Market orders and market efficiency

Journal of Finance

Volumn 52, Issue 1, 1997, Pages 277-308

  Brown, David P ^a   Zhang, Zhi Ming ^b  

^a INDIANA UNIVERSITY   (United States)

^b UNIVERSITY OF UTAH   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040516942     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.2307/2329564     Document Type: Article

References (24)

1. Admati, Anat, 1985, A noisy rational expectations equilibrium for multi-asset security markets, Econometrica 53, 629-657.
2. Admati, Anat, and Paul Pfleiderer, 1991, Sunshine trading and financial market equilibrium, Review of Financial Studies 4, 443-481.
3. Bagehot, Walter, 1971, The only game in town, Financial Analysts' Journal 27, 12-14, 22.
4. Brown, David P., and Robert H. Jennings, 1989, On technical analysis, Review of Financial Studies 2, 527-551.
5. Chiang, Raymond C., Gerald D. Gay, and Robert W. Kolb, 1987, Commodity exchange seat prices, Review of Futures Markets 6, 1-10.
6. Dhillon, Upinder S., Dennis J. Lasser, and T. Watanabe, 1995, Volatility, information, and double auction versus Walrasian auction pricing: Evidence from U.S. and Japanese futures markets, Working paper, State University of New York-Binghamton.
7. Diamond, Douglas W., and Robert E. Verrecchia, 1981, Information aggregation in a noisy rational expectations economy, Journal of Financial Economics 9, 221-235.
8. Gennotte, Gerard, and Hayne Leland, 1990, Market liquidity, hedging, and crashes, The American Economic Review 80, 999-1021.
9. Glosten, Lawrence R., 1994, Is the electronic open limit order book inevitable? Journal of Finance 49, 1127-1161.
10. Glosten, Lawrence R., and Paul R. Milgrom, 1985, Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics 14, 71-100.
11. Grossman, Sanford, 1986, An analysis of the role of insider trading on futures markets, Journal of Business 59, S129-S146.
12. Grossman, Sanford, and Joseph Stiglitz, 1980, On the impossibility of informationally efficient markets, The American Economic Review 70, 393-408.
13. Grossman, Sanford, and Merton Miller, 1988, Liquidity and market structure, Journal of Finance 43, 617-633.
14. Hellwig, Martin F., 1980, On the aggregation of information in competitive markets, Journal of Economic Theory 22, 477-498.
15. Holden, Craig W., and Avandihar Subrahmanyam, 1992, Long-lived private information and imperfect competition, Journal of Finance 47, 247-270.
16. Kyle, Albert S., 1985, Continuous auctions and insider trading, Econometrica 53, 1315-1335.
17. Laffont, Jean-Jacques, 1985, On the welfare analysis of rational expectations equilibria with asymmetric information, Econometrica 53, 1-30.
18. Manaster, Steven M., and Steven Mann, 1995, Sources of market making profit: Man cannot live by spread alone, Working paper, University of Utah.
19. Pagano, Marco, and Alisa Röell, 1996, Transparency and liquidity: A comparison of auction and dealer markets with informed trading, Journal of Finance 51, 579-612.
20. Röell, Alisa 1990, Dual-capacity trading and the quality of the market, Journal of Financial Intermediation 1, 105-124.
21. Schwert, G. W., 1977, Stock exchange seats as capital assets, Journal of Financial Economics 4, 51-78.
22. Subrahmanyam, Avandihar, 1991, Risk aversion, market liquidity, and price efficiency, The Review of Financial Studies 4, 417-442.
23. Vives, Xavier, 1995, The speed of information revelation in a financial market mechanism, Journal of Economic Theory 67, 178-204.
24. Wang, Jiang, 1993, A model of intertemporal asset prices under asymmetric information, Review of Economic Studies 60, 249-282.