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Price effects of trading and components of the bid-ask spread on the Paris Bourse · Study

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ArticlePrice effects of trading and components of the bid-ask spread on the Paris Bourse

Theo E. Nijman1996

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Articlegreen1996

Price effects of trading and components of the bid-ask spread on the Paris Bourse

Theo E. Nijman · Ailsa A. Röell

117 citations·0/0 files stored·Journal of Empirical Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1980Macroeconomics and Reality 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’1987Price, trade size, and information in securities markets 1991Measuring the Information Content of Stock Trades 1977Dummy Endogenous Variables in a Simultaneous Equation System

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1995A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International 2002The components of the bid–ask spread in a limit-order market: evidence from the Tokyo Stock Exchange 2005Aggressive Orders and the Resiliency of a Limit Order Market 2015Emergence of statistically validated financial intraday lead-lag relationships 2006Liquidity adjusted value-at-risk based on the components of the bid-ask spread

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199622 Modeling market microstructure time serieschapter · 18 shared references 2002The components of the bid–ask spread in a limit-order market: evidence from the Tokyo Stock Exchangearticle · 16 shared references 2003Market Microstructurechapter · 16 shared references 1999Symposium on Market Microstructure: A Review of Empirical Researcharticle · 15 shared references 2003Chapter 17 Microstructure and asset pricingchapter · 13 shared references 1997High frequency data in financial markets: Issues and applicationsarticle · 12 shared references

Details

Year1996

Typearticle

Published1996-06-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations117

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0927-5398(95)00017-8

openalex_workW2031753669

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2001Transaction Costs and Market Quality: Open Outcry Versus Electronic Trading

2003Trader Anonymity, Price Formation and Liquidity

2015Why do carbon prices and price volatility change?