., 2006. "Nonlinear dynamics in Nasdaq dealer quotes," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2246-2266, December.
    27. Dan Gabriel ANGHEL & Elena Valentina ŢILICĂ & Victor DRAGOTĂ, 2020. "Intraday Patterns in Returns on the Romanian and Bulgarian Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 92-114, July.
    28. Bagnara, Matteo & Jappelli, Ruggero, 2022. "Liquidity derivatives," SAFE Working Paper Series 358, Leibniz Institute for Financial Research SAFE.
    29. Konishi, Hizuru, 2002. "Optimal slice of a VWAP trade," Journal of Financial Markets, Elsevier, vol. 5(2), pages 197-221, April.
    30. Allen, Franklin & Haas, Marlene D. & Nowak, Eric & Tengulov, Angel, 2021. "Market efficiency and limits to arbitrage: Evidence from the Volkswagen short squeeze," Journal of Financial Economics, Elsevier, vol. 142(1), pages 166-194.
    31. Peter C. Reiss & Ingrid M. Werner, 1996. "Transaction Costs in Dealer Markets: Evidence from the London Stock Exchange," NBER Chapters, in: The Industrial Organization and Regulation of the Securities Industry, pages 125-176, National Bureau of Economic Research, Inc.
    32. BELTRAN, Helena & GIOT, Pierre & GRAMMIG, Joachim, 2005. "Commonalities in the order book," LIDAM Discussion Papers CORE 2005011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    33. Kalev, Petko S. & Pham, Linh T., 2009. "Intraweek and intraday trade patterns and dynamics," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 547-564, November.
    34. Charlie X. Cai & Robert Hudson & Kevin Keasey, 2004. "Intra Day Bid‐Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 647-676, June.
    35. Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc.
    36. Kang, Sang Hoon & Yoon, Seong-Min, 2008. "Long memory features in the high frequency data of the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5189-5196.
    37. Tao Zhang & Larry A. Cox & Robert A. Van Ness, 2009. "Adverse Selection and the Opaqueness of Insurers," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(2), pages 295-321, June.
    38. Nguyen, Vanthuan & Phengpis, Chanwit, 2009. "An analysis of the opening mechanisms of Exchange Traded Fund markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 562-577, May.
    39. Lescourret, Laurence, 2012. "Non-Fundamental Information and Market-Makers' Behavior during the NASDAQ Preopening Session," ESSEC Working Papers WP1212, ESSEC Research Center, ESSEC Business School.
    40. Alex Frino & Max Stevenson & Matthew Duffy, 1998. "An Analysis of Intraday Quoted Bid†Ask Spreads in Futures Markets: Evidence from the Sydney Futures Exchange," Australian Journal of Management, Australian School of Business, vol. 23(2), pages 185-202, December.
    41. BELTRAN, Helena & DURRE, Alain & GIOT, Pierre, 2005. "Volatility regimes and the provision of liquidity in order book markets," LIDAM Discussion Papers CORE 2005012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    42. Andreas Park, 2008. "Bid-Ask Spreads and Volume:The Role of Trade Timing," Working Papers tecipa-309, University of Toronto, Department of Economics.
    43. Henryk Gurgul & Robert Syrek, 2017. "Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(1), pages 87-102.
    44. Liu, Xin & Zhang, Tianyao (Terry) & Zhang, Yaodong, 2026. "A hidden cost of ETF investing: Retail demand shocks and limits to arbitrage," Journal of Banking & Finance, Elsevier, vol. 185(C).
    45. Zhao, Yan & Cheng, Lee-Young & Chang, Chong-Chuo & Ni, Cih-Ying, 2013. "Short sales, margin purchases and bid–ask spreads," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 199-220.
    46. Kandel, Eugene & Marx, Leslie M., 1997. "Nasdaq market structure and spread patterns," Journal of Financial Economics, Elsevier, vol. 45(1), pages 61-89, July.
    47. Chan, Yue-cheong & Chui, Andy C. W. & Kwok, Chuck C. Y., 2001. "The impact of salient political and economic news on the trading activity," Pacific-Basin Finance Journal, Elsevier, vol. 9(3), pages 195-217, June.
    48. Efthymiou, Vassilis A. & Leledakis, George N., 2013. "Intraday analysis of the limit order bias at the ex-dividend day of U.S. common stocks," MPRA Paper 49770, University Library of Munich, Germany.
    49. He, Yan & Wang, Junbo & Wu, Chunchi, 2013. "Domestic versus foreign equity shares: Which are more costly to trade in the Chinese market?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 465-481.
    50. Dionigi Gerace & Qigui Liu & Gary Gang Tian & Willa Zheng, 2015. "Call Auction Transparency and Market Liquidity: Evidence from China," International Review of Finance, International Review of Finance Ltd., vol. 15(2), pages 223-255, June.
    51. Hasbrouck, Joel, 1999. "Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation1," Journal of Financial Markets, Elsevier, vol. 2(1), pages 1-28, February.
    52. William G. Christie & Paul H. Schultz, 1995. "Policy Watch: Did Nasdaq Market Makers Implicitly Collude?," Journal of Economic Perspectives, American Economic Association, vol. 9(3), pages 199-208, Summer.
    53. Brogaard, Jonathan & Carrion, Allen & Moyaert, Thibaut & Riordan, Ryan & Shkilko, Andriy & Sokolov, Konstantin, 2018. "High frequency trading and extreme price movements," Journal of Financial Economics, Elsevier, vol. 128(2), pages 253-265.
    54. Ai Jun Hou & Lars L. Nordén & Caihong Xu, 2024. "Futures trading costs and market microstructure invariance: Identifying bet activity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(6), pages 901-922, June.
    55. Chung, Kee H. & Chuwonganant, Chairat, 2007. "Quote-based competition, market share, and execution quality in NASDAQ-listed securities," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2770-2795, September.
    56. Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2009. "Detrended fluctuation analysis of intertrade durations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 433-440.
    57. Durré, Alain & Beaupain, Renaud, 2008. "The interday and intraday patterns of the overnight market: evidence from an electronic platform," Working Paper Series 988, European Central Bank.
    58. Chen, Shiyi & Jeong, Kiho & Härdle, Wolfgang Karl, 2008. "Support vector regression based GARCH model with application to forecasting volatility of financial returns," SFB 649 Discussion Papers 2008-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    59. Köksal, Bülent, 2012. "An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange," MPRA Paper 35968, University Library of Munich, Germany.
    60. Laux, Paul A., 1995. "Dealer market structure, outside competition, and the bid-ask spread," Journal of Economic Dynamics and Control, Elsevier, vol. 19(4), pages 683-710, May.
    61. Ioane Muni Toke, 2015. "Exact and asymptotic solutions of the call auction problem," Post-Print hal-01061857, HAL.
    62. Malinova, Katya & Park, Andreas, 2014. "The impact of competition and information on intraday trading," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 55-71.
    63. Zheng, Steven Xiaofan & Li, Mingsheng, 2008. "Underpricing, ownership dispersion, and aftermarket liquidity of IPO stocks," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 436-454, June.
    64. Koopman, S.J.M. & Lai, H.N., 1998. "Modelling bid-ask spreads in competitive dealership markets," Discussion Paper 1998-032, Tilburg University, Center for Economic Research.
    65. Shafiqur Rahman & Chandrasekhar Krishnamurti & Alice Lee, 2005. "The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 91-124, September.
    66. 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.
    67. Upson, James & Van Ness, Robert A., 2017. "Multiple markets, algorithmic trading, and market liquidity," Journal of Financial Markets, Elsevier, vol. 32(C), pages 49-68.
    68. Doojin RYU & Hyein SHIM, 2017. "Intraday Dynamics of Asset Returns, Trading Activities, and Implied Volatilities: A Trivariate GARCH Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 45-61, June.
    69. Katya Malinova & Andreas Park, 2009. "Intraday Trading Patterns: The Role of Timing," Working Papers tecipa-365, University of Toronto, Department of Economics.
    70. Chris Brooks & Melvin J. Hinich, 2001. "A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates," ICMA Centre Discussion Papers in Finance icma-dp2001-04, Henley Business School, University of Reading.
    71. Sobhesh Kumar Agarwalla & Ajay Pandey, 2013. "Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(11), pages 1046-1070, November.
    72. Saji Gopinath & Chandrasekhar Krishnamurti, 2001. "Number Of Transactions And Volatility: An Empirical Study Using High-Frequency Data From Nasdaq Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 205-218, June.
    73. Levin, Eric J. & Wright, Robert E., 1999. "Explaining the intra-day variation in the bid-ask spread in competitive dealership markets - A research note 1," Journal of Financial Markets, Elsevier, vol. 2(2), pages 179-191, May.
    74. Fan, Yu-Ju & Lai, Hung-Neng, 2006. "The intraday effect and the extension of trading hours for Taiwanese securities," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 328-347.
    75. Chan, Howard Wei-Hong & Pinder, Sean M., 2000. "The value of liquidity: Evidence from the derivatives market," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 483-503, July.
    76. Shiyi Chen & Wolfgang K. Härdle & Kiho Jeong, 2010. "Forecasting volatility with support vector machine-based GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(4), pages 406-433.
    77. Chang, Sanders S. & Chang, Lenisa V. & Wang, F. Albert, 2014. "A dynamic intraday measure of the probability of informed trading and firm-specific return variation," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 80-94.
    78. Stéphane Yen & Ming-Hsiang Chen, 2010. "Open interest, volume, and volatility: evidence from Taiwan futures markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 113-141, April.
    79. Allan W. Kleidon & Ingrid M. Werner, 1993. "Round-the-clock Trading: Evidence from U.K. Cross-Listed Securities," NBER Working Papers 4410, National Bureau of Economic Research, Inc.
    80. Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
    81. Ibikunle, Gbenga, 2015. "Opening and closing price efficiency: Do financial markets need the call auction?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 208-227.
    82. Agarwalla, Sobhesh Kumar & Pandey, Ajay, 2012. "Whether Cross-Listing, Stock-specific and Market-wide Calendar Events impact Intraday Volatility Dynamics? Evidence from the Indian Stock Market using High-frequency Data," IIMA Working Papers WP2012-11-03, Indian Institute of Management Ahmedabad, Research and Publication Department.
    83. Davies, Ryan, 2000. "Registered trader participation during the Toronto Stock Exchange’s pre-opening session," Queen's Economics Department Working Papers 273423, Queen's University - Department of Economics.
    84. Carole Comerton-Forde & Michael A. O'Brien & P. Joakim Westerholm, 2007. "An Empirical Analysis of Strategic Behaviour Models," Australian Journal of Management, Australian School of Business, vol. 32(2), pages 181-203, December.
    85. Chen, Tao & Cai, Jun & Ho, Richard Y.K., 2009. "Intraday information efficiency on the Chinese equity market," China Economic Review, Elsevier, vol. 20(3), pages 527-541, September.
    86. Nikolaos Sariannidis & Evangelos Drimbetas, 2008. "Impact of international volatility and the introduction of Individual Stock Futures on the volatility of a small market," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 119-119.
    87. Ben Ammar, Imen & Hellara, Slaheddine & Ghadhab, Imen, 2020. "High-frequency trading and stock liquidity: An intraday analysis," Research in International Business and Finance, Elsevier, vol. 53(C).
    88. Hwang, Keunho & Kang, Jangkoo & Ryu, Doojin, 2010. "Phase-transition behavior in the emerging market: Evidence from the KOSPI200 futures market," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 35-46, January.
    89. Naik, Narayan Y. & Yadav, Pradeep K., 2003. "Do dealer firms manage inventory on a stock-by-stock or a portfolio basis?," Journal of Financial Economics, Elsevier, vol. 69(2), pages 325-353, August.
    90. Bollen, Nicolas P.B. & Christie, William G., 2009. "Market microstructure of the Pink Sheets," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1326-1339, July.
    91. Visaltanachoti, Nuttawat & Charoenwong, Charlie & Ding, David K., 2008. "Liquidity distribution in the limit order book on the stock exchange of Thailand," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 291-311.
    92. Ioane Muni Toke, 2014. "Exact and asymptotic solutions of the call auction problem," Papers 1407.4512, arXiv.org, revised Nov 2014.
    93. Peter C. Reiss & Ingrid M. Werner, 1994. "Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange," NBER Working Papers 4727, National Bureau of Economic Research, Inc.
    94. Xu, Yanyan & Huang, Dengshi & Ma, Feng & Qiao, Gaoxiu, 2019. "The heterogeneous impact of liquidity on volatility in Chinese stock index futures market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 73-85.
    95. Chia-Ching Chang & Sheng-Syan Chen & Robin Chou & Chin-Wen Hsin, 2011. "Intraday return spillovers and its variations across trading sessions," Review of Quantitative Finance and Accounting, Springer, vol. 36(3), pages 355-390, April.
    96. Brockman, Paul & Chung, Dennis Y., 1998. "Inter- and intra-day liquidity patterns on the Stock Exchange of Hong Kong," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 277-298, December.
    97. Ahmed Rushdy & Nagwa Samak, 2025. "Examining Market Quality on the Egyptian Exchange (EGX): An Intraday Liquidity Analysis," JRFM, MDPI, vol. 18(1), pages 1-28, January.
    98. Erzurumlu, Yaman Omer & Kotomin, Vladimir, 2010. "Inventory management effects, isolated: Evidence from the federal funds market," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 61-66, February.
    99. Schwert, G. William, 1997. "Symposium on market microstructure: Focus on Nasdaq," Journal of Financial Economics, Elsevier, vol. 45(1), pages 3-8, July.
    100. Imen Kouki & Mahfuzul Haque, 2009. "Tunisian Dealer Behaviour in FX Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(3), pages 265-287, September.
    101. Vo, Minh T., 2007. "Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange," Global Finance Journal, Elsevier, vol. 17(3), pages 379-396, March.
    102. Benjamin M. Blau & Bonnie F. Van Ness & Robert A. Van Ness, 2009. "Intraday Stealth Trading: Which Trades Move Prices During Periods Of High Volume?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(1), pages 1-21, March.
    103. Ciccotello, Conrad S. & Hatheway, Frank M., 2000. "Indicating Ahead: Best Execution and the NASDAQ Preopening," Journal of Financial Intermediation, Elsevier, vol. 9(2), pages 184-212, April.
    104. Joel Hasbrouck, 1998. "Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-042, New York University, Leonard N. Stern School of Business-.
    105. John Board & Charles Sutcliffe & Anne Vila, 2000. "Market Maker Performance: The Search for Fair Weather Market Makers," Journal of Financial Services Research, Springer;Western Finance Association, vol. 17(3), pages 259-276, September.
    106. Panayi, Efstathios & Peters, Gareth W. & Danielsson, Jon & Zigrand, Jean-Pierre, 2018. "Designating market maker behaviour in limit order book markets," Econometrics and Statistics, Elsevier, vol. 5(C), pages 20-44.
    107. Lei Tan & Jun-Jie Chen & Bo Zheng & Fang-Yan Ouyang, 2016. "Exploring Market State and Stock Interactions on the Minute Timescale," PLOS ONE, Public Library of Science, vol. 11(2), pages 1-13, February.
    108. S. R. Luwang & A. Rai & Md. Nurujjaman & F. Petroni, 2025. "Intraday order transition dynamics in high, medium, and low market cap stocks: A Markov chain approach," Papers 2502.07625, arXiv.org.
    109. Buis, Boyd & Pieterse-Bloem, Mary & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2020. "Expected issuance fees and market liquidity," Journal of Financial Markets, Elsevier, vol. 48(C).
    110. John Board & Charles Sutcliffe & Stephen Wells, 2002. "Transparency and Fragmentation," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-4039-0707-3, April.
    111. Adam Zawadowski & Gyorgy Andor & Janos Kertesz, 2006. "Short-term market reaction after extreme price changes of liquid stocks," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 283-295.
    112. Nerissa C. Brown & Han Stice & Roger M. White, 2015. "Mobile Communication and Local Information Flow: Evidence from Distracted Driving Laws," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 53(2), pages 275-329, May.
    113. Gubiec, T. & Wiliński, M., 2015. "Intra-day variability of the stock market activity versus stationarity of the financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 432(C), pages 216-221.
    114. Frino, Alex & Jarnecic, Elvis, 2000. "An empirical analysis of the supply of liquidity by locals in futures markets: Evidence from the Sydney Futures Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 443-456, July.
    115. Lee, Bong-Soo & Rui, Oliver Meng & Wang, Steven Shuye, 2004. "Information transmission between the NASDAQ and Asian second board markets," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1637-1670, July.
    116. McInish, Thomas H. & Van Ness, Bonnie F. & Van Ness, Robert A., 2001. "Market changes and spread components, implications for international markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(1), pages 65-73, March.
    117. Zou, Liping & Rose, Lawrence C. & Pinfold, John F., 2006. "Intra-night trading behaviour of Australian treasury-bond futures overnight options," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 415-433.
    118. Laurence Lescourret, 2017. "Cold Case File? Inventory Risk and Information Sharing during the pre†1997 NASDAQ," European Financial Management, European Financial Management Association, vol. 23(4), pages 761-806, September.
    119. Sonia Falconieri & Albert Murphy & Daniel Weaver, 2009. "Underpricing and Ex Post Value Uncertainty," Financial Management, Financial Management Association International, vol. 38(2), pages 285-300, June.

  4. William G. Christie & Paul H. Schultz, 1995. "Policy Watch: Did Nasdaq Market Makers Implicitly Collude?," Journal of Economic Perspectives, American Economic Association, vol. 9(3), pages 199-208, Summer.

    Cited by:

    1. Joe Chen, 2005. "The Market Structure of Nasdaq Dealer Markets and Quoting Conventions," CARF F-Series CARF-F-040, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    2. Eric Zitzewitz, 2012. "Forensic Economics," Journal of Economic Literature, American Economic Association, vol. 50(3), pages 731-769, September.
    3. Roux, Catherine & Thöni, Christian, 2015. "Collusion among many firms: The disciplinary power of targeted punishment," Journal of Economic Behavior & Organization, Elsevier, vol. 116(C), pages 83-93.
    4. Joe Chen, 2005. "The Market Structure of Nasdaq Dealer Markets and Quoting Conventions," CIRJE F-Series CIRJE-F-357, CIRJE, Faculty of Economics, University of Tokyo.
    5. Eric Zitzewitz, 2014. "Retail Securities Regulation in the Aftermath of the Bubble," NBER Chapters, in: Economic Regulation and Its Reform: What Have We Learned?, pages 545-588, National Bureau of Economic Research, Inc.
    6. Donja Darai & Catherine Roux & Frédéric Schneider, 2019. "Mergers, mavericks, and tacit collusion," Working Papers 201902, Cambridge Judge Business School, University of Cambridge.
    7. Harvey, Campbell R. & Hasbrouck, Joel & Saleh, Fahad, 2026. "The evolution of decentralized exchange: Risks, benefits, and oversight," Research Policy, Elsevier, vol. 55(3).
    8. Jay R. Ritter, 2008. "Forensic Finance," Journal of Economic Perspectives, American Economic Association, vol. 22(3), pages 127-147, Summer.
    9. Luca Colombo & Michele Grillo & Aldo Pignataro, 2025. "Collusion under decreasing returns to scale," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 52(4), pages 1015-1034, December.
    10. Berkay Akyapi & Douglas C. Turner, 2022. "Cartel Penalties Under Endogenous Detection," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 61(3), pages 341-371, November.
    11. Bingyan Han, 2022. "Can maker-taker fees prevent algorithmic cooperation in market making?," Papers 2211.00496, arXiv.org.
    12. Benston, George J. & Wood, Robert A., 2008. "Why effective spreads on NASDAQ were higher than on the New York stock exchange in the 1990s," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 17-40, January.
    13. Asker, John, 2010. "Leniency and post-cartel market conduct: Preliminary evidence from parcel tanker shipping," International Journal of Industrial Organization, Elsevier, vol. 28(4), pages 407-414, July.
    14. Bingyan Han, 2022. "Cooperation between Independent Market Makers," Papers 2206.05410, arXiv.org.

  5. Christie, W. G. & Huang, R. D., 1994. "The changing functional relation between stock returns and dividend yields," Journal of Empirical Finance, Elsevier, vol. 1(2), pages 161-191, January.

    Cited by:

    1. Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc.
    2. Claessens, Stijn & Dasgupta, Susmita & Glen, Jack, 1995. "The cross-section of stock returns : evidence from emerging markets," Policy Research Working Paper Series 1505, The World Bank.
    3. Kolari, James W. & Huang, Jianhua Z. & Butt, Hilal Anwar & Liao, Huiling, 2022. "International tests of the ZCAPM asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    4. Huang, Roger D. & Lin, Charles S. Y., 1996. "An analysis of nonlinearities in term premiums and forward rates," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 347-368, December.
    5. Morgan, Gareth & Thomas, Stephen, 1998. "Taxes, dividend yields and returns in the UK equity market," Journal of Banking & Finance, Elsevier, vol. 22(4), pages 405-423, May.
    6. Chichernea, Doina C. & Holder, Anthony D. & Petkevich, Alex, 2015. "Does return dispersion explain the accrual and investment anomalies?," Journal of Accounting and Economics, Elsevier, vol. 60(1), pages 133-148.
    7. James W. Kolari & Jianhua Z. Huang & Wei Liu & Huiling Liao, 2022. "Further Tests of the ZCAPM Asset Pricing Model," JRFM, MDPI, vol. 15(3), pages 1-23, March.

  6. Christie William G. & Huang Roger D., 1994. "Market Structures and Liquidity: A Transactions Data Study of Exchange Listings," Journal of Financial Intermediation, Elsevier, vol. 3(3), pages 300-326, June.

    Cited by:

    1. Kathleen Fuller & Bonnie Ness & Robert Ness, 2010. "Is information risk priced for NASDAQ-listed stocks?," Review of Quantitative Finance and Accounting, Springer, vol. 34(3), pages 301-312, April.
    2. Jun Uno & Mai Shibata & Takeshi Shimatani & Tokiko Shimizu, 2004. "Listing Change and Stock Price: Impact of Shareholder Diversification and Changes in Liquidity," Bank of Japan Working Paper Series 04-E-15, Bank of Japan.
    3. 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.
    4. Kryzanowski, Lawrence & Rubalcava, Arturo, 2005. "International trade-venue clienteles and order-flow competitiveness," Journal of Financial Intermediation, Elsevier, vol. 14(1), pages 86-113, January.
    5. Keim, Donald B. & Madhavan, Ananth, 1997. "Transactions costs and investment style: an inter-exchange analysis of institutional equity trades," Journal of Financial Economics, Elsevier, vol. 46(3), pages 265-292, December.
    6. Demsetz, Harold, 1997. "Limit orders and the alleged Nasdaq collusion," Journal of Financial Economics, Elsevier, vol. 45(1), pages 91-95, July.
    7. Papaioannou, George J. & Travlos, Nickolaos G. & Viswanathan, K.G., 2009. "Visibility effects and timing in stock listing changes: Evidence from operating performance," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 357-377, May.
    8. Park, Jong-Ho & Binh, Ki Beom & Eom, Kyong Shik, 2016. "The effect of listing switches from a growth market to a main board: An alternative perspective," Emerging Markets Review, Elsevier, vol. 29(C), pages 246-273.
    9. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017, January-A.
    10. McConnell, John J. & Dybevik, Heidi J. & Haushalter, David & Lie, Erik, 1996. "A survey of evidence on domestic and international stock exchange listings with implications for markets and managers," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 347-376, December.
    11. Boehmer, Beatrice & Boehmer, Ekkehart, 2003. "Trading your neighbor's ETFs: Competition or fragmentation?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1667-1703, September.
    12. Jiang, Christine X. & Kim, Jang-Chul & Wood, Robert A., 2009. "Adverse selection costs for NASDAQ and NYSE after decimalization," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 205-211, September.
    13. Perotti, Pietro & Rindi, Barbara, 2010. "Market makers as information providers: The natural experiment of STAR," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 895-917, December.
    14. Y. Peter Chung & S. Thomas Kim & Kenji Kutsuna & Richard L. Smith, 2020. "Which firms benefit from market making?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(1), pages 33-63, March.
    15. 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.
    16. Lin, Wen-Chun & Liao, Tsai-Ling, 2015. "Exchange listing type and firm financial reporting behavior," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 234-249.
    17. Jones, Charles M. & Lipson, Marc L., 1999. "Execution Costs of Institutional Equity Orders," Journal of Financial Intermediation, Elsevier, vol. 8(3), pages 123-140, July.
    18. Macey, Jonathan R. & O'Hara, Maureen, 1997. "The Law and Economics of Best Execution," Journal of Financial Intermediation, Elsevier, vol. 6(3), pages 188-223, July.
    19. Naik, Narayan Y. & Yadav, Pradeep K., 2004. "Trading costs of public investors with obligatory and voluntary market-making: Evidence from market reforms," CFR Working Papers 04-06, University of Cologne, Centre for Financial Research (CFR).
    20. Macey, Jonathan R. & O'Hara, Maureen, 2002. "The Economics of Stock Exchange Listing Fees and Listing Requirements," Journal of Financial Intermediation, Elsevier, vol. 11(3), pages 297-319, July.
    21. Diamond, Stephen F. & Kuan, Jennifer W., 2018. "Are the stock markets “rigged”? An empirical analysis of regulatory change," International Review of Law and Economics, Elsevier, vol. 55(C), pages 33-40.
    22. Broom, Kevin D. & Van Ness, Robert A. & Warr, Richard S., 2007. "Cubes to quads: The move of QQQ from AMEX to NASDAQ," Journal of Economics and Business, Elsevier, vol. 59(6), pages 520-535.
    23. Felix Treptow & Stefan Wagner, 2005. "Stock Exchanges and Issuers: A Changing Relationship," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 74(4), pages 125-139.
    24. Bonnie F. Van Ness & Robert A. Van Ness & Richard S. Warr, 2005. "Nasdaq Trading and Trading Costs: 1993–2002," The Financial Review, Eastern Finance Association, vol. 40(3), pages 281-304, August.
    25. William G. Christie & Paul H. Schultz, 1995. "Policy Watch: Did Nasdaq Market Makers Implicitly Collude?," Journal of Economic Perspectives, American Economic Association, vol. 9(3), pages 199-208, Summer.
    26. Christine Jiang & Jang-Chul Kim & Robert Wood, 2011. "A comparison of volatility and bid-ask spread for NASDAQ and NYSE after decimalization," Applied Economics, Taylor & Francis Journals, vol. 43(10), pages 1227-1239.
    27. Said, Bahrawar & Raza, Muhammad Wajid & Elshahat, Ahmed, 2024. "Does market microstructure affect time-varying efficiency? Evidence from emerging markets," Research in International Business and Finance, Elsevier, vol. 70(PA).
    28. Tse, Yiuman & Devos, Erik, 2004. "Trading costs, investor recognition and market response: An analysis of firms that move from the Amex (Nasdaq) to Nasdaq (Amex)," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 63-83, January.
    29. Frino, Alex & Gerace, Dionigi & Lepone, Andrew, 2008. "Liquidity in auction and specialist market structures: Evidence from the Italian bourse," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2581-2588, December.
    30. Stephen R. Foerster & G. Andrew Karolyi, "undated". "The Effects of Market Segmentation and Illiquidity on Asset Prices: Evidence from Foreign Stocks Listing in the US," Research in Financial Economics 9606, Ohio State University.
    31. Nimalendran, M. & Petrella, Giovanni, 2003. "Do 'thinly-traded' stocks benefit from specialist intervention?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1823-1854, September.
    32. Paul Clyde, 1999. "Is it Efficient to Impose Costs on Small-Volume Equity Traders?," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 6(1), pages 81-92.
    33. G. G. Booth & P. Iversen & S. K. Sarkar & H. Schmidt & A. Young, 1999. "Market structure and bid-ask spreads: IBIS vs Nasdaq," The European Journal of Finance, Taylor & Francis Journals, vol. 5(1), pages 51-71.
    34. Angel, James J. & Harris, Jeffrey H. & Panchapagesan, Venkatesh & Werner, Ingrid, 2004. "From Pink Slips to Pink Sheets: Liquidity and Shareholder Wealth Consequences of Nasdaq Delistings," Working Paper Series 2004-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    35. Ryan J. Davies, 2001. "Matching and the Estimated Impact of Inter-listing (updated July 2003)," ICMA Centre Discussion Papers in Finance icma-dp2001-11, Henley Business School, University of Reading, revised Jun 2003.
    36. Louis K. C. Chan & Josef Lakonishok, 1995. "A Cross-Market Comparison of Institutional Equity Trading Costs," NBER Working Papers 5374, National Bureau of Economic Research, Inc.
    37. Xing, Xiaochuan & Xue, Yi, 2017. "Trading mechanisms and market quality: Limit-order books versus dealership markets," Economics Letters, Elsevier, vol. 154(C), pages 35-44.
    38. Iwatsubo, Kentaro & Rhee, S. Ghon & Zhang, Ye Zhou, 2023. "Dealership versus continuous auction: Evidence from the JASDAQ market," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    39. Davies, Ryan J. & Kim, Sang Soo, 2009. "Using matched samples to test for differences in trade execution costs," Journal of Financial Markets, Elsevier, vol. 12(2), pages 173-202, May.
    40. Boehmer, Ekkehart, 2005. "Dimensions of execution quality: Recent evidence for US equity markets," Journal of Financial Economics, Elsevier, vol. 78(3), pages 553-582, December.
    41. Foerster, Stephen R. & Karolyi, G. Andrew, 1998. "Multimarket trading and liquidity: a transaction data analysis of Canada-US interlistings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 393-412, December.
    42. Dan W. French & Thibaut G. Morillon & Adam S. Yore & Andrew E. Kern, 2023. "The impact of exchange listing on corporate governance: Evidence from direct listings," The Financial Review, Eastern Finance Association, vol. 58(2), pages 197-234, May.
    43. Kwan, Amy & Masulis, Ronald & McInish, Thomas H., 2015. "Trading rules, competition for order flow and market fragmentation," Journal of Financial Economics, Elsevier, vol. 115(2), pages 330-348.
    44. Edmund Keung & Zhi‐Xing Lin & Michael Shih, 2010. "Does the Stock Market See a Zero or Small Positive Earnings Surprise as a Red Flag?," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 48(1), pages 105-136, March.
    45. Eldor, Rafi & Hauser, Shmuel & Pilo, Batia & Shurki, Itzik, 2006. "The contribution of market makers to liquidity and efficiency of options trading in electronic markets," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2025-2040, July.
    46. Gottesman, Aron A. & Nam, Jouahn & Thornton Jr., John H. & Wynne, Kevin, 2010. "NYSE listings and firm borrowing costs: An empirical investigation," Global Finance Journal, Elsevier, vol. 21(1), pages 26-42.
    47. Michele O’Neill, 2002. "Do institutions care about market structure? A case study of listing firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(1), pages 50-62, March.
    48. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2013, January-A.
    49. Barclay, Michael J., 1997. "Bid-ask spreads and the avoidance of odd-eighth quotes on Nasdaq: An examination of exchange listings," Journal of Financial Economics, Elsevier, vol. 45(1), pages 35-60, July.
    50. Chuen-Ping Chang & Jyh-Horng Lin, 2010. "Bank liquidity providing in a real synergy management under a cap-based valuation," Applied Economics, Taylor & Francis Journals, vol. 42(24), pages 3161-3173.
    51. Grossman, Sanford J & Miller, Merton H & Cone, Kenneth R & Fischel, Daniel R & Ross, David J, 1997. "Clustering and Competition in Asset Markets," Journal of Law and Economics, University of Chicago Press, vol. 40(1), pages 23-60, April.
    52. Bacidore, Jeffrey M., 1997. "The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange," Journal of Financial Intermediation, Elsevier, vol. 6(2), pages 92-120, April.
    53. Schwert, G. William, 1997. "Symposium on market microstructure: Focus on Nasdaq," Journal of Financial Economics, Elsevier, vol. 45(1), pages 3-8, July.
    54. Rossitsa Yalamova, 2012. "Fractal Measures in Market Microstructure Research," Multinational Finance Journal, Multinational Finance Journal, vol. 16(1-2), pages 137-154, March - J.
    55. Hun Y. Park & Asani Sarkar & Lifan Wu, 1998. "Do Brokers Misallocate Customer Trades? Evidence From Futures Markets," Finance 9801002, University Library of Munich, Germany.
    56. Amihud, Yakov & Mendelson, Haim & Lauterbach, Beni, 1997. "Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange," Journal of Financial Economics, Elsevier, vol. 45(3), pages 365-390, September.
    57. Kumar, Kiran & Mamidi, Varsha & Marisetty, Vijaya, 2011. "Global markets exposure and price efficiency: An empirical analysis of order flow dynamics of NYSE-listed Indian firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 686-706.
    58. Aaron S. Edlin & Eric R. Emch, 1998. "The Welfare Losses from Price Matching Policies," Law and Economics 9803001, University Library of Munich, Germany, revised 26 May 1998.
    59. Kryzanowski, Lawrence & Rubalcava, Arturo, 2004. "Valuation effects of domestic and international seasoned equity offerings by Canadian cross-listed firms," Journal of Multinational Financial Management, Elsevier, vol. 14(2), pages 171-186, April.
    60. Lau, Sie Ting & McInish, Thomas H., 2003. "Trading volume and location of trade: Evidence from Jardine group listings in Hong Kong and Singapore," Journal of Banking & Finance, Elsevier, vol. 27(8), pages 1411-1425, August.
    61. Bennett, Paul & Wei, Li, 2006. "Market structure, fragmentation, and market quality," Journal of Financial Markets, Elsevier, vol. 9(1), pages 49-78, February.
    62. Chelley-Steeley, Patricia L. & Lambertides, Neophytos, 2016. "Cost of capital changes, the quality of trading information and market architecture," The British Accounting Review, Elsevier, vol. 48(4), pages 401-414.
    63. John Board & Charles Sutcliffe & Stephen Wells, 2002. "Transparency and Fragmentation," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-4039-0707-3, April.
    64. Bartley R. Danielsen & Robert A. Van Ness & Richard S. Warr, 2009. "Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9‐10), pages 1273-1293, November.
    65. Kam, Tai-Kong & Panchapagesan, Venkatesh & Weaver, Daniel G., 2003. "Competition among markets: The repeal of Rule 390," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1711-1736, September.
    66. Chen, Hung-Ling & Chow, Edward H., 2011. "The impact of investor base on the costs of capital for IPOs," Journal of Multinational Financial Management, Elsevier, vol. 21(3), pages 177-190, July.
    67. Lipson, Marc L., 2003. "Market microstructure and corporate finance," Journal of Corporate Finance, Elsevier, vol. 9(4), pages 377-384, September.
    68. Lin, Wen-Chun & Liao, Tsai-Ling, 2018. "Managerial reporting behavior around exchange switching: Consideration of current and future performance," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 218-237.
    69. Krishnamurti, Chandrasekhar & Sequeira, John M. & Fangjian, Fu, 2003. "Stock exchange governance and market quality," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1859-1878, September.
    70. Robert E. Verrecchia & Joseph Weber, 2006. "Redacted Disclosure," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 44(4), pages 791-814, September.
    71. Michel Dubois & Cem Ertur, 1997. "The cost of equity and exchange listing evidence from the French stock market," Working Papers hal-01527157, HAL.
    72. Duong Nguyen & Tribhuvan Puri, 2014. "Information asymmetry and accounting restatement: NYSE-AMEX and NASDAQ evidence," Review of Quantitative Finance and Accounting, Springer, vol. 43(2), pages 211-244, August.

  7. Christie, William G & Nanda, Vikram, 1994. "Free Cash Flow, Shareholder Value, and the Undistributed Profits Tax of 1936 and 1937," Journal of Finance, American Finance Association, vol. 49(5), pages 1727-1754, December.

    Cited by:

    1. Erin E. Syron Ferris, 2015. "Dividend Taxes and Stock Volatility," Finance and Economics Discussion Series 2015-36, Board of Governors of the Federal Reserve System (U.S.).
    2. Saez, Emmanuel & Chetty, Raj, 2010. "Dividend and Corporate Taxation in an Agency Model of the Firm," Scholarly Articles 9748526, Harvard University Department of Economics.
    3. Robert Rieg, 2015. "Dynamics of value-based management: does shareholder value cause short-termism?," Journal of Management Control: Zeitschrift für Planung und Unternehmenssteuerung, Springer, vol. 26(2), pages 193-224, August.
    4. John R. Graham & Sonali Hazarika & Krishnamoorthy Narasimhan, 2011. "Financial Distress in the Great Depression," NBER Working Papers 17388, National Bureau of Economic Research, Inc.
    5. Desai, Mihir A. & Dyck, Alexander & Gonzales, Luigi, 2006. "Theft and Taxes," Working Papers 207, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
    6. Aivazian, Varouj & Booth, Laurence & Cleary, Sean, 2003. "Dividend policy and the organization of capital markets," Journal of Multinational Financial Management, Elsevier, vol. 13(2), pages 101-121, April.
    7. Pennings, Joost M. E., 2004. "A marketing-finance approach towards industrial channel contract relationships: a model and application," Journal of Business Research, Elsevier, vol. 57(6), pages 601-609, June.
    8. Erin E. Syron Ferris, 2018. "Dividend taxes and stock volatility," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 25(2), pages 377-403, April.
    9. Desai, Mihir A. & Dyck, Alexander & Zingales, Luigi, 2007. "Theft and taxes," Journal of Financial Economics, Elsevier, vol. 84(3), pages 591-623, June.
    10. Christian Keuschnigg & Evelyn Ribi, 2010. "Business Taxation, Corporate Finance and Economic Performance," University of St. Gallen Department of Economics working paper series 2010 2010-04, Department of Economics, University of St. Gallen.

  8. Christie, William G & Schultz, Paul H, 1994. "Why Do NASDAQ Market Makers Avoid Odd-Eighth Quotes?," Journal of Finance, American Finance Association, vol. 49(5), pages 1813-1840, December.

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    1. Kathleen Fuller & Bonnie Ness & Robert Ness, 2010. "Is information risk priced for NASDAQ-listed stocks?," Review of Quantitative Finance and Accounting, Springer, vol. 34(3), pages 301-312, April.
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    Cited by:

    1. Frankfurter, George M. & Wood, Bob Jr., 2002. "Dividend policy theories and their empirical tests," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 111-138.
    2. Antje Henne & Sebastian Ostrowski & Peter Reichling, 2007. "Dividend Yield and Stability versus Performance at the German Stock Market," FEMM Working Papers 07017, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    3. George Bulkley & Richard W P Holt, 2007. "Forecasting Cross-Section Stock Returns using The Present Value Model," Edinburgh School of Economics Discussion Paper Series 163, Edinburgh School of Economics, University of Edinburgh.
    4. Ali, Heba & Hegazy, Aya Yasser, 2022. "Dividend policy, risk and the cross-section of stock returns: Evidence from India," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 169-192.
    5. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
    6. Michael A. Goldstein & Abhinav Goyal & Brian M. Lucey & Carl B. Muckley, 2014. "The Global Preference for Dividends in Declining Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp461, IIIS.
    7. Clemens Sialm, 2009. "Tax Changes and Asset Pricing," American Economic Review, American Economic Association, vol. 99(4), pages 1356-1383, September.
    8. Lee, King Fuei, 2011. "Demographics and the Long-Horizon Returns of Dividend-Yield Strategies in the US," MPRA Paper 46350, University Library of Munich, Germany.
    9. De Moor, Lieven & Sercu, Piet, 2011. "The Smallest Firm Effect: an International Study," Working Papers 2011/18, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    10. George Buckley & Richard W P Holt, 1999. "Forecasting Cross-Section Stock Returns using Theoretical Prices Estimated from an Econometric Model," Edinburgh School of Economics Discussion Paper Series 47, Edinburgh School of Economics, University of Edinburgh.
    11. Rozycki, John J., 1997. "A tax motivation for smoothing dividends," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(2), pages 563-578.
    12. Roni Michaely & Richard H. Thaler & Kent Womack, 1994. "Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?," NBER Working Papers 4778, National Bureau of Economic Research, Inc.
    13. Domian, Dale L. & Louton, David A. & Mossman, Charles E., 1998. "The rise and fall of the "Dogs of the Dow"," Financial Services Review, Elsevier, vol. 7(3), pages 145-159.
    14. Greg Filbeck & Sue Visscher, 1997. "Dividend yield strategies in the British stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 3(4), pages 277-289.
    15. Andreas Charitou & Neophytos Lambertides & Giorgos Theodoulou, 2010. "The Effect of Past Earnings and Dividend Patterns on the Information Content of Dividends When Earnings Are Reduced," Abacus, Accounting Foundation, University of Sydney, vol. 46(2), pages 153-187, June.
    16. Adem Atmaz & Suleyman Basak, 2022. "Stock Market and No‐Dividend Stocks," Journal of Finance, American Finance Association, vol. 77(1), pages 545-599, February.
    17. Fuller, Kathleen P. & Goldstein, Michael A., 2011. "Do dividends matter more in declining markets?," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 457-473, June.
    18. Ian McManus & Owain Ap Gwilym & Stephen Thomas, 2004. "The Role of Payout Ratio in the Relationship Between Stock Returns and Dividend Yield," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(9‐10), pages 1355-1387, November.
    19. Yin Chen & Roni Israelov, 2024. "Income illusions: challenging the high yield stock narrative," Journal of Asset Management, Palgrave Macmillan, vol. 25(2), pages 190-202, March.
    20. Pang, Wan Kai & Yu, Bosco Wing-Tong & Troutt, Marvin D. & Hou, Shui Hung, 2008. "A simulation-based approach to the study of coefficient of variation of dividend yields," European Journal of Operational Research, Elsevier, vol. 189(2), pages 559-569, September.
    21. Lee, King Fuei, 2013. "Demographics and the long-horizon returns of dividend-yield strategies," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 202-218.

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