Transaction costs and market quality: Open outcry versus electronic trading

Journal of Futures Markets

Volumn 21, Issue 8, 2001, Pages 713-735

  Tse, Yiuman ^a   Zabotina, Tatyana V ^a  

^a BINGHAMTON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035638596     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.1802     Document Type: Article

References (5)

1. Admati, A. R., & Pfleiderer, P. (1988). A theory of intraday trading patterns: Volume and price variability. Review of Financial Studies, 1, 3-40.
2. Barclay, M., & Hendershott, T. (2000). Price discovery and trading costs after hours. Manuscript in preparation.
3. Bessembinder, H., & Seguin, P. (1993). Price volatility, trading volume, and market depth: Evidence from futures markets. Journal of Financial and Quantitative Analysis, 28, 21-39.
4. Beveridge, S., and Nelson, C. (1981). A new approach to the decomposition of economic time series into permanent and transitory components with particular attention to the measurement of the 'business cycle.' Journal of Monetary Economics, 7, 151-174.
5. Blennerhassett, M., & Bowman, R. G. (1998). A change in market microstructure: The switch to electronic screen trading on the New Zealand stock exchange. International Financial Markets, Institutions and Money, 8, 261-276.