메뉴 건너뛰기




Volumn 60, Issue 6, 2005, Pages 2955-2985

Financial market design and the equity premium: Electronic versus floor trading

Author keywords

[No Author keywords available]

Indexed keywords


EID: 28244482621     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2005.00822.x     Document Type: Article
Times cited : (132)

References (40)
  • 1
    • 0013068840 scopus 로고    scopus 로고
    • Illiquidity and stock returns
    • Amihud, Yakov, 2002, Illiquidity and stock returns, Journal of Financial Markets 5, 31-56.
    • (2002) Journal of Financial Markets , vol.5 , pp. 31-56
    • Amihud, Y.1
  • 3
    • 0031234564 scopus 로고    scopus 로고
    • Market microstructure and securities values: Evidence from the Tel Aviv stock exchange
    • Amihud, Yakov, Haim Mendelson, and Beni Lauterbach, 1997, Market microstructure and securities values: Evidence from the Tel Aviv stock exchange, Journal of Financial Economics 45, 365-390.
    • (1997) Journal of Financial Economics , vol.45 , pp. 365-390
    • Amihud, Y.1    Mendelson, H.2    Lauterbach, B.3
  • 4
    • 0032042128 scopus 로고    scopus 로고
    • The effects of transaction costs on stock prices and trading volume
    • Barclay, Michael, Eugene Kandel, and Leslie M. Marx, 1998, The effects of transaction costs on stock prices and trading volume, Journal of Financial Intermediation 7, 130-150.
    • (1998) Journal of Financial Intermediation , vol.7 , pp. 130-150
    • Barclay, M.1    Kandel, E.2    Marx, L.M.3
  • 5
    • 84993905064 scopus 로고
    • Time-varying world market integration
    • Bekaert, Geert, and Campbell Harvey, 1995, Time-varying world market integration, Journal of Finance 50, 403-444.
    • (1995) Journal of Finance , vol.50 , pp. 403-444
    • Bekaert, G.1    Harvey, C.2
  • 6
    • 0040212676 scopus 로고    scopus 로고
    • Foreign speculators and emerging equity markets
    • Bekaert, Geert, and Campbell Harvey, 2000, Foreign speculators and emerging equity markets, Journal of Finance 55, 565-613.
    • (2000) Journal of Finance , vol.55 , pp. 565-613
    • Bekaert, G.1    Harvey, C.2
  • 8
    • 0041672311 scopus 로고    scopus 로고
    • The world price of insider trading
    • Bhattacharya, Utpal, and Hazem Daouk, 2002, The world price of insider trading, Journal of Finance 57, 75-108.
    • (2002) Journal of Finance , vol.57 , pp. 75-108
    • Bhattacharya, U.1    Daouk, H.2
  • 9
    • 84935806911 scopus 로고
    • A capital asset pricing model with time-varying covariances
    • Bollerslev, Tim, Robert Engle, and Jeffrey Wooldrige, 1988, A capital asset pricing model with time-varying covariances, Journal of Political Economy 96, 116-131.
    • (1988) Journal of Political Economy , vol.96 , pp. 116-131
    • Bollerslev, T.1    Engle, R.2    Wooldrige, J.3
  • 10
    • 0030191751 scopus 로고    scopus 로고
    • Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
    • Brennan, Michael J., and Avanidhar Subrahmanyam, 1996, Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, Journal of Financial Economics 41, 441-464.
    • (1996) Journal of Financial Economics , vol.41 , pp. 441-464
    • Brennan, M.J.1    Subrahmanyam, A.2
  • 12
    • 1842763582 scopus 로고    scopus 로고
    • International evidence on institutional trading behavior and determinants of price impact
    • Chiyachantana, Chiraphol N., Pankaj K. Jain, Christine Jiang, and Robert A. Wood, 2004, International evidence on institutional trading behavior and determinants of price impact, Journal of Finance 59, 865-894.
    • (2004) Journal of Finance , vol.59 , pp. 865-894
    • Chiyachantana, C.N.1    Jain, P.K.2    Jiang, C.3    Wood, R.A.4
  • 13
    • 84936823769 scopus 로고
    • Capital market equilibrium with transaction costs
    • Constantinides, George M., 1986, Capital market equilibrium with transaction costs, Journal of Political Economy 94, 842-862.
    • (1986) Journal of Political Economy , vol.94 , pp. 842-862
    • Constantinides, G.M.1
  • 16
    • 1142298741 scopus 로고    scopus 로고
    • Innovation in equity trading systems: The impact on transactions costs and cost of capital
    • Richard Nelson, David Victor, and Benn Steil, eds.: Princeton University Press, Princeton, NJ
    • Domowitz, Ian, and Benn Steil, 2001, Innovation in equity trading systems: The impact on transactions costs and cost of capital, in Richard Nelson, David Victor, and Benn Steil, eds.: Technological Innovation and Economic Performance (Princeton University Press, Princeton, NJ).
    • (2001) Technological Innovation and Economic Performance
    • Domowitz, I.1    Steil, B.2
  • 17
    • 2442609381 scopus 로고    scopus 로고
    • Information and the cost of capital
    • Easley, David, and Maureen O'Hara, 2004, Information and the cost of capital, Journal of Finance 59, 1553-1583.
    • (2004) Journal of Finance , vol.59 , pp. 1553-1583
    • Easley, D.1    O'Hara, M.2
  • 18
    • 0001264648 scopus 로고
    • Estimating time varying risk premia in the term structure: The ARCH-M model
    • Engle, Robert, David Lilien, and Russell Robins, 1987, Estimating time varying risk premia in the term structure: The ARCH-M model, Econometrica 55, 391-407.
    • (1987) Econometrica , vol.55 , pp. 391-407
    • Engle, R.1    Lilien, D.2    Robins, R.3
  • 20
    • 0043187700 scopus 로고    scopus 로고
    • Information diffusion in electronic and floor trading
    • Franke, Gunter, and Dieter Hess, 2000, Information diffusion in electronic and floor trading, Journal of Empirical Finance 7, 455-478.
    • (2000) Journal of Empirical Finance , vol.7 , pp. 455-478
    • Franke, G.1    Hess, D.2
  • 21
    • 28244468256 scopus 로고    scopus 로고
    • Euromoney Books and Salomon Smith Barney
    • Guide to World Equity Markets, 1997 and 2001, Euromoney Books and Salomon Smith Barney.
    • (1997) Guide to World Equity Markets
  • 23
    • 0008919779 scopus 로고    scopus 로고
    • Stock market liberalization, economic reform, and emerging market equity prices
    • Henry, Peter B., 2000, Stock market liberalization, economic reform, and emerging market equity prices, Journal of Finance 55, 529-564.
    • (2000) Journal of Finance , vol.55 , pp. 529-564
    • Henry, P.B.1
  • 24
    • 25544434566 scopus 로고    scopus 로고
    • Institutional design and liquidity on stock exchanges around the world
    • University of Memphis
    • Jain, Pankaj, 2004, Institutional design and liquidity on stock exchanges around the world, Working paper, University of Memphis.
    • (2004) Working Paper
    • Jain, P.1
  • 25
    • 0003450039 scopus 로고    scopus 로고
    • A century of stock market liquidity and trading cost
    • Columbia University
    • Jones, Charles, 2001, A century of stock market liquidity and trading cost, Working Paper, Columbia University.
    • (2001) Working Paper
    • Jones, C.1
  • 26
    • 84993901781 scopus 로고
    • The effect of market segmentation and illiquidity on asset prices: Evidence from exchange listings
    • Kadlec, Gregory B., and John J. McConnell, 1994, The effect of market segmentation and illiquidity on asset prices: Evidence from exchange listings, Journal of Finance 69, 611-636.
    • (1994) Journal of Finance , vol.69 , pp. 611-636
    • Kadlec, G.B.1    McConnell, J.J.2
  • 27
    • 0043175172 scopus 로고    scopus 로고
    • Continuous trading or call auctions: Revealed preferences of investors at Tel Aviv Stock Exchange
    • Kalay, Avner, Lei Wei, and Avi Wohl, 2002, Continuous trading or call auctions: Revealed preferences of investors at Tel Aviv Stock Exchange, Journal of Finance 57, 523-542.
    • (2002) Journal of Finance , vol.57 , pp. 523-542
    • Kalay, A.1    Wei, L.2    Wohl, A.3
  • 28
    • 0000603420 scopus 로고    scopus 로고
    • An empirical analysis of NYSE specialist trading
    • Madhavan, Ananth, and George Sofianos, 1997, An empirical analysis of NYSE specialist trading, Journal of Financial Economics 48, 189-210.
    • (1997) Journal of Financial Economics , vol.48 , pp. 189-210
    • Madhavan, A.1    Sofianos, G.2
  • 29
    • 0037851237 scopus 로고    scopus 로고
    • Market microstructure and security values: Evidence from the Paris Bourse
    • Muscarella, Chris, and Michael S. Piwowar, 2001, Market microstructure and security values: Evidence from the Paris Bourse, Journal of Financial Markets 4, 209-229.
    • (2001) Journal of Financial Markets , vol.4 , pp. 209-229
    • Muscarella, C.1    Piwowar, M.S.2
  • 30
    • 0142188102 scopus 로고    scopus 로고
    • Liquidity and price discovery
    • O'Hara, Maureen, 2003, Liquidity and price discovery, Journal of Finance 58, 1335-1354.
    • (2003) Journal of Finance , vol.58 , pp. 1335-1354
    • O'Hara, M.1
  • 31
    • 0003293357 scopus 로고    scopus 로고
    • Transparency and liquidity: A comparison of auction and dealer markets with informed trading
    • Pagano, Marco, and Ailsa Roell, 1996, Transparency and liquidity: A comparison of auction and dealer markets with informed trading, Journal of Finance 51, 579-611.
    • (1996) Journal of Finance , vol.51 , pp. 579-611
    • Pagano, M.1    Roell, A.2
  • 32
    • 0041402718 scopus 로고    scopus 로고
    • Liquidity risk and expected stock returns
    • Pastor, Lubos, and Robert F. Stambaugh, 2003, Liquidity risk and expected stock returns, Journal of Political Economy 111, 642-685.
    • (2003) Journal of Political Economy , vol.111 , pp. 642-685
    • Pastor, L.1    Stambaugh, R.F.2
  • 34
    • 0003939782 scopus 로고    scopus 로고
    • Globalization of equity markets and cost of capital
    • Stulz, Rene, 1999, Globalization of equity markets and cost of capital, NYSE Working paper 99-02.
    • (1999) NYSE Working Paper , vol.99 , Issue.2
    • Stulz, R.1
  • 35
    • 84861274337 scopus 로고    scopus 로고
    • Asset prices and liquidity: The impact of endogenous trading
    • Swan, Peter L., and Joakim Westerholm, 2002, Asset prices and liquidity: The impact of endogenous trading, SSRN Working paper, http://ssrn.com/abstract= 300766.
    • (2002) SSRN Working Paper
    • Swan, P.L.1    Westerholm, J.2
  • 36
    • 28244468749 scopus 로고    scopus 로고
    • Floor versus screen trading: Evidence from the German Stock Market
    • University of Bonn
    • Theissen, Erik, 2001, Floor versus screen trading: Evidence from the German Stock Market, Working paper, University of Bonn.
    • (2001) Working Paper
    • Theissen, E.1
  • 37
    • 28244491781 scopus 로고    scopus 로고
    • Regional stock market integration in China and Hong Kong
    • Discussion paper No. 16
    • Tiehang, Niu, 1996, Regional stock market integration in China and Hong Kong, Consulting Assistance on Economic Reform (CAER II), Discussion paper No. 16.
    • (1996) Consulting Assistance on Economic Reform (CAER II)
    • Tiehang, N.1
  • 38
    • 0032354194 scopus 로고    scopus 로고
    • Transaction costs and asset prices: A dynamic equilibrium model
    • Vayanos, Dimitri, 1998, Transaction costs and asset prices: A dynamic equilibrium model, Review of Financial Studies 11, 1-58.
    • (1998) Review of Financial Studies , vol.11 , pp. 1-58
    • Vayanos, D.1
  • 39
    • 0039147415 scopus 로고    scopus 로고
    • Automated versus floor trading: An analysis of execution costs on the Paris and New York Exchanges
    • Venkataraman, Kumar, 2001, Automated versus floor trading: An analysis of execution costs on the Paris and New York Exchanges, Journal of Finance 56, 1445-1485.
    • (2001) Journal of Finance , vol.56 , pp. 1445-1485
    • Venkataraman, K.1
  • 40
    • 84888200398 scopus 로고    scopus 로고
    • formerly known as the International Federation of Stock Exchanges - FIBV
    • World Federation of Exchanges' (formerly known as the International Federation of Stock Exchanges - FIBV) archives at www.fibv.com.
    • World Federation of Exchanges


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.