Limit orders and the bid-ask spread

Journal of Financial Economics

Volumn 53, Issue 2, 1999, Pages 255-287

  Chung, Kee H ^a   Van Ness, Bonnie F ^b   Van Ness, Robert A ^b  

^a UNIVERSITY OF MEMPHIS   (United States)

^b MARSHALL UNIVERSITY   (United States)

Author keywords

Bid ask spread; G14; Limit order; Specialists

Indexed keywords

EID: 0000315984     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0304-405x(99)00022-7     Document Type: Article

References (52)

1. Affleck-Graves J., Hegde S., Miller R., Reilly F. Trading mechanisms and the components of the bid-ask spread. Journal of Finance. 49:1994;1471-1488.
2. Amihud Y., Mendelson H. Dealership market. market-making with inventory Journal of Financial Economics. 8:1980;31-53.
3. Amihud Y., Mendelson H. Asset pricing behavior in a dealership market. Financial Analysts Journal. 38:1982;50-59.
4. Bessembinder H. The degree of price resolution and equity trading costs. Journal of Financial Economics. 45:1997;9-34.
5. Bessembinder H., Kaufman H. A comparison of trade execution costs for NYSE and Nasdaq-listed stocks. Journal of Financial and Quantitative Analysis. 32:1997;287-310.
6. Brock W., Kleidon A. Periodic market closure and trading volume: a model of intraday bids and asks. Journal of Economic Dynamics and Control. 16:1992;451-489.
7. Chan K., Christie W., Schultz P. Market structure and the intraday pattern of bid-ask spreads for Nasdaq securities. Journal of Business. 68:1995;35-60.
8. Chan K., Chung P., Johnson H. The intraday behavior of bid-ask spreads for NYSE stocks and CBOE options. Journal of Financial and Quantitative Analysis. 30:1995;329-346.
9. Chiang R., Venkatesh P. Insider holdings and perceptions of information asymmetry. a note Journal of Finance. 43:1988;1041-1048.
10. Cohen K., Maier S., Schwartz R., Whitcomb D. Transaction costs, order placement strategy, and existence of the bid-ask spread. Journal of Political Economy. 89:1981;287-305.
11. Copeland T., Galai D. Information effects on the bid-ask spread. Journal of Finance. 38:1983;1457-1469.
12. Demsetz H. Limit orders and the alleged Nasdaq collusion. Journal of Financial Economics. 45:1997;91-95.
13. Dodd O., Warner J. On corporate governance. a study of proxy contests Journal of Financial Economics. 11:1983;401-438.
14. Easley D., O'Hara M. Price, trade size, and information in securities market. Journal of Financial Economics. 19:1987;69-90.
15. Easley D., O'Hara M. Adverse selection and large trade volume. the implications for market efficiency Journal of Financial and Quantitative Analysis. 27:1992;185-208.
16. Foster F., Viswanathan S. Variations in trading volume, return volatility and trading costs: evidence on recent price formation models. Journal of Finance. 48:1993;187-211.
17. Foster F., Viswanathan S. Strategic trading with asymmetrically informed investors and long-lived information. Journal of Financial and Quantitative Analysis. 29:1994;499-518.
18. Gibbons M., Shanken J. Subperiod aggregation and the power of multivariate tests of portfolio efficiency. Journal of Financial Economics. 19:1987;389-394.
19. Glosten L. Insider trading, liquidity, and the role of the monopolist specialist. Journal of Business. 62:1989;211-235.
20. Glosten L. Is the electronic open limit order book inevitable? Journal of Finance. 49:1994;1127-1161.
21. Glosten L., Harris L. Estimating the components of the bid/ask spread. Journal of Financial Economics. 21:1988;123-142.
22. Glosten L., Milgrom P. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics. 14:1985;71-100.
23. Greene, J., 1997. The impact of limit order executions on trading costs in NYSE stocks. Working paper. Georgia State University, Atlanta.
24. Handa P., Schwartz A. Limit order trading. Journal of Finance. 51:1996;1835-1861.
25. Hansen L. Large sample properties of generalized method of moment estimator. Econometrica. 50:1982;1029-1054.
26. Harris L., Hasbrouck J. Market vs. limit orders. the SuperDot evidence on order submission strategy Journal of Financial and Quantitative Analysis. 31:1996;213-231.
27. Hasbrouck J. Measuring the information content of stock trades. Journal of Finance. 46:1991;179-207.
28. Hasbrouck J. The summary informativeness of stock trades: an econometric analysis. Review of Financial Studies. 4:1991;571-595.
29. Hasbrouck, J., 1992. Using the TORQ database. Working paper. New York Stock Exchange, New York, NY.
30. Hasbrouck J., Sofianos G. The trades of market makers. an empirical analysis of NYSE specialists Journal of Finance. 48:1993;1565-1593.
31. Hasbrouck J., Sofianos G., Sosebee D. New York Stock Exchange Systems and Trading procedures. 1993;New York Stock Exchange, New York.
32. Ho T., Stoll H. On dealer markets under competition. Journal of Finance. 35:1980;259-267.
33. Ho T., Stoll H. Optimal dealer pricing under transactions and return uncertainty. Journal of Financial Economics. 9:1981;47-73.
34. Ho T., Stoll H. The dynamics of dealer markets under competition. Journal of Finance. 38:1983;1053-1074.
35. Huang R., Stoll H. Dealer versus auction markets. a paired comparison of execution costs on NASDAQ and the NYSE Journal of Financial Economics. 41:1996;313-357.
36. Huang R., Stoll H. The components of the bid-ask spread: a general approach. Review of Financial Studies. 10:1997;995-1034.
37. Jaffe, J., Patel, S., A direct investigation of the specialist's spread and intraday price behavior. Unpublished paper. The Wharton School, University of Pennsylvania, Philadelphia.
38. Kavajecz, K., 1999. A specialist's quoted depth and the limit order book. Journal of Finance 54 (in press).
39. Lee C., Mucklow B., Ready M. Spreads, depths, and the impact of earnings information: an intraday analysis. Review of Financial Studies. 6:1993;345-374.
40. Madhavan A. Trading mechanisms in securities markets. Journal of Finance. 47:1992;607-642.
41. Madhavan A., Smidt S. An analysis of changes in specialist inventories and quotations. Journal of Finance. 48:1993;1595-1628.
42. McInish T., Wood R. An analysis of intraday patterns in bid/ask spreads for NYSE stocks. Journal of Finance. 47:1992;753-764.
43. McInish T., Wood R. Hidden limit orders on the NYSE. Journal of Portfolio Management. 21:1995;19-26.
44. Meulbroek L. An empirical analysis of illegal insider trading. Journal of Finance. 47:1992;1661-1699.
45. NASD Economic Research Department, 1997. Effects of the removal of minimum sizes for proprietary quotes in the Nasdaq stock market. National Association of Securities Dealers, New York.
46. New York Stock Exchange, 1992, NYSE Fact Book 1992. New York Stock Exchange, New York.
47. Newey W., West K. Hypothesis testing with efficient method of moments estimation. International Economic Review. 28:1987;777-787.
48. O'Hara M., Oldfield G. The microeconomics of market making. Journal of Financial and Quantitative Analysis. 21:1986;361-376.
49. Porter, D., 1988. Bid-ask spreads: an examination of systematic behavior using intra-day data on Canadian and U.S. exchanges. Doctoral dissertation. Faculty of Graduate Studies, University of Western Ontario, London, Ontario.
50. Stoll H. The pricing of security dealer services: an empirical study of NASDAQ stocks. Journal of Finance. 33:1978;1153-1172.
51. Stoll H., Whaley R. Stock market structure and volatility. Review of Financial Studies. 3:1990;37-71.
52. Warner J., Watts R., Wruck K. Stock prices and top management changes. Journal of Financial Economics. 20:1988;461-492.