메뉴 건너뛰기




Volumn 22, Issue 2, 1999, Pages 227-246

BID-ASK spread components in an order-driven environment

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0000746086     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.1999.tb00724.x     Document Type: Article
Times cited : (57)

References (27)
  • 1
    • 0001027839 scopus 로고    scopus 로고
    • Bid-ask spreads, trading volume and volatility: Intra-day evidence from the London Stock Exchange
    • Abhyankar, A., D. Ghosh, E. Levin, and R. J. Limmack 1997, Bid-ask spreads, trading volume and volatility: Intra-day evidence from the London Stock Exchange, Journal of Business Finance & Accounting 24, 343–62.
    • (1997) Journal of Business Finance & Accounting , vol.24 , pp. 343-362
    • Abhyankar, A.1    Ghosh, D.2    Levin, E.3    Limmack, R.J.4
  • 2
    • 84993865816 scopus 로고
    • Trading mechanisms and the components of the bid-ask spread
    • Affleck-Graves, J., S. Hegde, and R. Miller, 1994, Trading mechanisms and the components of the bid-ask spread, Journal of Finance 49, 1471–88.
    • (1994) Journal of Finance , vol.49 , pp. 1471-1488
    • Affleck-Graves, J.1    Hegde, S.2    Miller, R.3
  • 4
    • 84993843493 scopus 로고
    • An empirical analysis of the limit order book and the order flow in the Paris Bourse
    • Biais, B., P. Hillion, and C. Spatt, 1995, An empirical analysis of the limit order book and the order flow in the Paris Bourse, Journal of Finance 50, 1655–89.
    • (1995) Journal of Finance , vol.50 , pp. 1655-1689
    • Biais, B.1    Hillion, P.2    Spatt, C.3
  • 5
    • 0040516942 scopus 로고    scopus 로고
    • Market orders and market efficiency
    • Brown, D. P. and Z. M. Zhang, 1997, Market orders and market efficiency, Journal of Finance 52. 277–307.
    • (1997) Journal of Finance , vol.52 , pp. 277-307
    • Brown, D.P.1    Zhang, Z.M.2
  • 6
    • 0000097877 scopus 로고
    • Transaction costs, order placement strategy, and existence of the bid-ask spread
    • Cohen. K., S. Maier, R. Schwartz, and D. Whitcomb, 1981. Transaction costs, order placement strategy, and existence of the bid-ask spread, Journal of Political Economy. 287–305.
    • (1981) Journal of Political Economy , pp. 287-305
    • Cohen, K.1    Maier, S.2    Schwartz, R.3    Whitcomb, D.4
  • 7
    • 84944836521 scopus 로고
    • Information effects on the bid-ask spreads
    • Copeland. T. and D. Galai, 1983. Information effects on the bid-ask spreads. Journal of Finance 38, 1457–69.
    • (1983) Journal of Finance , vol.38 , pp. 1457-1469
    • Copeland, T.1    Galai, D.2
  • 9
    • 0010940821 scopus 로고
    • Price, trade size and information in securities markets
    • Easley. D. and M. O'Hara, 1987, Price, trade size and information in securities markets, Journal of Financial Economics 19, 69–90.
    • (1987) Journal of Financial Economics , vol.19 , pp. 69-90
    • Easley, D.1    O'Hara, M.2
  • 10
    • 0000836177 scopus 로고
    • Estimation of the bid-ask spreads and its components: A new approach
    • George. T. J., G. Kaul, and M. Nimalendran, 1991, Estimation of the bid-ask spreads and its components: A new approach, Review of Financial Studies 4. 623–56.
    • (1991) Review of Financial Studies , vol.4 , pp. 623-656
    • George, T.J.1    Kaul, G.2    Nimalendran, M.3
  • 11
    • 84993613651 scopus 로고
    • Equilibrium in an electronic open limit order book
    • Glosten. L. R., 1994, Equilibrium in an electronic open limit order book, Journal of Finance 49, 1127–61.
    • (1994) Journal of Finance , vol.49 , pp. 1127-1161
    • Glosten, L.R.1
  • 12
  • 13
    • 0345401653 scopus 로고
    • Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
    • Glosten. L. R. and P. Milgrom. 1985, Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics 14, 71–100.
    • (1985) Journal of Financial Economics , vol.14 , pp. 71-100
    • Glosten, L.R.1    Milgrom, P.2
  • 14
  • 16
    • 84925135657 scopus 로고
    • The dynamics of dealer markets under competition
    • Ho, T. and H. R. Stoll, 1983, The dynamics of dealer markets under competition, Journal of Finance 38, 1053–74.
    • (1983) Journal of Finance , vol.38 , pp. 1053-1074
    • Ho, T.1    Stoll, H.R.2
  • 17
    • 21344495701 scopus 로고
    • Market microstructure and stock return predictions
    • Huang. R. D. and H. R. Stoll, 1994. Market microstructure and stock return predictions, Review of Financial Studies 7, 179–213.
    • (1994) Review of Financial Studies , vol.7 , pp. 179-213
    • Huang, R.D.1    Stoll, H.R.2
  • 18
    • 0031501452 scopus 로고    scopus 로고
    • The components of the bid-ask spread: A general approach
    • Huang. R. D. and H. R. Stoll, 1997, The components of the bid-ask spread: A general approach, Review of Financial Studies 10, 995–1034.
    • (1997) Review of Financial Studies , vol.10 , pp. 995-1034
    • Huang, R.D.1    Stoll, H.R.2
  • 19
    • 84993907778 scopus 로고
    • Trading and liquidity on the Tokyo Stock Exchange: A bird's eye view
    • Lehman, B. N. and D. M. Modest, 1994, Trading and liquidity on the Tokyo Stock Exchange: A bird's eye view, Journal of Finance 44, 951–84.
    • (1994) Journal of Finance , vol.44 , pp. 951-984
    • Lehman, B.N.1    Modest, D.M.2
  • 21
  • 22
    • 0031523710 scopus 로고    scopus 로고
    • Why do security prices change? A transaction-level analysis of NYSE stocks
    • Madhavan, A., M. Richardson, and M. Roomans, 1997, Why do security prices change? A transaction-level analysis of NYSE stocks. Review of Financial Studies 10. 1035–64.
    • (1997) Review of Financial Studies , vol.10 , pp. 1035-1064
    • Madhavan, A.1    Richardson, M.2    Roomans, M.3
  • 23
    • 0000160386 scopus 로고
    • A comparison of transaction costs between competitive market maker and specialist market structures
    • Neal, R., 1992. A comparison of transaction costs between competitive market maker and specialist market structures. Journal of Business 65, 317–34.
    • (1992) Journal of Business , vol.65 , pp. 317-334
    • Neal, R.1
  • 24
    • 0009978525 scopus 로고    scopus 로고
    • Estimating bid-ask spread components: Special versus multiple market maker systems
    • Porter, D. and D. Weaver, 1996, Estimating bid-ask spread components: Special versus multiple market maker systems, Review of Quantitative Finance and Accounting 6, 167–80.
    • (1996) Review of Quantitative Finance and Accounting , vol.6 , pp. 167-180
    • Porter, D.1    Weaver, D.2
  • 25
    • 84977426528 scopus 로고
    • The supply of dealer services in securities markets
    • Stoll. H. R., 1978. The supply of dealer services in securities markets, Journal of Finance 33, 1133–51.
    • (1978) Journal of Finance , vol.33 , pp. 1133-1151
    • Stoll, H.R.1
  • 26
    • 0000475184 scopus 로고
    • Infering the components of the bid-ask spread: Theory and empirical tests
    • Stoll. H. R., 1989. Infering the components of the bid-ask spread: Theory and empirical tests. Journal of Finance 33, 1133–51.
    • (1989) Journal of Finance , vol.33 , pp. 1133-1151
    • Stoll, H.R.1
  • 27
    • 84956051777 scopus 로고
    • The economics of liquidity services
    • Tinic. S. M., 1972. The economics of liquidity services, Quarterly Journal of Economics 66, 79–97.
    • (1972) Quarterly Journal of Economics , vol.66 , pp. 79-97
    • Tinic, S.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.