Add to ORKGGiampiero M. Gallo for discussions and suggestions. We are grateful to Halbert White for the data. This paper has also benefited from comments of seminar participants at ESSEC, France, 1999. We are solely responsible for any error. The views expressed herein are those of the authors and not necessarily those o
Under fairly basic rationales, this paper provides a more general microstructure model of price quot...
Information asymmetries are an important element in the functioning of capital markets. An indirect ...
We investigate the puzzle of why bid–ask spreads of options are so large by focussing on the price i...
In this paper, we examine the impact of market activity on the percentage bid-ask spreads of S&P...
In this paper, we examine the impact of market activity on the percentage bid-ask spreads of S&P 100...
We investigate the puzzle of why bid-ask spreads of options are so large by focussing on the price i...
The need to understand and measure market maker bid/ask spreads is crucial in evaluating the merits ...
The need to understand and measure market maker bid/ask spreads is crucial in evaluating the merits ...
This paper develops a cross-market model to extend Huang and Stoll (1997) by utilizing information f...
This paper develops a cross-market model to extend Huang and Stoll (1997) by utilizing information f...
The need to understand and measure market maker bid/ask spreads is crucial in evaluating the merits ...
* Corresponding author We acknowledge the provision of data by the Securities Industry Research Cent...
Prior research documents an elevation in bid-ask spreads at the open and close of trading in futures...
We analyze the components of the bid-ask spread in the Athens Stock Exchange (ASE), which was recent...
The issue of transaction costs is the mainstay of the equity market microstructure. Research in the ...
Under fairly basic rationales, this paper provides a more general microstructure model of price quot...
Information asymmetries are an important element in the functioning of capital markets. An indirect ...
We investigate the puzzle of why bid–ask spreads of options are so large by focussing on the price i...
In this paper, we examine the impact of market activity on the percentage bid-ask spreads of S&P...
In this paper, we examine the impact of market activity on the percentage bid-ask spreads of S&P 100...
We investigate the puzzle of why bid-ask spreads of options are so large by focussing on the price i...
The need to understand and measure market maker bid/ask spreads is crucial in evaluating the merits ...
The need to understand and measure market maker bid/ask spreads is crucial in evaluating the merits ...
This paper develops a cross-market model to extend Huang and Stoll (1997) by utilizing information f...
This paper develops a cross-market model to extend Huang and Stoll (1997) by utilizing information f...
The need to understand and measure market maker bid/ask spreads is crucial in evaluating the merits ...
* Corresponding author We acknowledge the provision of data by the Securities Industry Research Cent...
Prior research documents an elevation in bid-ask spreads at the open and close of trading in futures...
We analyze the components of the bid-ask spread in the Athens Stock Exchange (ASE), which was recent...
The issue of transaction costs is the mainstay of the equity market microstructure. Research in the ...
Under fairly basic rationales, this paper provides a more general microstructure model of price quot...
Information asymmetries are an important element in the functioning of capital markets. An indirect ...
We investigate the puzzle of why bid–ask spreads of options are so large by focussing on the price i...