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Do bid-ask spreads or bid and ask depths convey new information first?

Chakravarty, Sugato (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001914542

Opening prices on the ASX and the SES

McInish, Thomas H.; Frino, Alex; Lau Sie Ting - 1995

Persistent link: https://www.econbiz.de/10000602533

The liquidity of automated exchanges : new evidence from German Bund futures

Frino, Alex; McInish, Thomas H.; Toner, Martin - In: Journal of international financial markets, … 8 (1998) 3/4, pp. 225-241

Persistent link: https://www.econbiz.de/10001445739

Bid-ask spreads, information asymmetry, and abnormal investor sentiment : evidence from closed-end funds

Chen, Jeng-Hong; Jiang, Christine X.; Kim, Jang-Chul; … - In: Review of quantitative finance and accounting 21 (2003) 4, pp. 303-321

Persistent link: https://www.econbiz.de/10001857666

An examination of minimum tick sizes on the Tokyo stock exchange

Ascioglu, Asli; Comerton-Forde, Carole; McInish, Thomas H. - In: Japan and the world economy : international journal of … 22 (2010) 1, pp. 40-48

Persistent link: https://www.econbiz.de/10009272713

Market illiquidity and conditional equity premium

Guo, Hui; Mortal, Sandra; Savickas, Robert; Wood, Robert A. - In: Financial management 46 (2017) 3, pp. 743-766

Persistent link: https://www.econbiz.de/10011751779

Decimal trading and market impact

Chakravarty, Sugato (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001915143

Adverse selection costs for NASDAQ and NYSE after decimalization

Jiang, Christine X.; Kim, Jang-chul; Wood, Robert A. - In: International review of financial analysis 18 (2009) 4, pp. 205-211

NYSE and NASDAQ completed their decimalization on January 29, 2001 and on April 9, 2001 respectively. In this paper, we compare adverse selection component of the bid–ask spread for NASDAQ and NYSE stocks after decimalization using the data from May 2001 and July 2001. We find that the adverse...

Persistent link: https://www.econbiz.de/10003921098

A comparison of volatility and bid-ask spread for NASDAQ and NYSE after decimalization

Jiang, Christine X.; Kim, Jang-chul; Wood, Robert A. - In: Applied economics 43 (2011) 10/12, pp. 1227-1239

Persistent link: https://www.econbiz.de/10009239433

Why effective spreads on NASDAQ were higher than on the New York stock exchange in the 1990s

Benston, George J.; Wood, Robert A. - In: Journal of empirical finance 15 (2008) 1, pp. 17-40

Persistent link: https://www.econbiz.de/10003692963