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Volumn 32, Issue 2, 1997, Pages 225-238

SOES trading and market volatility

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0031535778     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/2331174     Document Type: Article
Times cited : (25)

References (24)
  • 1
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    • May 15
    • "Who Watches the Watchdog at Nasdaq?" Business Week, (May 15, 1995), 102-109.
    • (1995) Business Week , pp. 102-109
  • 2
    • 21844525728 scopus 로고
    • Market structure and the intraday pattern of bid-ask spreads for Nasdaq securities
    • Jan.
    • Chan, K.; W. Christie; and P. Schultz. "Market Structure and the Intraday Pattern of Bid-Ask Spreads for Nasdaq Securities." Journal of Business, 68 (Jan. 1995), 35-60.
    • (1995) Journal of Business , vol.68 , pp. 35-60
    • Chan, K.1    Christie, W.2    Schultz, P.3
  • 3
    • 84993843848 scopus 로고
    • Why did Nasdaq market makers stop avoiding odd-eighth quotes?
    • Dec.
    • Christie, W.; J. Harris; and P. Schultz. "Why Did Nasdaq Market Makers Stop Avoiding Odd-Eighth Quotes?" Journal of Finance, 49 (Dec. 1994), 1841-1860.
    • (1994) Journal of Finance , vol.49 , pp. 1841-1860
    • Christie, W.1    Harris, J.2    Schultz, P.3
  • 4
    • 84993915181 scopus 로고
    • Why do Nasdaq market makers avoid odd-eighth quotes?
    • Dec.
    • Christie, W., and P. Schultz. "Why Do Nasdaq Market Makers Avoid Odd-Eighth Quotes?" Journal of Finance, 49 (Dec. 1994), 1813-1840.
    • (1994) Journal of Finance , vol.49 , pp. 1813-1840
    • Christie, W.1    Schultz, P.2
  • 5
    • 84929228661 scopus 로고
    • An empirical study of the effect of rule 19c-3
    • April
    • Cohen, K., and R. Conroy. "An Empirical Study of the Effect of Rule 19c-3." Journal of Law and Economics, 33 (April 1990), 277-305.
    • (1990) Journal of Law and Economics , vol.33 , pp. 277-305
    • Cohen, K.1    Conroy, R.2
  • 6
    • 0000097877 scopus 로고
    • Transaction costs, order placement strategy, and existence of the bid-ask spread
    • April
    • Cohen, K.; S. Maier; R. Schwartz; and D. Whitcomb. "Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread." Journal of Political Economy, 89 (April 1981), 287-307.
    • (1981) Journal of Political Economy , vol.89 , pp. 287-307
    • Cohen, K.1    Maier, S.2    Schwartz, R.3    Whitcomb, D.4
  • 8
    • 0000351727 scopus 로고
    • Investigating the causal relations by econometric models and cross spectral methods
    • July
    • Granger, C. "Investigating the Causal Relations by Econometric Models and Cross Spectral Methods." Econometrica, 37 (July 1969), 424-438.
    • (1969) Econometrica , vol.37 , pp. 424-438
    • Granger, C.1
  • 9
    • 0005290222 scopus 로고
    • Program trading and market volatility: A report on interday relationships
    • July-Aug.
    • Grossman, S. "Program Trading and Market Volatility: A Report on Interday Relationships." Financial Analysts Journal, 44 (July-Aug. 1988), 18-28.
    • (1988) Financial Analysts Journal , vol.44 , pp. 18-28
    • Grossman, S.1
  • 10
    • 0040306188 scopus 로고    scopus 로고
    • Automated executions are different: An empirical examination of changes in SOES rules
    • forthcoming
    • Harris, J., and P. Schultz. "Automated Executions are Different: An Empirical Examination of Changes in SOES Rules." Journal of Financial Economics (forthcoming 1997).
    • (1997) Journal of Financial Economics
    • Harris, J.1    Schultz, P.2
  • 14
    • 84919214538 scopus 로고
    • The relation between price changes and trading volume: A survey
    • March
    • Karpoff, J. "The Relation between Price Changes and Trading Volume: A Survey." Journal of Financial and Quantitative Analysis, 22 (March 1987), 109-126.
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , pp. 109-126
    • Karpoff, J.1
  • 15
  • 17
    • 0040306189 scopus 로고
    • The SOES issue
    • Sept.
    • "The SOES Issue." Traders Magazine, (Sept. 1995), 1-10.
    • (1995) Traders Magazine , pp. 1-10
  • 18
    • 0013273386 scopus 로고
    • Division of Market Regulation
    • U. S. Securities and Exchange Commission. The October 1987 Market Break. Division of Market Regulation (1988a).
    • (1988) The October 1987 Market Break
  • 19
    • 0040306187 scopus 로고
    • Release No. 34-25791, Self-Regulatory Organizations: National Association of Securities Dealers, Inc.
    • _. Release No. 34-25791, Self-Regulatory Organizations: National Association of Securities Dealers, Inc.; Order Granting Accelerated Approval to Proposed Rule Change, as Amended (1988b).
    • (1988) Order Granting Accelerated Approval to Proposed Rule Change, As Amended
  • 22
    • 4243471092 scopus 로고
    • Nasdaq small order plan draws protests
    • Dec. 21
    • "Nasdaq Small Order Plan Draws Protests." Wall Street Journal, (Dec. 21, 1993), p. C1.
    • (1993) Wall Street Journal
  • 23
    • 4243479478 scopus 로고
    • Nasdaq's SOES bandits seek recruits
    • June 1
    • "Nasdaq's SOES Bandits Seek Recruits." Wall Street Journal, (June 1, 1995), p. C1.
    • (1995) Wall Street Journal


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.