메뉴 건너뛰기




Volumn 5, Issue 1, 1996, Pages 2-22

Tick size, spread, and volume

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0040356344     PISSN: 10429573     EISSN: None     Source Type: Journal    
DOI: 10.1006/jfin.1996.0002     Document Type: Article
Times cited : (95)

References (16)
  • 2
    • 0002093530 scopus 로고
    • The degree of price resolution: The case of the gold market
    • BALL, C. A., TOROUS, W. N., AND TSCHOEGL, A. E. (1985). The degree of price resolution: The case of the gold market, J. Futures Markets 5, 29-43.
    • (1985) J. Futures Markets , vol.5 , pp. 29-43
    • Ball, C.A.1    Torous, W.N.2    Tschoegl, A.E.3
  • 3
    • 84993843493 scopus 로고
    • An empirical analysis of the limit order book and the order flow in the Paris Bourse
    • in press
    • BIAIS, B., HILLION, P., AND SPATT, C. (1995). An empirical analysis of the limit order book and the order flow in the Paris Bourse, J. Finance, in press.
    • (1995) J. Finance
    • Biais, B.1    Hillion, P.2    Spatt, C.3
  • 5
    • 0000836177 scopus 로고
    • Estimation of the bid-ask spread and its components: A new approach
    • GEORGE, T. J., KAUL, G., AND NIMALENDRAN, M. (1991). Estimation of the bid-ask spread and its components: A new approach, Rev. Finan. Stud. 4, 623-656.
    • (1991) Rev. Finan. Stud. , vol.4 , pp. 623-656
    • George, T.J.1    Kaul, G.2    Nimalendran, M.3
  • 6
    • 38249030378 scopus 로고
    • Estimating the components of the bid/ask spread
    • GLOSTEN, L. R., AND HARRIS, L. E. (1988). Estimating the components of the bid/ask spread, J. Finan. Econ. 21, 123-142.
    • (1988) J. Finan. Econ. , vol.21 , pp. 123-142
    • Glosten, L.R.1    Harris, L.E.2
  • 7
    • 0000621934 scopus 로고
    • Stock price clustering and discreteness
    • HARRIS, L. E. (1991). Stock price clustering and discreteness, Rev. Finan. Stud. 4, 389-415.
    • (1991) Rev. Finan. Stud. , vol.4 , pp. 389-415
    • Harris, L.E.1
  • 8
    • 21344483536 scopus 로고
    • Minimum price variations, discrete bid-ask spreads, and quotation sizes
    • HARRIS, L. E. (1994). Minimum price variations, discrete bid-ask spreads, and quotation sizes, Rev. Finan. Stud. 7, 149-178.
    • (1994) Rev. Finan. Stud. , vol.7 , pp. 149-178
    • Harris, L.E.1
  • 9
    • 0000731575 scopus 로고
    • Trades, quotes, inventories, and information
    • HASBROUCK, J., (1988). Trades, quotes, inventories, and information, J. Finan. Econ. 22, 229-252.
    • (1988) J. Finan. Econ. , vol.22 , pp. 229-252
    • Hasbrouck, J.1
  • 11
    • 84977730741 scopus 로고
    • Inferring trade direction from intraday data
    • LEE, C. M. C., AND READY, M. J. (1991). Inferring trade direction from intraday data, J. Finance 46, 733-746.
    • (1991) J. Finance , vol.46 , pp. 733-746
    • Lee, C.M.C.1    Ready, M.J.2
  • 13
    • 0001862522 scopus 로고
    • A Bayesian model of intraday specialist pricing
    • MADHAVAN, A., AND SMIDT, S. (1991). A Bayesian model of intraday specialist pricing, J. Finan. Econ. 30, 99-134.
    • (1991) J. Finan. Econ. , vol.30 , pp. 99-134
    • Madhavan, A.1    Smidt, S.2
  • 16
    • 84977734744 scopus 로고
    • Inferring the components of the bid-ask spread: Theory and empirical tests
    • STOLL, H. R. (1989). Inferring the components of the bid-ask spread: Theory and empirical tests, J. Finance 44, 115-134.
    • (1989) J. Finance , vol.44 , pp. 115-134
    • Stoll, H.R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.