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Security transaction taxes and market quality
Pomeranets, Anna; Weaver, Daniel G. - 2011
We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades. In contrast to theories of STT imposition as a means to reduce...
Persistent link: https://www.econbiz.de/10010279903
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The value of the specialist : empirical evidence from the CBOE
Anand, Amber; Weaver, Daniel G. - In: Journal of financial markets 9 (2006) 2, pp. 100-118
Persistent link: https://www.econbiz.de/10003326677
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Effect of the actual size rule under market stress
Porter, David C.; Simaan, Yusif E.; Weaver, Daniel G.; … - In: Review of quantitative finance and accounting 26 (2006) 2, pp. 87-103
Persistent link: https://www.econbiz.de/10003277966
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Dispersed trading and the prevention of market failure: the case of the Copenhagen Stock Exchange
Porter, David C.; Tanggaard, Carsten; Weaver, Daniel G.; … - In: European financial management : the journal of the … 14 (2008) 2, pp. 243-267
Persistent link: https://www.econbiz.de/10003694548
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Intra-dealer integration
Germain, Laurent; Kluger, Brian D.; Pungulescu, Crina; … - In: European financial management : the journal of the … 16 (2010) 4, pp. 507-527
Persistent link: https://www.econbiz.de/10008658829
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Removing biases in computed returns
Fisher, Lawrence Victor; Weaver, Daniel G.; Webb, … - In: Review of quantitative finance and accounting 35 (2010) 2, pp. 137-161
Persistent link: https://www.econbiz.de/10008990244
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Special issue: In memory of Lawrence Fisher
Weaver, Daniel G. (contributor);  … - 2010
Persistent link: https://www.econbiz.de/10008990245
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Security transaction taxes and market quality
Pomeranets, Anna; Weaver, Daniel G. - 2011
We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades. In contrast to theories of STT imposition as a means to reduce...
Persistent link: https://www.econbiz.de/10009377919
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The value of the floor
Weaver, Daniel G.; Zhou, Xing A. - In: Review of quantitative finance and accounting 35 (2010) 3, pp. 221-243
Persistent link: https://www.econbiz.de/10009260277
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Can order exposure be mandated?
Anand, Amber; Weaver, Daniel G. - In: Journal of financial markets 7 (2004) 4, pp. 405-426
Persistent link: https://www.econbiz.de/10002250777