메뉴 건너뛰기




Volumn 57, Issue 3, 2002, Pages 1285-1319

The quality of ECN and Nasdaq market maker quotes

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0010122224     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/1540-6261.00461     Document Type: Review
Times cited : (163)

References (38)
  • 1
    • 0002816156 scopus 로고
    • A theory of intraday patterns: Volume and price variability
    • Admati, Anat R., and Paul Pfleiderer, 1988, A theory of intraday patterns: Volume and price variability, Review of Financial Studies 1, 3-40.
    • (1988) Review of Financial Studies , vol.1 , pp. 3-40
    • Admati, A.R.1    Pfleiderer, P.2
  • 3
    • 0039527096 scopus 로고    scopus 로고
    • The effects of market reform on the trading costs and depths of Nasdaq stocks
    • Barclay, Michael J., William G. Christie, Jeffrey H. Harris, Eugene Kandel, and Paul H. Schultz, 1999, The effects of market reform on the trading costs and depths of Nasdaq stocks, Journal of Finance 54, 1-34.
    • (1999) Journal of Finance , vol.54 , pp. 1-34
    • Barclay, M.J.1    Christie, W.G.2    Harris, J.H.3    Kandel, E.4    Schultz, P.H.5
  • 4
    • 0011270916 scopus 로고    scopus 로고
    • Price discovery and trading costs after hours
    • University of Rochester
    • Barclay, Michael J., and Terrence Hendershott, 2000, Price discovery and trading costs after hours, Working paper, University of Rochester.
    • (2000) Working Paper
    • Barclay, M.J.1    Hendershott, T.2
  • 5
    • 0000820008 scopus 로고
    • Stealth trading and volatility: Which trades move prices?
    • Barclay, Michael J., and Jerold B. Warner, 1993, Stealth trading and volatility: Which trades move prices? Journal of Financial Economics 34, 281-305.
    • (1993) Journal of Financial Economics , vol.34 , pp. 281-305
    • Barclay, M.J.1    Warner, J.B.2
  • 8
    • 0001397560 scopus 로고
    • Pitfalls and opportunities: What macroeconomists should know about unit roots
    • Olivier Jean Blanchard and Stanley Fischer, eds. MIT Press, Cambridge, MA
    • Campbell, John Y., and Pierre Perron, 1991, Pitfalls and opportunities: What macroeconomists should know about unit roots, in Olivier Jean Blanchard and Stanley Fischer, eds.: NBER Macroeconomics Annual (MIT Press, Cambridge, MA).
    • (1991) NBER Macroeconomics Annual
    • Campbell, J.Y.1    Perron, P.2
  • 9
    • 0039842567 scopus 로고    scopus 로고
    • Price discovery without trading: Evidence from the Nasdaq preopening
    • Cao, Charles, Eric Ghysels, and Frank Hatheway, 2000, Price discovery without trading: Evidence from the Nasdaq preopening, Journal of Finance 55, 1339-1365.
    • (2000) Journal of Finance , vol.55 , pp. 1339-1365
    • Cao, C.1    Ghysels, E.2    Hatheway, F.3
  • 10
    • 84993915181 scopus 로고
    • Why do NASDAQ market makers avoid odd-eighth quotes?
    • Christie, William G., and Paul H. Schultz, 1994, Why do NASDAQ market makers avoid odd-eighth quotes? Journal of Finance 49, 1813-1840.
    • (1994) Journal of Finance , vol.49 , pp. 1813-1840
    • Christie, W.G.1    Schultz, P.H.2
  • 11
    • 84936823544 scopus 로고
    • How big is the random walk in GNP?
    • Cochrane, John H., 1988, How big is the random walk in GNP? Journal of Political Economy 96, 893-920.
    • (1988) Journal of Political Economy , vol.96 , pp. 893-920
    • Cochrane, J.H.1
  • 12
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • Dickey, David A., and Wayne A. Fuller, 1979, Distribution of the estimators for autoregressive time series with a unit root, Journal of American Statistical Association 74, 427-431.
    • (1979) Journal of American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 13
    • 0041620077 scopus 로고    scopus 로고
    • An investigation of price discovery in informationally linked markets: Equity trading in Malaysia and Singapore
    • University of Memphis
    • Ding, David K., Frederick H. deB. Harris, Sie Ting Lau, and Thomas H. McInish, 1998, An investigation of price discovery in informationally linked markets: Equity trading in Malaysia and Singapore, Working paper, University of Memphis.
    • (1998) Working Paper
    • Ding, D.K.1    Harris, F.H.D.B.2    Sie Ting Lau3    McInish, T.H.4
  • 14
    • 0010894329 scopus 로고    scopus 로고
    • Competition and collusion in dealer markets
    • Dutta, Prajit, and Ananth Madhavan, 1997, Competition and collusion in dealer markets, Journal of Finance 52, 245-276.
    • (1997) Journal of Finance , vol.52 , pp. 245-276
    • Dutta, P.1    Madhavan, A.2
  • 15
    • 0040165095 scopus 로고    scopus 로고
    • Option volume and stock prices: Evidence on where informed traders trade
    • Easley, David, Maureen O'Hara, and P. S. Srinivas, 1998, Option volume and stock prices: Evidence on where informed traders trade, Journal of Finance 53, 431-465.
    • (1998) Journal of Finance , vol.53 , pp. 431-465
    • Easley, D.1    O'Hara, M.2    Srinivas, P.S.3
  • 16
    • 0000013567 scopus 로고
    • Co-integration and error correction: Representation, estimation, and testing
    • Engle, Robert F., and Clive Granger, 1987, Co-integration and error correction: Representation, estimation, and testing, Econometrica 55, 251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.2
  • 17
    • 0001427588 scopus 로고
    • Dominant and satellite markets: A study of dually traded securities
    • Garbade, Kenneth D., and William L. Silber, 1979, Dominant and satellite markets: A study of dually traded securities, Review of Economics and Statistics 61, 455-460.
    • (1979) Review of Economics and Statistics , vol.61 , pp. 455-460
    • Garbade, K.D.1    Silber, W.L.2
  • 18
    • 84952524237 scopus 로고
    • Estimation of common long-memory components in cointegrated systems
    • Gonzalo, Jesus, and Clive Granger, 1995, Estimation of common long-memory components in cointegrated systems, Journal of Business and Economic Statistics 13, 1-9.
    • (1995) Journal of Business and Economic Statistics , vol.13 , pp. 1-9
    • Gonzalo, J.1    Granger, C.2
  • 20
    • 0003731647 scopus 로고    scopus 로고
    • Common long-memory components of intraday stock prices: A measure of price discovery
    • Wake Forest University
    • Harris, Frederick H. deB., Thomas H. McInish, and Robert A. Wood, 1997, Common long-memory components of intraday stock prices: A measure of price discovery, Working paper, Wake Forest University.
    • (1997) Working Paper
    • Harris, F.H.D.B.1    McInish, T.H.2    Wood, R.A.3
  • 22
    • 0001740585 scopus 로고
    • The summary informativeness of stock trades: An econometric analysis
    • Hasbrouck, Joel, 1991, The summary informativeness of stock trades: An econometric analysis, Review of Financial Studies 4, 571-595.
    • (1991) Review of Financial Studies , vol.4 , pp. 571-595
    • Hasbrouck, J.1
  • 23
    • 84993849369 scopus 로고
    • One security, many markets: Determining the contributions to price discovery
    • Hasbrouck, Joel, 1995, One security, many markets: Determining the contributions to price discovery, Journal of Finance 50, 1175-1199.
    • (1995) Journal of Finance , vol.50 , pp. 1175-1199
    • Hasbrouck, J.1
  • 24
    • 84925135657 scopus 로고
    • The dynamics of dealer markets under competition
    • Ho, Thomas S. Y., and Hans R. Stoll, 1983, The dynamics of dealer markets under competition, Journal of Finance 38, 1053-1074.
    • (1983) Journal of Finance , vol.38 , pp. 1053-1074
    • Ho, T.S.Y.1    Stoll, H.R.2
  • 25
    • 0033484601 scopus 로고    scopus 로고
    • FX spreads and dealer competition across the 24-hour trading day
    • Huang, Roger D., and Ronald W. Masulis, 1999, FX spreads and dealer competition across the 24-hour trading day, Review of Financial Studies 12, 61-93.
    • (1999) Review of Financial Studies , vol.12 , pp. 61-93
    • Huang, R.D.1    Masulis, R.W.2
  • 26
    • 0030191637 scopus 로고    scopus 로고
    • Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE
    • Huang, Roger D., and Hans R. Stoll, 1996, Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE, Journal of Financial Economics 41, 313-357.
    • (1996) Journal of Financial Economics , vol.41 , pp. 313-357
    • Huang, R.D.1    Stoll, H.R.2
  • 27
  • 28
    • 0010741766 scopus 로고    scopus 로고
    • Preferencing and payment for order flow on Nasdaq
    • Kandel, Eugene, and Leslie Marx, 1999, Preferencing and payment for order flow on Nasdaq, Journal of Finance 54, 35-66.
    • (1999) Journal of Finance , vol.54 , pp. 35-66
    • Kandel, E.1    Marx, L.2
  • 29
    • 0000859303 scopus 로고
    • Continuous auctions and insider trading
    • Kyle, Albert, 1985, Continuous auctions and insider trading, Econometrica 53, 1315-1335.
    • (1985) Econometrica , vol.53 , pp. 1315-1335
    • Kyle, A.1
  • 30
    • 0041111351 scopus 로고    scopus 로고
    • When it's not the only game in town: The effect of bilateral search on the quality of a dealer market
    • Lamoureux, Christopher, and Charles Schnitzlein, 1997, When it's not the only game in town: The effect of bilateral search on the quality of a dealer market, Journal of Finance 52, 683-712.
    • (1997) Journal of Finance , vol.52 , pp. 683-712
    • Lamoureux, C.1    Schnitzlein, C.2
  • 31
    • 0001175627 scopus 로고
    • Intertemporal price discovery by market makers: Active versus passive learning
    • Leach, J. Chris, and Ananth N. Madhavan, 1992, Intertemporal price discovery by market makers: Active versus passive learning, Journal of Financial Intermediation 2, 207-235.
    • (1992) Journal of Financial Intermediation , vol.2 , pp. 207-235
    • Leach, J.C.1    Madhavan, A.N.2
  • 32
    • 21144479472 scopus 로고
    • Price experimentation and security market structure
    • Leach, J. Chris, and Ananth N. Madhavan, 1993, Price experimentation and security market structure, Review of Financial Studies 6, 375-404.
    • (1993) Review of Financial Studies , vol.6 , pp. 375-404
    • Leach, J.C.1    Madhavan, A.N.2
  • 33
    • 0041620074 scopus 로고
    • Efficient price discovery in a securities market: The objective of a trading system
    • Yakov Amihud, Thomas S. Y. Ho, and Robert A. Schwartz, eds. Lexington Books, Lexington, MA
    • Schreiber, Paul S., and Robert A. Schwartz, 1985, Efficient price discovery in a securities market: The objective of a trading system, in Yakov Amihud, Thomas S. Y. Ho, and Robert A. Schwartz, eds.: Market Making and the Changing Structure of the Securities Industry (Lexington Books, Lexington, MA).
    • (1985) Market Making and the Changing Structure of the Securities Industry
    • Schreiber, P.S.1    Schwartz, R.A.2
  • 34
    • 0010653639 scopus 로고    scopus 로고
    • The quotation behavior of ECNs and Nasdaq market makers
    • Baruch College
    • Simaan, Yusif, Daniel G. Weaver, and David K. Whitcomb, 1998, The quotation behavior of ECNs and Nasdaq market makers, Working paper, Baruch College.
    • (1998) Working Paper
    • Simaan, Y.1    Weaver, D.G.2    Whitcomb, D.K.3
  • 35
    • 25844446146 scopus 로고    scopus 로고
    • The role of quotes in attracting orders on the Nasdaq interdealer market
    • NASD Economic Research
    • Smith, Jeffrey W., 1999, The role of quotes in attracting orders on the Nasdaq interdealer market, Working paper, NASD Economic Research.
    • (1999) Working Paper
    • Smith, J.W.1
  • 38
    • 0031475555 scopus 로고    scopus 로고
    • Entry, exit, market makers, and the bid-ask spread
    • Wahal, Sunil, 1997, Entry, exit, market makers, and the bid-ask spread, Review of Financial Studies 10, 871-901.
    • (1997) Review of Financial Studies , vol.10 , pp. 871-901
    • Wahal, S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.