Do dealers infer information from order flow?

Journal of Financial Research

Volumn 30, Issue 2, 2007, Pages 181-200

  Chakrabarty, Bidisha ^a  

^a SAINT LOUIS UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34250834578     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.2007.00209.x     Document Type: Article

References (19)

1. Barclay, M. J., T. Hendershott, and T. D. McCormick, 2001, Electronic communications networks and market quality, Working paper, University of Rochester.
2. Chung, K. and S. Y. Cho, 2005, Security analysis and market making, Journal of Financial Intermediation 1, 114 41.
3. Chung, K. H., C. Chuwonganant, and T. D. McCormick, 2004, Order preferencing and market quality on NASDAQ before and after decimalization, Journal of Financial Economics 71, 581 612.
4. Dickey, D. A. and W. A. Fuller, 1979, Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association 74, 427 31.
5. Engle, R. F. and C. W. Granger, 1987, Cointegration and error correction: Representation, estimation and testing, Econometrica 55, 251 76.
6. Engle, R. F. and A. Patton, 2002, Impact of trades in an error correction model of quote prices, Working paper, University of California-San Diego.
7. Hamilton, J. D., 1996, Time Series Analysis (Princeton University Press, Princeton, NJ).
8. Hasbrouck, J., 1995, One security, many markets: Determining the contributions to price discovery, Journal of Finance 50, 1175 99.
9. Holtz-Eakin, D., W. Newey, and H. S. Rosen, 1988, Estimating vector autoregressions with panel data, Econometrica 56, 1371 95.
10. Hortacsu, A. and S. Sareen, 2005, Order flow and the formation of dealer bids: Information flows and strategic behavior in the government of Canada securities auctions, NBER Working Paper No. 11116.
11. Huang, R. D., 2002, The quality of ECN and NASDAQ market maker quotes, Journal of Finance 57, 1285 1319.
12. Johansen, S., 1988, Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control 12, 231 54.
13. Johansen, S. and K. Juselius, 1990, Maximum likelihood estimation and inference on cointegration with applications to the demand for money, Oxford Bulletin of Statistics, 169 210.
14. Leach, J. C. and A. N. Madhavan, 1992, Intertemporal price discovery by market makers: Active versus passive learning, Journal of Financial Intermediation 2, 207 35.
15. Leach, J. C. and A. N. Madhavan, 1993, Price experimentation and security market structure, Review of Financial Studies 6, 375 404.
16. Locke, P. R. and P. Sarajoti, 2004, Interdealer trading in futures markets, Journal of Futures Markets 24, 923 44.
17. Massa, M. and A. Simonov, 2003, Reputation and dealers' trading: A microstructure analysis of the Treasury bond market, Journal of Financial Markets 6, 99 141.
18. Schultz, P. H., 2001, The market for market making, Working paper, University of Notre Dame.
19. Wang, A. and J. Chae, 2003, Who makes markets? The role of dealers and liquidity provision, MIT Sloan Working Paper No. 4434-03.