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Market Microstructure and Market Liquidity

In: Market Liquidity: Research Findings and Selected Policy Implications

Author

Listed:
  • Jun Muranaga

    (Bank of Japan)

  • Tokiko Shimizu

    (Bank of Japan)

Abstract

No abstract is available for this item.

Suggested Citation

  • Jun Muranaga & Tokiko Shimizu, 1999. "Market Microstructure and Market Liquidity," CGFS Papers chapters,in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-28 Bank for International Settlements.
  • Handle: RePEc:bis:biscgc:11-03
    as

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    File URL: http://www.bis.org/publ/cgfs11mura_a.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. Easley, David & O'Hara, Maureen, 1992. "Adverse Selection and Large Trade Volume: The Implications for Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(02), pages 185-208, June.
    3. Harris, Lawrence, 1990. "Estimation of Stock Price Variances and Serial Covariances from Discrete Observations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(03), pages 291-306, September.
    4. Michael J. Fleming & Eli M. Remolona, 1999. "Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information," Journal of Finance, American Finance Association, vol. 54(5), pages 1901-1915, October.
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    Cited by:

    1. Apergis, Nicholas & Voliotis, Dimitrios, 2015. "Spillover effects between lit and dark stock markets: Evidence from a panel of London Stock Exchange transactions," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 101-106.
    2. Schmidt, Anatoly B., 2000. "Modeling the birth of a liquid market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 479-485.
    3. repec:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9655-y is not listed on IDEAS
    4. 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.

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