Co-Movements in Bid-Ask Spreads and Market Depth

Financial Analysts Journal

Volumn 56, Issue 5, 2000, Pages 23-27

  Chordia, Tarun ^b   Roll, Richard ^a   Subrahmanyam, Avanidhar ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0347939372     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v56.n5.2386     Document Type: Article

References (10)

1. Benston, G.J., and R.L. Hagerman. 1974. "Determinants of Bid-Asked Spreads in the Over-the-Counter Market." Journal of Financial Economics, vol. 1, no. 4 (December):353-364.
2. Chalmers, J.M.R., and G.B. Kadlec. 1998. "An Empirical Examination of the Amortized Spread." Journal of Financial Economics, vol. 48, no. 2 (May):159-188.
3. Chordia, T., R.W. Roll, and A. Subrahmanyam. 2000a. "Commonality in Liquidity." Journal of Financial Economics, vol. 56, no. 1 (April):3-28.
4. _. 2000b. "Market Liquidity and Trading Activity." Working paper, Anderson Graduate School of Management, University of California, Los Angeles (May 2000).
5. Fama, Eugene F., and James D. MacBeth. 1973. "Risk, Return, and Equilibrium: Empirical Tests." Journal of Political Economy, vol. 81, no. 3:607-636.
6. Glosten, L.R., and P.R. Milgrom. 1985. "Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders." Journal of Financial Economics, vol. 14, no. 1 (March):71-100.
7. Roll, R.W. 1988. "The International Crash of October 1987." Financial Analysts Journal, vol. 44, no. 5 (September/ October):19-35.
8. Stoll, H.R. 1978. "The Supply of Dealer Services in Securities Markets." Journal of Finance, vol. 33, no. 4 (September):1133-51.
9. Wall Street Journal. 1998. "Illiquidity Is Crippling Bond World." (October 19):C1.
10. Wood, R.L., T.H. McInish, and J.K. Ord. 1985. "An Investigation of Transactions Data for NYSE Stocks." Journal of Finance, vol. 40, no. 3 (July):723-739.