Market microstructure and securities values: Evidence from the Paris Bourse

Journal of Financial Markets

Volumn 4, Issue 3, 2001, Pages 209-229

  Muscarella, Chris J ^a   Piwowar, Michael S ^b  

^a PENNSYLVANIA STATE UNIVERSITY   (United States)

^b IOWA STATE UNIVERSITY   (United States)

Author keywords

G12; G14; G15; Liquidity; Market microstructure; Trading systems

Indexed keywords

EID: 0037851237     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1386-4181(00)00022-7     Document Type: Article

References (28)

1. Amihud Y., Mendelson H. Asset pricing and the bid-ask spread. Journal of Financial Economics. 17:1986;223-249.
2. Amihud Y., Mendelson H. Volatility, efficiency, and trading. evidence from the Japanese Stock Market Journal of Finance. 46:1991;1765-1789.
3. Amihud Y., Mendelson H., Lauterbach B. Market microstructure and securities values. evidence from the Tel Aviv Stock Exchange Journal of Financial Economics. 45:1997;365-390.
4. Amihud Y., Mendelson H., Murgia M. Stock market microstructure and return volatility. evidence from Italy Journal of Banking and Finance. 14:1990;423-440.
5. Andrews D.W.K. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica. 59:1991;817-858.
6. Biais B., Hillion P., Spatt C. An empirical analysis of the limit order book and the order flow in the Paris Bourse. Journal of Finance. 50:1995;1655-1689.
7. Brennan M.J., Chordia T., Subrahmanyam A. Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. Journal of Financial Economics. 49:1998;345-373.
8. Brennan M.J., Subrahmanyam A. Market microstructure and asset pricing. on the compensation for illiquidity in stock returns Journal of Financial Economics. 41:1996;441-464.
9. Breusch T.S., Pagan A.R. A simple test for heteroskedasticity and random coefficient variation. Econometrica. 47:1979;1287-1294.
10. Brown S.J., Goetzmann W.N., Ross S.A. Survival. Journal of Finance. 50:1995;853-873.
11. Brown S.J., Warner J.B. Using daily stock returns. the case of event studies Journal of Financial Economics. 14:1985;3-31.
12. Cooper S.K., Groth J.C., Avera W.E. Liquidity, exchange listing, and common stock performance. Journal of Economics and Business. 37:1985;19-34.
13. Datar V.T., Naik N.Y., Radcliffe R. Liquidity and stock returns. an alternative test Journal of Financial Markets. 1:1998;203-219.
14. Easley D., Kiefer N.M., O'Hara M., Paperman J.B. Liquidity, information, and infrequently traded stocks. Journal of Finance. 51:1996;1405-1436.
15. Garbade K.D., Silber W.L. Structural organization of secondary markets. clearing frequency, dealer activity and liquidity risk Journal of Finance. 34:1979;577-593.
16. Glosten L., Milgrom P. Bid, ask, and transaction prices in a specialist market with heterogeneously informed agents. Journal of Financial Economics. 14:1985;71-100.
17. Ho T.S.Y., Schwartz R.A., Whitcomb D.K. The trading decision and market clearing under transaction price uncertainty. Journal of Finance. 40:1985;21-42.
18. Kalay A., Wei L., Wohl A. Continuous trading or call auctions. revealed preferences of investors at TASE:2000;Working Paper, Tel Aviv University, Israel.
19. Kehr C.-H., Krahnen J.P., Theissen E. The anatomy of a call market. evidence from Germany:1998;Working Paper, University of Frankfurt, Germany.
20. Khan W.A., Baker H.K. Unlisted trading privileges, liquidity, and stock returns. Journal of Financial Research. 16:1993;221-236.
21. Lauterbach B. Trading mechanism and securities' value. an analysis of rejects from continuous trade:1999;Working Paper, Bar-Ilan University, Israel.
22. Madhavan A. Trading mechanisms in securities markets. Journal of Finance. 47:1992;607-641.
23. Mendelson H. Market behavior in a clearing house. Econometrica. 50:1982;1505-1524.
24. Mendelson H. Consolidation, fragmentation, and market performance. Journal of Financial and Quantitative Analysis. 22:1987;189-207.
25. Pagano, M., Röell, A., 1993. Shifting gears: an economic evaluation of the reform of the Paris Bourse, In: Conti, V., Hamaui, R. (Eds.), Financial Markets' Liberalisation and the Role of Banks. Cambridge University Press, Cambridge.
26. Scholes M., Williams J. Estimating betas from nonsynchronous data. Journal of Financial Economics. 5:1977;309-327.
27. Thomas S. End of day patterns on the Paris Bourse after implementation of a call auction. 1998;Working Paper, SBF-Paris Bourse, France.
28. White H. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica. 48:1980;817-838.