Coughenour, Jay; Shastri, Kuldeep - In: The Financial Review 34 (1999) 4, pp. 1-27
This paper provides a review of empirical research in four topics within the area of market microstructure. Specifically, the paper provides an overview of issues related to (a) the estimation of the components of the bid-ask spread, (b) the effects of order flow and regulation on market...