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Volumn 9, Issue 4, 2006, Pages 433-447

Hybrid markets, tick size and investor trading costs

Author keywords

[No Author keywords available]

Indexed keywords


EID: 33749354048     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.finmar.2006.02.004     Document Type: Article
Times cited : (10)

References (22)
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  • 2
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    • Order submission strategies liquidity supply, and trading in pennies on the New York Stock Exchange
    • Bacidore J., Battalio R., and Jennings R. Order submission strategies liquidity supply, and trading in pennies on the New York Stock Exchange. Journal of Financial Markets 6 (2003) 337-362
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  • 4
    • 85081442393 scopus 로고    scopus 로고
    • Bollen, N.P.B., Busse, J., 2005. Do smaller tick sizes benefit small investors? Working paper, Vanderbilt University and Emory University.
  • 6
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    • Chakravarty, S., Harris, S., Wood, R., 2001. Decimal trading and market impact. Working paper, Purdue University.
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    • 85081452098 scopus 로고    scopus 로고
    • Chakravarty, S., Panchapagesan, V., Wood, R., 2003. Institutional trading patterns and price impact around decimalization. Working paper, Purdue University.
  • 8
    • 85081444191 scopus 로고    scopus 로고
    • Chou, R., Lee, W., 2003. Decimalization and market quality. Working paper, National Central University and Ching-Yun Institute of Technology.
  • 9
    • 85081448531 scopus 로고    scopus 로고
    • Coughenour, J., Harris, L., 2004. Specialist profits and the minimum price increment. Working paper, U.S. Securities and Exchange Commission.
  • 10
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    • Foucault, T., Kadan, O., Kandel, E., 2003. Limit order book as a market for liquidity. Working paper, HEC.
  • 12
    • 0345401653 scopus 로고
    • Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
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    • (1985) Journal of Financial Economics , vol.21 , pp. 71-100
    • Glosten, L.1    Milgrom, P.2
  • 13
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    • Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE
    • Goldstein M., and Kavajecz K. Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE. Journal of Financial Economics 56 (2000) 125-149
    • (2000) Journal of Financial Economics , vol.56 , pp. 125-149
    • Goldstein, M.1    Kavajecz, K.2
  • 14
    • 85081452304 scopus 로고    scopus 로고
    • Harris, L.E., 1996. Does a large minimum price variation encourage order exposure? Working paper, University of Southern California.
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    • 0003256425 scopus 로고    scopus 로고
    • Sixteenths: direct evidence on institutional execution costs
    • Jones C., and Lipson M. Sixteenths: direct evidence on institutional execution costs. Journal of Financial Economics 59 (2001) 253-278
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    • Jones, C.1    Lipson, M.2
  • 16
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    • Price dynamics in limit order markets
    • Parlour C. Price dynamics in limit order markets. Review of Financial Studies 11 (1998) 789-816
    • (1998) Review of Financial Studies , vol.11 , pp. 789-816
    • Parlour, C.1
  • 17
    • 0038515615 scopus 로고    scopus 로고
    • Liquidity-based competition for order flow
    • Parlour C., and Seppi D. Liquidity-based competition for order flow. Review of Financial Studies 16 (2003) 301-343
    • (2003) Review of Financial Studies , vol.16 , pp. 301-343
    • Parlour, C.1    Seppi, D.2
  • 18
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    • Rock, K., 1990. The specialist's order book and price anomalies. Working paper, Harvard University.
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    • Rosu, I., 2005. A dynamic model of the limit order book. Working paper, University of Chicago.
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    • Smith, B.F., Alasdair, D., Turnbull, S., White, R.W., 2005. The impact of pennies on the market quality of the Toronto Stock Exchange. The Financial Review, forthcoming.


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