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Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market

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Cited by:

  1. Hegde, Shantaram P. & McDermott, John B., 2004. "The market liquidity of DIAMONDS, Q's, and their underlying stocks," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1043-1067, May.
  2. Sirimon Treepongkaruna & Tim Brailsford & Stephen Gray, 2014. "Explaining the bid-ask spread in the foreign exchange market: A test of alternate models," Australian Journal of Management, Australian School of Business, vol. 39(4), pages 573-591, November.
  3. Peter G. Dunne, 2019. "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities," JRFM, MDPI, vol. 12(2), pages 1-25, April.
  4. Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
  5. Ajina, Aymen & Habib, Aymen, 2017. "Examining the relationship between earning management and market liquidity," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1164-1172.
  6. Blau, Benjamin M., 2018. "Does religiosity affect liquidity in financial markets?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 19(C), pages 72-83.
  7. Vijay Bhasin & Rebel A. Cole & Joseph K. Kiely, "undated". "Changes in REIT Liquidity 1990-94: Evidence from Intra-day Transactions," Finance and Economics Discussion Series 1996-22, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
  8. Pronk, M., 2002. "Market liquidity around earnings announcements," Other publications TiSEM 3e22cd8d-f7eb-4c28-9275-8, Tilburg University, School of Economics and Management.
  9. Aritra Pan & Arun Kumar Misra & David McMillan, 2021. "A comprehensive study on bid-ask spread and its determinants in India," Cogent Economics & Finance, Taylor & Francis Journals, vol. 9(1), pages 1898735-189, January.
  10. Gkillas, Konstantinos & Vortelinos, Dimitrios I. & Babalos, Vassilios & Wohar, Mark E., 2021. "Day-of-the-week effect and spread determinants: Some international evidence from equity markets," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 268-288.
  11. Tao Zhang & Larry A. Cox & Robert A. Van Ness, 2009. "Adverse Selection and the Opaqueness of Insurers," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(2), pages 295-321, June.
  12. Agrawal, Vipin & Kothare, Meeta & Rao, Ramesh K. S. & Wadhwa, Pavan, 2004. "Bid-ask spreads, informed investors, and the firm's financial condition," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 58-76, February.
  13. M. Frömmel & F Van Gysegem, 2014. "Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/878, Ghent University, Faculty of Economics and Business Administration.
  14. Kalaitzoglou, Iordanis Angelos & Ibrahim, Boulis Maher, 2015. "Liquidity and resolution of uncertainty in the European carbon futures market," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 89-102.
  15. William O. Brown, Jr. & J. Harold Mulherin & Marc D. Weidenmier, 2006. "Competing With the NYSE," NBER Working Papers 12343, National Bureau of Economic Research, Inc.
  16. Blennerhassett, Michael & Bowman, Robert G., 1998. "A change in market microstructure: the switch to electronic screen trading on the New Zealand stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 261-276, December.
  17. Chung, Kee H. & Kim, Youngsoo, 2005. "The dynamics of dealer markets and trading costs," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3041-3059, December.
  18. Ghassan Omet, 2001. "The Cost of Transacting in the Jordanian Capital Market," Working Papers 0101, Economic Research Forum, revised 01 Apr 2001.
  19. Kojo Menyah & Krishna Paudyal, 1996. "The Determinants And Dynamics Of Bid-Ask Spreads On The London Stock Exchange," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(3), pages 377-394, September.
  20. Naomi Boyd, 2015. "Market making and risk management in options markets," Review of Derivatives Research, Springer, vol. 18(1), pages 1-27, April.
  21. Gębka, Bartosz & Wohar, Mark E., 2013. "The determinants of quantile autocorrelations: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 51-61.
  22. Babbel, David F. & Merrill, Craig B. & Meyer, Mark F. & de Villiers, Meiring, 2004. "The Effect of Transaction Size on Off-the-Run Treasury Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(3), pages 595-611, September.
  23. G. G. Booth & P. Iversen & S. K. Sarkar & H. Schmidt & A. Young, 1999. "Market structure and bid-ask spreads: IBIS vs Nasdaq," The European Journal of Finance, Taylor & Francis Journals, vol. 5(1), pages 51-71.
  24. Lucy Lim, 2016. "Dual-class versus single-class firms: information asymmetry," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 763-791, May.
  25. Zhang, Wei & Huang, Ke & Feng, Xu & Zhang, Yongjie, 2017. "Market maker competition and price efficiency: Evidence from China," Economic Modelling, Elsevier, vol. 66(C), pages 121-131.
  26. Cheng Guo & Jinwu Gao, 2017. "Optimal dealer pricing under transaction uncertainty," Journal of Intelligent Manufacturing, Springer, vol. 28(3), pages 657-665, March.
  27. Pham, Son D. & Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2021. "The liquidity of active ETFs," Global Finance Journal, Elsevier, vol. 49(C).
  28. Paresh Kumar Narayan & Sagarika Mishra & Seema Narayan, 2015. "New empirical evidence on the bid-ask spread," Applied Economics, Taylor & Francis Journals, vol. 47(42), pages 4484-4500, September.
  29. Shantaram P. Hegde & John B. McDermott, 2004. "Firm Characteristics as Cross‐sectional Determinants of Adverse Selection," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1097-1124, September.
  30. Kee, H. Chung & McInish, Thomas H. & Wood, Robert A. & Wyhowski, Donald J., 1995. "Production of information, information asymmetry, and the bid-ask spread: Empirical evidence from analysts' forecasts," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1025-1046, September.
  31. Davis, Jeffry L & Lightfoot, Lois E, 1998. "Fragmentation versus Consolidation of Securities Trading: Evidence from the Operation of Rule 19c-3," Journal of Law and Economics, University of Chicago Press, vol. 41(1), pages 209-238, April.
  32. 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.
  33. Gerald A. Blum & William A. Kracaw & Wilbur G. Lewellen, 1986. "Determinants Of The Execution Costs Of Common Stock Trades By Individual Investors," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(4), pages 291-301, December.
  34. Luke Bortoli & Alex Frino & Elvis Jarnecic, 2004. "Differences in the Cost of Trade Execution Services on Floor-Based and Electronic Futures Markets," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(1), pages 73-87, August.
  35. Chan, Howard Wei-Hong & Pinder, Sean M., 2000. "The value of liquidity: Evidence from the derivatives market," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 483-503, July.
  36. Roberto Pascual & Alvaro Escribano & Mikel Tapia, 2004. "On the bi-dimensionality of liquidity," The European Journal of Finance, Taylor & Francis Journals, vol. 10(6), pages 542-566.
  37. Michael Aitken & Amaryllis Kua & Philip Brown & Terry Watter & H. Y. Izan, 1995. "An Intraday Analysis of the Probability of Trading on the ASX at the Asking Price," Australian Journal of Management, Australian School of Business, vol. 20(2), pages 115-154, December.
  38. Massimo Ferrari & Stéphanie Stolz & Michael Wedow, 2019. "Do primary dealer funding constraints impact sovereign bond liquidity and yields: evidence for nine Euro area countries," Empirical Economics, Springer, vol. 56(6), pages 1855-1891, June.
  39. Hatch, Brian C. & Johnson, Shane A., 2002. "The impact of specialist firm acquisitions on market quality," Journal of Financial Economics, Elsevier, vol. 66(1), pages 139-167, October.
  40. Datar, Vinay T. & Y. Naik, Narayan & Radcliffe, Robert, 1998. "Liquidity and stock returns: An alternative test," Journal of Financial Markets, Elsevier, vol. 1(2), pages 203-219, August.
  41. Bollen, Nicolas P. B. & Smith, Tom & Whaley, Robert E., 2004. "Modeling the bid/ask spread: measuring the inventory-holding premium," Journal of Financial Economics, Elsevier, vol. 72(1), pages 97-141, April.
  42. J. Ernest Tanner & Jonathan B. Pritchett, 1992. "The Effect Of Trading Halts On Excess Returns During Periods Of System Overload," Review of Financial Economics, John Wiley & Sons, vol. 1(2), pages 1-16, March.
  43. Kee H. Chung & Xin Zhao, 2004. "Making a Market with Spreads and Depths," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1069-1097, September.
  44. Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York.
  45. Narayan, Paresh Kumar & Mishra, Sagarika & Narayan, Seema, 2014. "Spread determinants and the day-of-the-week effect," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 51-60.
  46. Ali R. Almutairi & Kimberly A. Dunn & Terrance Skantz, 2009. "Auditor tenure, auditor specialization, and information asymmetry," Managerial Auditing Journal, Emerald Group Publishing, vol. 24(7), pages 600-623, July.
  47. Iordanis Angelos Kalaitzoglou & Boulis Maher Ibrahim, 2015. "Liquidity and resolution of uncertainty in the European carbon futures market," Post-Print hal-01107956, HAL.
  48. David C. Porter & Carsten Tanggaard & Daniel G. Weaver & Wei Yu, 2008. "Dispersed Trading and the Prevention of Market Failure: the Case of the Copenhagen Stock Exchange," European Financial Management, European Financial Management Association, vol. 14(2), pages 243-267, March.
  49. Martin M. Andreasen & Jens H.E. Christensen & Simon Riddell, 2017. "The TIPS Liquidity Premium," CREATES Research Papers 2017-27, Department of Economics and Business Economics, Aarhus University.
  50. Wei, Jason & Zheng, Jinguo, 2010. "Trading activity and bid-ask spreads of individual equity options," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2897-2916, December.
  51. Alex Frino & Dionigi Gerace & Andrew Lepone, 2008. "Limit order book, anonymity and market liquidity: evidence from the Sydney Futures Exchange," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(4), pages 561-573, December.
  52. Gray, Stephen F. & Smith, Tom & Whaley, Robert E., 2003. "Stock splits: implications for investor trading costs," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 271-303, May.
  53. Duong Nguyen & Tribhuvan Puri, 2014. "Information asymmetry and accounting restatement: NYSE-AMEX and NASDAQ evidence," Review of Quantitative Finance and Accounting, Springer, vol. 43(2), pages 211-244, August.
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