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Volumn 13, Issue 4, 2000, Pages 1129-1151

Market making, prices, and quantity limits

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[No Author keywords available]

Indexed keywords


EID: 0034550688     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/13.4.1129     Document Type: Article
Times cited : (26)

References (17)
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  • 2
  • 3
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  • 4
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  • 6
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    • Price, trade size, and information in securities markets
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    • Easley, D.1    O'Hara, M.2
  • 7
    • 0041194365 scopus 로고
    • The stochastic behaviour of market variance implied in the prices of index options
    • Franks, J., and B. Schwartz, 1991, "The Stochastic Behaviour of Market Variance Implied in the Prices of Index Options," Economic Journal, 101, 1460-1475.
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    • Franks, J.1    Schwartz, B.2
  • 8
    • 0000463443 scopus 로고
    • Insider trading, liquidity, and the role of the monopolist specialist
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    • Glosten, L.1
  • 9
    • 0345401653 scopus 로고
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    • Glosten, L.1    Milgrom, P.2
  • 10
    • 84986492448 scopus 로고
    • Intraday changes in target firms' share price and bid-ask quotes around takeover announcements
    • Jennings, R., 1994, "Intraday Changes in Target Firms' Share Price and Bid-Ask Quotes around Takeover Announcements," Journal of Financial Research, 17, 255-270.
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    • Jennings, R.1
  • 11
    • 0040942565 scopus 로고    scopus 로고
    • A specialist's quoted depth and the limit order book
    • Kavajecz, K., 1999, "A Specialist's Quoted Depth and the Limit Order Book," Journal of Finance, 54, 747-771.
    • (1999) Journal of Finance , vol.54 , pp. 747-771
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  • 12
    • 3843112765 scopus 로고
    • Spreads, depths, and the impact of earnings information: An intraday analysis
    • Lee, C., B. Mucklow, and M. Ready, 1993, "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis," Review of Financial Studies, 6, 345-374.
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    • Lee, C.1    Mucklow, B.2    Ready, M.3
  • 13
    • 21844485615 scopus 로고
    • Trade size and components of the bid-ask spread
    • Lin, J., G. Sanger, and G. Booth, 1995, "Trade Size and Components of the Bid-Ask Spread," Review of Financial Studies, 8, 1153-1183.
    • (1995) Review of Financial Studies , vol.8 , pp. 1153-1183
    • Lin, J.1    Sanger, G.2    Booth, G.3
  • 14
    • 0040776107 scopus 로고
    • Bid-ask spreads, NYSE specialists, and NASD dealers
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    • Mann, S.1    Seijas, R.2
  • 15
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    • Hourly returns, volume, trade size, and number of trades
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  • 16
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    • Liquidity provision with limit orders and a strategic specialist
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  • 17
    • 0039414998 scopus 로고
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    • Venkatesh, P., and R. Chiang, 1986, "Information Asymmetry and the Dealer's Bid-Ask Spread: A Case Study of Earnings and Dividend Announcements," Journal of Finance, 41, 1089-1102.
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    • Venkatesh, P.1    Chiang, R.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.