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Penny pricing and the components of spread and depth changes · Study

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ArticlePenny pricing and the components of spread and depth changes

Kee H. Chung2004

Article2004

Penny pricing and the components of spread and depth changes

Kee H. Chung · Charlie Charoenwong · David K. Ding

34 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Corporate Finance and Governance Finance, Markets, and Regulation

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References

1991Inferring Trade Direction from Intraday Data 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks 1978THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes 1991Stock Price Clustering and Discreteness 2003Trade Execution Costs and Market Quality after Decimalization 2003Issues in assessing trade execution costs 1999Limit orders and the bid–ask spread

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2008Share Repurchase Offers and Liquidity: An Examination of Temporary and Permanent Effects

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Year2004

Typearticle

Published2004-01-13

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations34

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2003.11.001

openalex_workW3124496887

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