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Volumn 52, Issue 1, 1997, Pages 221-244

Quotes, order flow, and price discovery

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0040833101     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.2307/2329562     Document Type: Article
Times cited : (109)

References (32)
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  • 6
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    • Minimum price variations, discrete bid-ask spreads, and quotation sizes
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    • Harris, L.1
  • 8
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    • One security, many markets: Determining the contributions to price discovery
    • Hasbrouck, Joel, 1994, One security, many markets: Determining the contributions to price discovery, The Journal of Finance 50, 1175-1199.
    • (1994) The Journal of Finance , vol.50 , pp. 1175-1199
    • Hasbrouck, J.1
  • 10
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    • Trading returns, bid-ask spreads and estimated security returns: The case of common stocks at calendar turning points
    • Keim, Donald B., 1989, Trading returns, bid-ask spreads and estimated security returns: The case of common stocks at calendar turning points, Journal of Financial Economics 25, 75-97.
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    • Keim, D.B.1
  • 11
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    • Market integration and price execution for NYSE-listed securities
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  • 12
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    • Lee, C.M.C.1    Ready, M.J.2
  • 16
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    • Which way to a national market system?
    • Mendelson, Morris, and Junius W. Peake, 1979, Which way to a national market system?, Financial Analysts Journal 35, 31-34, 37-42.
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  • 21
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  • 27
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    • Release No. 34-36310
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  • 28
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  • 29
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  • 31
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    • July 10
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    • Stern, R.L.1


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