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Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange
16 references·2 citing·43 second hop
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References

  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 2005Do Domestic Investors Have an Information Advantage? Evidence from Indonesia603 cited
  • 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes603 cited
  • 1996Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading545 cited
  • 1992Trading Mechanisms in Securities Markets426 cited
  • 1999Market Transparency: Who Wins and Who Loses?390 cited
  • 2005Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE362 cited
  • 1993Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets358 cited
  • 1992Trading Mechanisms in Securities Markets356 cited
  • 2005Should securities markets be transparent?308 cited
  • 1996Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules222 cited
  • 1999Quote Disclosure and Price Discovery in Multiple-Dealer Financial Markets205 cited
  • 1986Futures Price Variability: A Test of Maturity and Volume Effects191 cited
  • 1996Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules167 cited
  • 2005

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Who Benefits from an Open Limit‐Order Book?
155 cited
  • 2004Can order exposure be mandated?70 cited
  • Cited by

    • 2011Limit Order Books21 cited
    • 2020The market quality of commodity futures markets20 cited