Does the order processing cost model sufficiently captures market structural changes: historical evidence from India?
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- Amihud, Yakov & Mendelson, Haim, 1987. "Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-553, July.
- Roll, Richard, 1984. "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-1139, September.
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More about this item
Keywords
Order Processing Cost Model; Badlasystem; Roll's Model; Bid ask spread Model; Order processing cost model; Inventory cost model; Adverse selection model; Purchase & Selling of Securities;All these keywords.
JEL classification:
- D4 - Microeconomics - - Market Structure, Pricing, and Design
- G00 - Financial Economics - - General - - - General
- G1 - Financial Economics - - General Financial Markets
- N2 - Economic History - - Financial Markets and Institutions
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