The Dealer And Market Concepts Of Bid-Ask Spread: A Comparison For Nasdaq Stocks
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Cohen, Kalman J & Maier, Steven F & Schwartz, Robert A & Whitcomb, David K, 1981. "Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread," Journal of Political Economy, University of Chicago Press, vol. 89(2), pages 287-305, April.
- Carlson, John A & McAfee, R Preston, 1983. "Discrete Equilibrium Price Dispersion," Journal of Political Economy, University of Chicago Press, vol. 91(3), pages 480-493, June.
- Hamilton, James L., 1976. "Competition, Scale Economies, and Transaction Cost in the Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(5), pages 779-802, December.
- Hamilton, James L., 1987. "Market information and price dispersion: Unlisted stocks and NASDAQ," Journal of Economics and Business, Elsevier, vol. 39(1), pages 67-80, February.
- Hamilton, James L, 1979. "Marketplace Fragmentation, Competition, and the Efficiency of the Stock Exchange," Journal of Finance, American Finance Association, vol. 34(1), pages 171-187, March.
- Burdett, Kenneth & Judd, Kenneth L, 1983. "Equilibrium Price Dispersion," Econometrica, Econometric Society, vol. 51(4), pages 955-969, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- K. Nyholm, 1999. "Estimation of the effective bid-ask spread on high frequency Danish bond data," The European Journal of Finance, Taylor & Francis Journals, vol. 5(2), pages 109-122.
- Alexandros Gabrielsen & Massimiliano Marzo & Paolo Zagaglia, 2011.
"Measuring market liquidity: An introductory survey,"
Papers
1112.6169, arXiv.org.
- Alexandros Gabrielsen & Massimiliano Marzo & Paolo Zagaglia, 2012. "Measuring Market Liquidity: An Introductory Survey," Working Paper series 02_12, Rimini Centre for Economic Analysis.
- Gabrielsen, Alexandros & Marzo, Massimiliano & Zagaglia, Paolo, 2011. "Measuring market liquidity: an introductory survey," MPRA Paper 35829, University Library of Munich, Germany.
- A. Gabrielsen & M. Marzo & P. Zagaglia, 2011. "Measuring market liquidity: An introductory survey," Working Papers wp802, Dipartimento Scienze Economiche, Universita' di Bologna.
- Porter, David C. & Thatcher, John G., 1998. "Fragmentation, competition, and limit orders: New evidence from interday spreads," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(1), pages 111-128.
- Stelios Katranidis & Theodore Panagiotidis & Costas Zontanos, 2014.
"An Evaluation Of The Greek Universities’ Economics Departments,"
Bulletin of Economic Research, Wiley Blackwell, vol. 66(2), pages 173-182, April.
- Stelios Katranidis & Theodore Panagiotidis & Costas Zontanos, 2012. "An Evaluation of the Greek Universities Economics Departments," Working Paper series 03_12, Rimini Centre for Economic Analysis.
- Stelios Katranidis & Theodore Panagiotidis & Costas Zontanos, 2012. "An evaluation of the Greek Universities Economics Departments," Discussion Paper Series 2012_01, Department of Economics, University of Macedonia, revised Jan 2012.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- W. Yang, 1999. "The Demand for and Supply of Shares. An Empirical Study of the Limit Order Book on the ASX," Economics Discussion / Working Papers 99-03, The University of Western Australia, Department of Economics.
- Ali Hortaçsu & Chad Syverson, 2004.
"Product Differentiation, Search Costs, and Competition in the Mutual Fund Industry: A Case Study of S&P 500 Index Funds,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 119(2), pages 403-456.
- Ali Hortacsu & Chad Syverson, 2003. "Product Differentiation, Search Costs, and Competition in the Mutual Fund Industry: A Case Study of the S&P 500 Index Funds," NBER Working Papers 9728, National Bureau of Economic Research, Inc.
- Burdett, Ken & Smith, Eric, 2010.
"Price distributions and competition,"
Economics Letters, Elsevier, vol. 106(3), pages 180-183, March.
- Kenneth Burdett & Eric Smith, 2009. "Price distributions and competition," FRB Atlanta Working Paper 2009-27, Federal Reserve Bank of Atlanta.
- Bruno Cesar Aurichio Ledo, 2011. "Competição Em Preços Entre Corretores Deseguros De Automóveis," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] 045, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Mitchell Berlin & Loretta J. Mester, 2004.
"Credit card rates and consumer search,"
Review of Financial Economics, John Wiley & Sons, vol. 13(1-2), pages 179-198.
- Berlin, Mitchell & Mester, Loretta J., 2004. "Credit card rates and consumer search," Review of Financial Economics, Elsevier, vol. 13(1-2), pages 179-198.
- Mitchell Berlin & Loretta J. Mester, 1987. "Credit card rates and consumer search," Working Papers 88-1, Federal Reserve Bank of Philadelphia.
- Joshua Sherman & Avi Weiss, 2017. "On Fruitful And Futile Tests Of The Relationship Between Search And Price Dispersion," Economic Inquiry, Western Economic Association International, vol. 55(4), pages 1898-1918, October.
- Álvarez, Francisco & Rey, José-Manuel, 2019. "(Quasi) uniqueness and restoring dynamics of price-dispersion market equilibria under search cost," Journal of Mathematical Economics, Elsevier, vol. 81(C), pages 1-13.
- Kam, Tai-Kong & Panchapagesan, Venkatesh & Weaver, Daniel G., 2003. "Competition among markets: The repeal of Rule 390," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1711-1736, September.
- Böheim, René & Hackl, Franz & Hölzl-Leitner, Michael, 2021.
"The impact of price adjustment costs on price dispersion in e-commerce,"
International Journal of Industrial Organization, Elsevier, vol. 77(C).
- René Böheim & Franz Hackl & Michael Hölzl-Leitner, 2019. "The impact of price adjustment costs on price dispersion in E-commerce," Economics working papers 2019-04, Department of Economics, Johannes Kepler University Linz, Austria.
- Böheim, René & Hackl, Franz & Hölzl-Leitner, Michael, 2019. "The impact of price adjustment costs on price dispersion in E-commerce," Department of Economics Working Paper Series 280, WU Vienna University of Economics and Business.
- René Böheim & Franz Hackl & Michael Hölzl-Leitner, 2019. "The Impact of Price Adjustment Costs on Price Dispersion in E-Commerce," CESifo Working Paper Series 7510, CESifo.
- Chudik, Alexander, 2012.
"A simple model of price dispersion,"
Economics Letters, Elsevier, vol. 117(1), pages 344-347.
- Alexander Chudik, 2012. "A simple model of price dispersion," Globalization Institute Working Papers 112, Federal Reserve Bank of Dallas.
- Ralph-C Bayer & Changxia Ke, 2011. "Are "Rockets and Feathers" Caused by Search or Informational Frictions," Working Papers are_rockets_and_feathers_, Max Planck Institute for Tax Law and Public Finance.
- Zhuang, Hejun & Popkowski Leszczyc, Peter T.L. & Lin, Yuanfang, 2018. "Why is Price Dispersion Higher Online than Offline? The Impact of Retailer Type and Shopping Risk on Price Dispersion," Journal of Retailing, Elsevier, vol. 94(2), pages 136-153.
- Stefany Moreno-Burbano & Andrés Vargas-Vargas & Juan Sebastián Vélez-Velásquez, 2019. "Interest rate dispersion in commercial loans," Borradores de Economia 1088, Banco de la Republica de Colombia.
- Ralph-C Bayer & Changxia Ke, 2010.
"Rockets and Feathers in the Laboratory,"
School of Economics and Public Policy Working Papers
2010-20, University of Adelaide, School of Economics and Public Policy.
- Ralph-C Bayer & Changxia Ke, 2011. "Rockets and Feathers in the Laboratory," Working Papers rockets_and_feathers_in_t, Max Planck Institute for Tax Law and Public Finance.
- J. Rupert Gatti, 2000. "Equilibrium Price Dispersion with Sequential Search," Econometric Society World Congress 2000 Contributed Papers 1368, Econometric Society.
- Sneha Bakshi, 2020. "Limits of price competition: cost asymmetry and imperfect information," International Journal of Game Theory, Springer;Game Theory Society, vol. 49(4), pages 913-932, December.
- Stephen McDonald & Colin Wren, 2017. "Consumer Search Ability, Price Dispersion and the Digital Divide," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(2), pages 234-250, April.
- Bruce I. Carlin & Florian Ederer, 2019.
"Search Fatigue,"
Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 54(3), pages 485-508, May.
- Bruce Ian Carlin & Florian Ederer, 2012. "Search Fatigue," NBER Working Papers 17895, National Bureau of Economic Research, Inc.
- Rauh, Michael T., 2009.
"Strategic complementarities and search market equilibrium,"
Games and Economic Behavior, Elsevier, vol. 66(2), pages 959-978, July.
- Michael T. Rauh, 2006. "Strategic Complementarities and Search Market Equilibrium," Working Papers 2006-01, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy.
- McCarthy, Ian M., 2016.
"Advertising intensity and welfare in an equilibrium search model,"
Economics Letters,
Elsevier, vol. 141(C), pages 20-26.
- Ian McCarthy, 2008. "Advertising Intensity and Welfare in an Equilibrium Search Model," Caepr Working Papers 2008-003, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:14:y:1991:i:2:p:129-139. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfaaaea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.