The Effect of the Transparency of Order Flows in a Dealer Market with Several Securities
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
- Admati, Anat R & Pfleiderer, Paul, 1991. "Sunshine Trading and Financial Market Equilibrium," The Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 443-481.
- Biais, Bruno, 1993. "Price Information and Equilibrium Liquidity in Fragmented and Centralized Markets," Journal of Finance, American Finance Association, vol. 48(1), pages 157-185, March.
- Fishman, Michael J & Longstaff, Francis A, 1992. "Dual Trading in Futures Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 643-671, June.
- Roell, Ailsa, 1990. "Dual-capacity trading and the quality of the market," Journal of Financial Intermediation, Elsevier, vol. 1(2), pages 105-124, June.
- Pagano, Marco & Roell, Ailsa, 1996. "Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading," Journal of Finance, American Finance Association, vol. 51(2), pages 579-611, June.
- Caballe, Jordi & Krishnan, Murugappa, 1994. "Imperfect Competition in a Multi-security Market with Risk Neutrality," Econometrica, Econometric Society, vol. 62(3), pages 695-704, May.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
- Madhavan, Ananth, 1992.
"Trading Mechanisms in Securities Markets,"
Journal of Finance, American Finance Association, vol. 47(2), pages 607-641, June.
- Ananth N. Madhavan, "undated". "Trading Mechanisms in Securities Markets," Rodney L. White Center for Financial Research Working Papers 16-90, Wharton School Rodney L. White Center for Financial Research.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Montserrat Ferré & Carolina Manzano, 2009.
"When do central banks prefer to intervene secretly?,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(4), pages 378-393.
- Ferré Carracedo, Montserrat & Manzano, Carolina, 2007. "When do central banks prefer to intervene secretly?," Working Papers 2072/5317, Universitat Rovira i Virgili, Department of Economics.
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.- Manzano, Carolina, 1999. "Integration versus segmentation in a dealer market," DEE - Working Papers. Business Economics. WB 6514, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Ramadorai, Tarun, 2006. "Persistence, Performance and Prices in Foreign Exchange Markets," CEPR Discussion Papers 5861, C.E.P.R. Discussion Papers.
- Ariadna Dumitrescu, 2010. "Liquidity and Optimal Market Transparency," European Financial Management, European Financial Management Association, vol. 16(4), pages 599-623, September.
- Tarun Ramadorai, 2008. "What determines transaction costs in foreign exchange markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 14-25.
- Giovanni Cespa, 2004.
"A Comparison of Stock Market Mechanisms,"
RAND Journal of Economics, The RAND Corporation, vol. 35(4), pages 803-824, Winter.
- Giovanni Cespa, 2001. "A comparison of stock market mechanisms," Economics Working Papers 545, Department of Economics and Business, Universitat Pompeu Fabra, revised Nov 2003.
- Giovanni Cespa, 2015. "A comparison of stock market mechanisms," Working Papers 50, Barcelona School of Economics.
- Giovanni Cespa, 2003. "A Comparison of Stock Market Mechanism," CSEF Working Papers 94, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Hargis, Kent & Ramanlal, Pradipkumar, 1998. "When Does Internationalization Enhance the Development of Domestic Stock Markets?," Journal of Financial Intermediation, Elsevier, vol. 7(3), pages 263-292, July.
- repec:uts:finphd:34 is not listed on IDEAS
- Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
- Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
- Buti, Sabrina & Rindi, Barbara & Werner, Ingrid M., 2017. "Dark pool trading strategies, market quality and welfare," Journal of Financial Economics, Elsevier, vol. 124(2), pages 244-265.
- Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
- Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017, January-A.
- repec:dau:papers:123456789/9810 is not listed on IDEAS
- Archishman Chakraborty & Bilge Yilmaz, "undated".
"Nested Information and Manipulation in Financial Markets,"
Rodney L. White Center for Financial Research Working Papers
6-00, Wharton School Rodney L. White Center for Financial Research.
- Archishman Chakraborty & Bilge Yilmaz, "undated". "Nested Information and Manipulation in Financial Markets," Rodney L. White Center for Financial Research Working Papers 06-00, Wharton School Rodney L. White Center for Financial Research.
- Sugato Chakravarty & Asani Sarkar & Lifan Wu, 1997. "Estimating the adverse selection cost in markets with multiple informed traders," Research Paper 9713, Federal Reserve Bank of New York.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Locke, Peter R. & Sarkar, Asani & Wu, Lifan, 1999.
"Market Liquidity and Trader Welfare in Multiple Dealer Markets: Evidence from Dual Trading Restrictions,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(1), pages 57-88, March.
- Peter Locke & Asani Sarkar & Lifan Wu, 1997. "Market liquidity and trader welfare in multiple dealer markets: evidence from dual trading restrictions," Research Paper 9721, Federal Reserve Bank of New York.
- Fang Cai, 2009. "Trader Exploitation Of Order Flow Information During The Ltcm Crisis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(3), pages 261-284, September.
- Tom Grimstvedt Meling, 2021. "Anonymous Trading in Equities," Journal of Finance, American Finance Association, vol. 76(2), pages 707-754, April.
- Jiayi Li & Sumei Luo & Guangyou Zhou, 2021. "Call auction, continuous trading and closing price formation," Quantitative Finance, Taylor & Francis Journals, vol. 21(6), pages 1037-1065, June.
- Degryse, Hans, 1999.
"The total cost of trading Belgian shares: Brussels versus London,"
Journal of Banking & Finance, Elsevier, vol. 23(9), pages 1331-1355, September.
- Degryse, H.A., 1996. "The total cost of trading Belgian shares : Brussels versus London," Discussion Paper 1996-105, Tilburg University, Center for Economic Research.
- Degryse, Hans, 1997. "The Total Cost of Trading Belgian Shares: Brussels versus London," CEPR Discussion Papers 1581, C.E.P.R. Discussion Papers.
- Degryse, H.A., 1996. "The total cost of trading Belgian shares : Brussels versus London," Other publications TiSEM fbcdb1bf-1418-4dde-a0f4-5, Tilburg University, School of Economics and Management.
- Henke, Harald, 2006. "When continuous trading becomes continuous: The impact of institutional trading on the continuous trading system of the Warsaw Stock Exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(1), pages 110-132, February.
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:eee:jfinin:v:11:y:2002:i:2:p:212-227. 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/622875 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.