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The Role of Tick Size in Upstairs Trading and Downstairs Trading
16 references·2 citing·41 second hop
The Role of Tick Size in Upstairs Trading and Downstairs Trading (1998)The Role of Tick Size in Upstairs Trading…Tick Size, Share Prices, and Stock Splits (1997)Tick Size, Share Prices, and …The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange (1997)The Impact of Decimalization …Quotes, Order Flow, and Price Discovery (1997)Quotes, Order Flow, and Price…Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules (1996)Transparency and Liquidity: A…Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Transparency and Liquidity: A…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Why do NASDAQ Market Makers A…Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes? (1994)Why Did NASDAQ Market Makers …Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes (1994)Minimum Price Variations, Dis…Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Stock Price Clustering and Discreteness (1991)Stock Price Clustering and Di…Liquidity and Market Structure (1988)Liquidity and Market StructurePrice, trade size, and information in securities markets (1987)Price, trade size, and inform…Consolidation, Fragmentation, and Market Performance (1987)Consolidation, Fragmentation,…Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread (1981)Transaction Costs, Order Plac…Stock Market Liquidity: Determinants and Implications * (2007)Stock Market Liquidity: Deter…Tick size and quote revisions on the NYSE (2002)Tick size and quote revisions…A Non-cooperative Equilibrium for Supergames (1971)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Presidential Address: Friction (2000)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)Inferring Trade Direction from Intraday Data (1991)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter™ (2013)Estimating the components of the bid/ask spread (1988)Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Corporate Governance and Liquidity (2010)The Cross-Section of Expected Stock Returns (1992)Advertising, Breadth of Ownership, and Liquidity (2003)The illusory nature of momentum profits (2003)The magical number seven, plus or minus two: Some limits on our capacity for processing information. (1956)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)The magical number seven, plus or minus two: Some limits on our capacity for processing information. (1994)Stock Splits, Tick Size, and Sponsorship (2000)Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong (2001)Does Algorithmic Trading Reduce Information Acquisition? (2017)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)The Cost of Transacting (1968)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Liquidity and stock returns: An alternative test (1998)A New Estimate of Transaction Costs (1999)Commonality in liquidity (2000)Trading and Exchanges: Market Microstructure for Practitioners (2002)The Determinants of Underpricing for Seasoned Equity Offers (2003)Realized Volatility: A Review (2008)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Transparency and Liquidity: A Controlled Experiment on Corporate Bonds (2006)Information Disclosure in Financial Markets (2017)
this work references cited by second hop

References

  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1994Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?746 cited
  • 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes603 cited
  • 1991Stock Price Clustering and Discreteness576 cited
  • 1996Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading545 cited
  • 1997Tick Size, Share Prices, and Stock Splits387 cited
  • 1981Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread372 cited
  • 1994Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes?343 cited
  • 1996Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules222 cited
  • 1997The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange221 cited

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1987
Consolidation, Fragmentation, and Market Performance
216 cited
  • 1997Quotes, Order Flow, and Price Discovery201 cited
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    • 2002Tick size and quote revisions on the NYSE28 cited
    • 2007Stock Market Liquidity: Determinants and Implications *23 cited