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Citations for "Dealership market : Market-making with inventory"

by Amihud, Yakov & Mendelson, Haim

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  1. Jennifer Huang & Jiang Wang, 2009. "Liquidity and Market Crashes," Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2407-2443, July.
  2. Banti, Chiara & Phylaktis, Kate & Sarno, Lucio, 2012. "Global liquidity risk in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 267-291.
  3. Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," Harvard Institute of Economic Research Working Papers 1977, Harvard - Institute of Economic Research.
  4. Richard K. Lyons., 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," Research Program in Finance Working Papers RPF-230, University of California at Berkeley.
  5. Dubofsky, David, 1997. "Limit orders and ex-dividend day return distributions," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 47-65, January.
  6. Ulibarri, Carlos A. & Anselmo, Peter & Hovsepian, Karen & Florescu, Ionut & Tolk, Jacob, 2008. "'Noise trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," MPRA Paper 14814, University Library of Munich, Germany.
  7. Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2013. "High frequency trading and price discovery," Working Paper Series 1602, European Central Bank.
  8. 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.
  9. Sklavos, Konstantinos & Dam, Lammertjan & Scholtens, Bert, 2013. "The liquidity of energy stocks," Energy Economics, Elsevier, vol. 38(C), pages 168-175.
  10. Philip Bond & Yaron Leitner, 2012. "Market run-ups, market freezes, inventories, and leverage," Working Papers 12-8, Federal Reserve Bank of Philadelphia.
  11. Michael J. Dueker & Thomas W. Miller, 2002. "Directly measuring early exercise premiums using American and European S&P 500 index options," Working Papers 2002-016, Federal Reserve Bank of St. Louis.
  12. Florackis, Chris & Kontonikas, Alexandros & Kostakis, Alexandros, 2014. "Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 97-117.
  13. Athanasios Geromichalos & Kuk Mo Jung, 2014. "An Over-the-Counter Approach to the FOREX Market," Working Papers 144, University of California, Davis, Department of Economics.
  14. Jianjun Miao, 2005. "A Search Model of Centralzied and Decentralized Trade," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-144, Boston University - Department of Economics.
  15. 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.
  16. 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, 03.
  17. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y. K., 2002. "The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 399-430, November.
  18. Philip Bond & Yaron Leitner, 2013. "Market run-ups, market freezes, inventories, and leverage," Working Papers 13-14, Federal Reserve Bank of Philadelphia, revised 04 Feb 2014.
  19. Panayides, Marios A., 2007. "Affirmative obligations and market making with inventory," Journal of Financial Economics, Elsevier, vol. 86(2), pages 513-542, November.
  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. Chuang, Wen-I & Huang, Teng-Ching & Lin, Bing-Huei, 2013. "Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 168-187.
  22. Roger Huang & H. Weingartner, 2000. "Do Market Makers Suffer from Splitting Headaches?," Journal of Financial Services Research, Springer, vol. 17(2), pages 105-126, August.
  23. Abouda, Moez & Chateauneuf, Alain, 2002. "Characterization of symmetrical monotone risk aversion in the RDEU model," Mathematical Social Sciences, Elsevier, vol. 44(1), pages 1-15, September.
  24. Corò, Filippo & Dufour, Alfonso & Varotto, Simone, 2013. "Credit and liquidity components of corporate CDS spreads," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5511-5525.
  25. Viral V. Acharya & Matthew Richardson, 2012. "Implications of the Dodd-Frank Act," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 1-38, October.
  26. Bjonnes, Geir Hoidal & Rime, Dagfinn & Solheim, Haakon O.Aa., 2005. "Liquidity provision in the overnight foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 175-196, March.
  27. Iordanis Angelos Kalaitzoglou & Boulis Maher Ibrahim, 2015. "Liquidity and resolution of uncertainty in the European carbon futures market," Post-Print hal-01107956, HAL.
  28. Ulibarri, Carlos A. & Anselmo, Peter C. & Trabatti, Mauro X., 2005. "Cournot model of brokered FX trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 425-436, December.
  29. 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.
  30. Shen, Pu & Starr, Ross M., 2002. "Market-makers' supply and pricing of financial market liquidity," Economics Letters, Elsevier, vol. 76(1), pages 53-58, June.
  31. Mazza, Paolo, 2015. "Price dynamics and market liquidity: An intraday event study on Euronext," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 139-153.
  32. Huang, Roger D. & Ting, Christopher, 2008. "A functional approach to the price impact of stock trades and the implied true price," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 1-16, January.
  33. Foucault , Thierry & Kozhan , Roman, 2014. "Toxic Arbitrage," Les Cahiers de Recherche 1040, HEC Paris.
  34. Vo, Xuan Vinh & Batten, Jonathan, 2010. "An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis," MPRA Paper 29862, University Library of Munich, Germany, revised 10 Jan 2011.
  35. Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
  36. Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
  37. Chris Florackis & Alexandros Kontonikas & Alexandros Kostakis, 2010. "Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis," Working Papers 2011_22, Business School - Economics, University of Glasgow, revised Apr 2011.
  38. Engle, Robert F, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series qt6rp7g17q, Department of Economics, UC San Diego.
  39. Benjamin Falkeborg, 2015. "Dealing with Dynamic Agency," Discussion Papers 15-04, University of Copenhagen. Department of Economics.
  40. Michael E. Drew & Alastair Marsden & Madhu Veeraraghavan, 2004. "Small Firm Effect, Liquidity and Security Returns: Australian Evidence," School of Economics and Finance Discussion Papers and Working Papers Series 172, School of Economics and Finance, Queensland University of Technology.
  41. Marcin Wojtowicz, 2014. "The Determinants of CDS Bid-ask Spreads," Tinbergen Institute Discussion Papers 14-138/IV/ DSF82, Tinbergen Institute.
  42. Hendershott, Terrence & Menkveld, Albert J., 2010. "Price pressures," CFS Working Paper Series 2010/14, Center for Financial Studies (CFS).
  43. Dmitrios Vayanos, 2004. "Search and Endogenous Concentration of Liquidity in Asset Markets," Econometric Society 2004 North American Winter Meetings 647, Econometric Society.
  44. Alexius, Annika & Birenstam, Helene & Eklund, Johanna, 2014. "The interbank market risk premium, central bank interventions, and measures of market liquidity," Research Papers in Economics 2014:2, Stockholm University, Department of Economics.
  45. Christian At & Laurent Flochel & Patrick Roger, 2002. "Market-making, inventories and martingale pricing," Post-Print halshs-00178162, HAL.
  46. Florackis, Chris & Gregoriou, Andros & Kostakis, Alexandros, 2011. "Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3335-3350.
  47. Gaspar, Jose-Miguel & Massa, Massimo, 2007. "Local ownership as private information: Evidence on the monitoring-liquidity trade-off," Journal of Financial Economics, Elsevier, vol. 83(3), pages 751-792, March.
  48. A. Gabrielsen & M. Marzo & P. Zagaglia, 2011. "Measuring market liquidity: An introductory survey," Working Papers wp802, Dipartimento Scienze Economiche, Universita' di Bologna.
  49. Piga, Gustavo, 1998. "In Search of an Independent Province for the Treasuries: How Should Public Debt Be Managed?," Journal of Economics and Business, Elsevier, vol. 50(3), pages 257-275, May.
  50. Wu, Wei-Shao & Liu, Yu-Jane & Lee, Yi-Tsung & Fok, Robert C.W., 2014. "Hedging costs, liquidity, and inventory management: The evidence from option market makers," Journal of Financial Markets, Elsevier, vol. 18(C), pages 25-48.
  51. 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.
  52. Dilip Madan, 2012. "A two price theory of financial equilibrium with risk management implications," Annals of Finance, Springer, vol. 8(4), pages 489-505, November.
  53. Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February.
  54. Carol L. Osler, 2003. "Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis," Journal of Finance, American Finance Association, vol. 58(5), pages 1791-1820, October.
  55. Madrigal, Vicente & Scheinkman, Jose A., 1997. "Price Crashes, Information Aggregation, and Market-Making," Journal of Economic Theory, Elsevier, vol. 75(1), pages 16-63, July.
  56. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," CORE Discussion Papers 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  57. Martin D. D. Evans & Richard K. Lyons, 2000. "Are Different-Currency Assets Imperfect Substitutes?," Working Papers gueconwpa~00-00-05, Georgetown University, Department of Economics.
  58. Dunne, Peter & Hau, Harald & Moore, Michael, 2008. "A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market," CEPR Discussion Papers 6969, C.E.P.R. Discussion Papers.
  59. Roger, Patrick, 2000. "Properties of bid and ask reservation prices in the rank-dependent expected utility model," Journal of Mathematical Economics, Elsevier, vol. 34(3), pages 269-285, November.
  60. Daniel Dorn & Gur Huberman & Paul Sengmueller, 2005. "Correlated Trading and Returns," DNB Working Papers 072, Netherlands Central Bank, Research Department.
  61. Guéant, Olivier & Lehalle, Charles-Albert & Tapia, Joaquin Fernandez, 2011. "Dealing with the Inventory Risk," Economics Papers from University Paris Dauphine 123456789/7390, Paris Dauphine University.
  62. Richard K. Lyons., 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," Research Program in Finance Working Papers RPF-243, University of California at Berkeley.
  63. Jankowitsch, Rainer & Nashikkar, Amrut & Subrahmanyam, Marti G., 2011. "Price dispersion in OTC markets: A new measure of liquidity," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 343-357, February.
  64. Steeley, James M., 2015. "The side effects of quantitative easing: Evidence from the UK bond market," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 303-336.
  65. Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York.
  66. Daniel F. Spulber, 1996. "Market Microstructure and Intermediation," Journal of Economic Perspectives, American Economic Association, vol. 10(3), pages 135-152, Summer.
  67. Osler, Carol L., 2005. "Stop-loss orders and price cascades in currency markets," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 219-241, March.
  68. Ivashina, Victoria & Sun, Zheng, 2011. "Institutional demand pressure and the cost of corporate loans," Journal of Financial Economics, Elsevier, vol. 99(3), pages 500-522, March.
  69. Rakesh Bali, 2003. "Variation in ex day dividend pricing: Myth or reality?," Journal of Economics and Finance, Springer, vol. 27(2), pages 190-210, June.
  70. Rühl, Tobias R. & Stein, Michael, 2015. "The impact of ECB macro-announcements on bid–ask spreads of European blue chips," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 54-71.
  71. Havran, Dániel & Erb, Tamás, 2015. "Mit veszítünk a piaci súrlódásokkal?. A pénzügyi piacok mikrostruktúrája
    [Trading mechanisms and market frictions. Microstructure of the financial markets]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 229-262.
  72. Agrawal, Vipin & Kothare, Meeta & Rao, Ramesh K. S. & Wadhwa, Pavan, 2004. "Bid-ask spreads, informed investors, and the firm's financial condition," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 58-76, February.
  73. 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.
  74. Norden, Lars, 2003. "Asymmetric option price distribution and bid-ask quotes: consequences for implied volatility smiles," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 423-441, December.
  75. Moez Abouda & Alain Chateauneuf, 2002. "Positivity of bid-ask spreads and symmetrical monotone risk aversion ," Theory and Decision, Springer, vol. 52(2), pages 149-170, March.
  76. Masaaki Fukasawa, 2014. "Efficient price dynamics in a limit order market: an utility indifference approach," Papers 1410.8224, arXiv.org.
  77. Angbazo, Lazarus, 1997. "Commercial bank net interest margins, default risk, interest-rate risk, and off-balance sheet banking," Journal of Banking & Finance, Elsevier, vol. 21(1), pages 55-87, January.
  78. Alasdair Brown, 2011. "Evidence of in-play insider trading on a UK betting exchange," Post-Print hal-00670250, HAL.
  79. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
  80. Kühn, Christoph & Muhle-Karbe, Johannes, 2015. "Optimal liquidity provision," Stochastic Processes and their Applications, Elsevier, vol. 125(7), pages 2493-2515.
  81. C. Lucarelli & M. E. Bontempi & C. Mazzoli & A. G. Quaranta, 2009. "Pre-trade transparency on the Italian Stock Exchange: a trade size model on panel data," Working Papers 678, Dipartimento Scienze Economiche, Universita' di Bologna.
  82. Chelley-Steeley, Patricia, 2005. "Explaining volatility and serial correlation in opening and closing returns: A study of the FT-30 components," Global Finance Journal, Elsevier, vol. 16(1), pages 1-15, August.
  83. Gau, Yin-Feng, 2005. "Intraday volatility in the Taipei FX market," Pacific-Basin Finance Journal, Elsevier, vol. 13(4), pages 471-487, September.
  84. Nicholas Economides & Robert A. Schwartz, 1995. "Equity Trading Practices and Market Structure: Assessing Asset Managers' Demand for Immediacy," Working Papers 95-08, New York University, Leonard N. Stern School of Business, Department of Economics.
  85. Pasquariello, Paolo, 2007. "Informative trading or just costly noise? An analysis of Central Bank interventions," Journal of Financial Markets, Elsevier, vol. 10(2), pages 107-143, May.
  86. Kalaitzoglou, Iordanis Angelos & Ibrahim, Boulis Maher, 2015. "Liquidity and resolution of uncertainty in the European carbon futures market," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 89-102.
  87. M. Frömmel & F Van Gysegem, 2014. "Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/878, Ghent University, Faculty of Economics and Business Administration.
  88. Levin, Eric J. & Wright, Robert E., 2004. "Estimating the profit markup component of the bid-ask spread: evidence from the London Stock Exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 1-19, February.
  89. Suvanto, Antti, . "Foreign Exchange Dealing. Essays on the Microstructure of the Foreign Exchange Market," ETLA A, The Research Institute of the Finnish Economy, number 19.
  90. Vo, Xuan Vinh, 2010. "Foreign ownership in Vietnam stock markets - an empirical analysis," MPRA Paper 29863, University Library of Munich, Germany, revised 10 Jan 2011.
  91. Shen, Pu & Starr, Ross M., 2000. "Market Makers' Supply and Pricing of Financial Market Liquidity," University of California at San Diego, Economics Working Paper Series qt69f9h5bz, Department of Economics, UC San Diego.
  92. Michael J. Fleming & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
  93. Hansch, Oliver, 2004. "The cross-sectional determinants of inventory control and the subtle effects of ADRs," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1915-1933, August.
  94. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
  95. 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.
  96. Ron Kaniel & Hong Liu, . "Are Transactions and Market Orders More Important than Limit Orders in the Quote Updating Process?," Rodney L. White Center for Financial Research Working Papers 16-98, Wharton School Rodney L. White Center for Financial Research.
  97. Gehrig, Thomas & Jackson, Matthew, 1998. "Bid-ask spreads with indirect competition among specialists," Journal of Financial Markets, Elsevier, vol. 1(1), pages 89-119, April.
  98. Francesco Trebbi & Kairong Xiao, 2015. "Regulation and Market Liquidity," NBER Working Papers 21739, National Bureau of Economic Research, Inc.
  99. Henk Berkman & Carole Comerton‐Forde, 2011. "Market microstructure: A review from down under," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(1), pages 50-78, 03.
  100. Chakrabarty, Bidisha & Moulton, Pamela C., 2012. "Earnings announcements and attention constraints: The role of market design," Journal of Accounting and Economics, Elsevier, vol. 53(3), pages 612-634.
  101. Hendershott, Terrence & Seasholes, Mark S., 2014. "Liquidity provision and stock return predictability," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 140-151.
  102. Vinay Datar & Raymond So & Yiuman Tse, 2008. "Liquidity commonality and spillover in the US and Japanese markets: an intraday analysis using exchange-traded funds," Review of Quantitative Finance and Accounting, Springer, vol. 31(4), pages 379-393, November.
  103. 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 4, August.
  104. Levi, Shai & Zhang, Xiao-Jun, 2015. "Asymmetric decrease in liquidity trading before earnings announcements and the announcement return premium," Journal of Financial Economics, Elsevier, vol. 118(2), pages 383-398.
  105. Bjonnes, Geir Hoidal & Rime, Dagfinn, 2005. "Dealer behavior and trading systems in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 75(3), pages 571-605, March.
  106. Christoph K\"uhn & Johannes Muhle-Karbe, 2013. "Optimal Liquidity Provision," Papers 1309.5235, arXiv.org, revised Feb 2015.
  107. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
  108. Fathi ABID & Lotfi TRABELSI, 2012. "Market Liquidity Behaviour in Futures Markets: Empirical Evidence," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 2(1), pages 192-206, March.
  109. Chen, Yu-Lun & Gau, Yin-Feng, 2014. "Asymmetric responses of ask and bid quotes to information in the foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 194-204.
  110. Sigridur Benediktsdottir, 2006. "An empirical analysis of specialist trading behavior at the New York Stock Exchange," International Finance Discussion Papers 876, Board of Governors of the Federal Reserve System (U.S.).
  111. Guo, Bin & Zhang, Wei & Chen, Shu-Heng & Zhang, Yongjie, 2015. "The optimal pricing of a market maker in a heterogeneous agent economy," Finance Research Letters, Elsevier, vol. 14(C), pages 178-187.
  112. Kothare, Meeta, 1997. "The effects of equity issues on ownership structure and stock liquidity: A comparison of rights and public offerings," Journal of Financial Economics, Elsevier, vol. 43(1), pages 131-148, January.
  113. Charoenwong, Charlie & Ding, David K. & Siraprapasiri, Vasan, 2011. "Adverse selection and corporate governance," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 406-420, June.
  114. Gerke, Wolfgang & Bosch, Robert, 1999. "Die Betreuer am Neuen Markt: eine empirische Analyse," CFS Working Paper Series 1999/12, Center for Financial Studies (CFS).
  115. Batten, Jonathan A. & Vo, Xuan Vinh, 2015. "Foreign ownership in emerging stock markets," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 15-24.
  116. 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.
  117. Iosif ZIMAN, 2011. "Trading Platform for the Global Warrant Markets," Informatica Economica, Academy of Economic Studies - Bucharest, Romania, vol. 15(2), pages 57-68.
  118. Andrade, Sandro C. & Chang, Charles & Seasholes, Mark S., 2008. "Trading imbalances, predictable reversals, and cross-stock price pressure," Journal of Financial Economics, Elsevier, vol. 88(2), pages 406-423, May.
  119. Martin D. D. Evans & Richard K. Lyons, 2001. "Portfolio Balance, Price Impact, and Secret Intervention," NBER Working Papers 8356, National Bureau of Economic Research, Inc.
  120. Yaron Leitner, 2004. "Liquidity and exchanges, or contracting with the producers," Business Review, Federal Reserve Bank of Philadelphia, issue Q1, pages 16-22.
  121. M. Alessandra Crisafi & Andrea Macrina, 2015. "Dark-Pool Perspective of Optimal Market Making," Papers 1502.02863, arXiv.org.
  122. Li, Mingsheng & McCormick, Timothy & Zhao, Xin, 2005. "Order imbalance and liquidity supply: Evidence from the bubble burst of Nasdaq stocks," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 533-555, September.
  123. Sahlstrom, Petri, 2001. "Impact of stock option listings on return and risk characteristics in Finland," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 19-36.
  124. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2015. "Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?," SAFE Working Paper Series 95, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  125. Kandel, Eugene & Marx, Leslie M., 1997. "Nasdaq market structure and spread patterns," Journal of Financial Economics, Elsevier, vol. 45(1), pages 61-89, July.
  126. McGroarty, Frank & ap Gwilym, Owain & Thomas, Stephen, 2009. "The role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 387-401, April.
  127. Azusa Takeyama & Naoshi Tsuchida, 2015. "The Interaction between Funding Liquidity and Market Liquidity: Evidence from Subprime and European Crises," IMES Discussion Paper Series 15-E-14, Institute for Monetary and Economic Studies, Bank of Japan.
  128. Mahanti, Sriketan & Nashikkar, Amrut & Subrahmanyam, Marti & Chacko, George & Mallik, Gaurav, 2008. "Latent liquidity: A new measure of liquidity, with an application to corporate bonds," Journal of Financial Economics, Elsevier, vol. 88(2), pages 272-298, May.
  129. Ioanid Rosu, 2009. "A Dynamic Model of the Limit Order Book," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4601-4641, November.
  130. McGroarty, Frank & ap Gwilym, Owain & Thomas, Steve, 2010. "Market structure and microstructure, in international interest rate futures markets," Research in International Business and Finance, Elsevier, vol. 24(3), pages 253-266, September.
  131. Menyah, Kojo & Paudyal, Krishna, 2000. "The components of bid-ask spreads on the London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(11), pages 1767-1785, November.
  132. Chelley-Steeley, Patricia, 2003. "The trading mechanism, cross listed stocks: a comparison of the Paris Bourse and SEAQ-International," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 401-417, October.
  133. Hajime Tomura, 2012. "On the Existence and Fragility of Repo Markets," Staff Working Papers 12-17, Bank of Canada.
  134. Eric J. Levin & Robert E. Wright, 2002. "Estimating the price elasticity of demand in the London stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 8(2), pages 222-237, June.
  135. 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.
  136. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2013. "Competition/fragmentation in equities markets: A literature survey," SAFE Working Paper Series 35, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  137. Cornett, Marcia Millon & Schwarz, Thomas V. & Szakmary, Andrew C., 1995. "Seasonalities and intraday return patterns in the foreign currency futures market," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 843-869, August.
  138. Chris D'Souza & Ingrid Lo & Stephen Sapp, 2007. "Price Formation and Liquidity Provision in Short-Term Fixed Income Markets," Staff Working Papers 07-27, Bank of Canada.
  139. Makoto Watanabe, 2012. "Middlemen: A Directed Search Equilibrium Approach," Tinbergen Institute Discussion Papers 12-138/V, Tinbergen Institute.
  140. Khang, Kenneth & Dolly King, Tao-Hsien, 2004. "Return reversals in the bond market: Evidence and causes," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 569-593, March.
  141. Matos, Joao Amaro de & Antao, Paula, 2000. "Market Illiquidity and the Bid-Ask Spread of Derivatives," FEUNL Working Paper Series wp386, Universidade Nova de Lisboa, Faculdade de Economia.
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