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A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International
16 references·16 citing·33 second hopsampled
A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International (1995)A comparison of the cost of trading Frenc…Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Transparency and Liquidity: A…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Trading Mechanisms in Securities Markets (1992)Trading Mechanisms in Securit…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Estimation of the Bid–Ask Spread and Its Components: A New Approach (1991)Estimation of the Bid–Ask Spr…A Bayesian model of intraday specialist pricing (1991)A Bayesian model of intraday …An ordered probit analysis of transaction stock prices (1990)An ordered probit analysis of…Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Inferring the Components of t…On the Estimation of Bid-Ask Spreads: Theory and Evidence (1988)On the Estimation of Bid-Ask …Estimating the components of the bid/ask spread (1988)Estimating the components of …Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …The Only Game in Town (1971)The Only Game in TownWhy do carbon prices and price volatility change? (2015)Why do carbon prices and pric…Centralised order books versus hybrid order books: A paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange) (2007)Centralised order books versu…Liquidity adjusted value-at-risk based on the components of the bid-ask spread (2006)Liquidity adjusted value-at-r…Aggressive Orders and the Resiliency of a Limit Order Market (2005)Aggressive Orders and the Res…The impact of electronic trading on bid‐ask spreads: Evidence from futures markets in Hong Kong, London, and Sydney (2004)The impact of electronic trad…The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse (2003)The Role of Transaction Costs…Measuring and Explaining Liquidity on an Electronic Limit Order Book: Evidence from Reuters D2000-2 (2001)Measuring and Explaining Liqu…Information diffusion in electronic and floor trading (2000)Information diffusion in elec…Trading volumes and transaction costs in the foreign exchange market (1999)Trading volumes and transacti…The total cost of trading Belgian shares: Brussels versus London (1999)The total cost of trading Bel…Merging Markets (1999)Merging MarketsPrice discovery in high and low volatility periods: open outcry versus electronic trading (1998)Price discovery in high and l…Splitting Orders (1997)Splitting OrdersA further investigation of the lead-lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France (1996)A further investigation of th…22 Modeling market microstructure time series (1996)22 Modeling market microstruc…Ex‐Day Behavior: Tax or Short‐Term Trading Effects (1995)Ex‐Day Behavior: Tax or Short…Using daily stock returns (1985)Market liquidity and volume around earnings announcements (1994)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)The Behavior of Stock-Market Prices (1965)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)No Single Currency Regime is Right for All Countries or At All Times (1999)Liquidity and Asset Prices (2006)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Noise Trader Risk in Financial Markets (1990)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
  • 1971The Only Game in Town855 cited
  • 1991Estimation of the Bid–Ask Spread and Its Components: A New Approach594 cited
  • 1996Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading545 cited
  • 1990An ordered probit analysis of transaction stock prices418 cited
  • 1992Trading Mechanisms in Securities Markets356 cited
  • 1991A Bayesian model of intraday specialist pricing336 cited

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  • 1988On the Estimation of Bid-Ask Spreads: Theory and Evidence238 cited
  • Cited by

    • 1999Merging Markets112 cited
    • 199622 Modeling market microstructure time series107 cited
    • 2005Aggressive Orders and the Resiliency of a Limit Order Market106 cited
    • 1995Ex‐Day Behavior: Tax or Short‐Term Trading Effects99 cited
    • 1998Price discovery in high and low volatility periods: open outcry versus electronic trading96 cited
    • 1999Trading volumes and transaction costs in the foreign exchange market94 cited
    • 1996A further investigation of the lead-lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France83 cited
    • 1997Splitting Orders80 cited
    • 2006Liquidity adjusted value-at-risk based on the components of the bid-ask spread76 cited
    • 2004The impact of electronic trading on bid‐ask spreads: Evidence from futures markets in Hong Kong, London, and Sydney58 cited
    • 2015Why do carbon prices and price volatility change?49 cited
    • 2007Centralised order books versus hybrid order books: A paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)48 cited
    • 2003The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse47 cited
    • 2001Measuring and Explaining Liquidity on an Electronic Limit Order Book: Evidence from Reuters D2000-242 cited
    • 2000Information diffusion in electronic and floor trading41 cited
    • 1999The total cost of trading Belgian shares: Brussels versus London41 cited