create a website

Participation strategy of the NYSE specialists to the posted quotes. (2010). Köksal, Bülent ; Koksal, Bulent .
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:21:y:2010:i:3:p:314-331.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 35

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Admati, Anat R. ; Pfleiderer, Paul Divide and conquer: A theory of intraday and day-of-the-week mean effects. 1989 Review of Financial Studies. 2 189-223

  2. Altman, Micah ; Gill, Jeff ; McDonald, Michael P. Numerical issues in statistical computing for the social scientist. 2004 John Wiley & Sons, Inc.: New Jersey
    Paper not yet in RePEc: Add citation now
  3. Boehmer, Ekkehart ; Saar, Gideon ; Yu, Lei Lifting the veil: An analysis of pre-trade transparency at the NYSE. 2005 Journal of Finance. 60 783-815

  4. Bondarenko, Oleg ; Sung, Jaeyoung Specialist participation and limit orders. 2003 Journal of Financial Markets. 6 539-571

  5. Chung, Kee H. ; Van Ness, Bonnie F. ; Van Ness, Robert A. Limit orders and the bid-ask spread. 1999 Journal of Financial Economics. 53 255-287

  6. Coughenour, Jay F., & Harris, Lawrence E. (2003). Specialist profits and minimum price increment. Working Paper, University of Delaware.
    Paper not yet in RePEc: Add citation now
  7. Dufour, Alfonso ; Engle, Robert F. Time and the price impact of a trade. 2000 Journal of Finance. 55 2467-2498

  8. Dupont, Dominique Market making, prices, and quantity limits. 2000 Review of Financial Studies. 13 1129-1151

  9. Easley, David ; Kiefer, Nicholas M. ; O’Hara, Maureen One day in the life of a very common stock. 1997 Review of Financial Studies. 10 805-835

  10. Easley, David ; O’Hara, Maureen Time and the process of security price adjustment. 1992 Journal of Finance. 47 576-605

  11. Ellul, Andrew ; Holden, Craig W. ; Jain, Pankaj ; Jennings, Robert Order dynamics: Recent evidence from the Nyse. 2007 Journal of Empirical Finance. 14 636-661

  12. Engle, Robert F. ; Russell, Jeffrey R. Autoregressive conditional duration: A new model for irregularly spaced transaction data. 1998 Econometrica. 66 1127-1162

  13. Harris, Larry Trading and exchanges: Market microstructure for practitioners. 2003 Oxford University Press:
    Paper not yet in RePEc: Add citation now
  14. Harris, Lawrence E. Minimum price variations, discrete bid-ask spreads, and quotation sizes. 1994 Review of Financial Studies. 7 149-178

  15. Harris, Lawrence E. ; Panchapagesan, Venkatesh The information content of the limit order book: Evidence from NYSE specialist trading decisions. 2005 Journal of Financial Markets. 8 25-67

  16. Hasbrouck, Joel ; Sofianos, George The trades of market makers: An empirical analysis of NYSE specialists. 1993 Journal of Finance. 48 1565-1593

  17. Hasbrouck, Joel. (1992). Using the TORQ database. Working Paper, New York University.
    Paper not yet in RePEc: Add citation now
  18. Hendershott, Terrence ; Seasholes, Mark S. Market maker inventories and stock prices. 2007 American Economic Review. 97 210-214

  19. Ho, Thomas S.Y. ; Macris, Richard G. Dealer bid-ask quotes and transaction prices: An empirical study of some AMEX options. 1984 Journal of Finance. 39 23-45

  20. Kavajecz, Kenneth A. A specialist's quoted depth and the limit order book. 1999 Journal of Finance. 54 747-771

  21. Kavajecz, Kenneth A. ; Odders-White, Elizabeth R. An examination of changes in specialists’ posted price schedules. 2001 Review of Financial Studies. 14 681-704
    Paper not yet in RePEc: Add citation now
  22. Kyle, Albert S. Continuous auctions and insider trading. 1985 Econometrica. 53 1315-1335

  23. Lee, Charles M.C. ; Mucklow, Belinda ; Ready, Mark J. Spreads, depths, and the impact of earnings information: An intraday analysis. 1993 Review of Financial Studies. 6 345-374

  24. Lee, Charles M.C. ; Ready, Mark J. Inferring trade direction from intraday data. 1991 Journal of Finance. 46 733-746

  25. Lyons, Richard K. Profits and position control: A week of FX dealing. 1998 Journal of International Money and Finance. 17 97-115

  26. Madhavan, Ananth ; Smidt, Seymour A Bayesian model of intraday specialist pricing. 1991 Journal of Financial Economics. 30 99-134

  27. Madhavan, Ananth ; Smidt, Seymour An analysis of changes in specialist inventories and quotations. 1993 Journal of Finance. 48 1595-1628

  28. Madhavan, Ananth ; Sofianos, George An empirical analysis of NYSE specialist trading. 1998 Journal of Financial Economics. 48 189-210

  29. Manaster, Steven ; Mann, Steven C. Life in the pits: Competitive market making and inventory control. 1996 Review of Financial Studies. 9 953-975

  30. NYSE, New York Stock Echange, INC. Constitution and Rules. 1999 CCH Incorporated: Chicago, IL
    Paper not yet in RePEc: Add citation now
  31. Panayides, Marios Affirmative obligations and market making with inventory. 2007 Journal of Financial Economics. 86 513-542

  32. Ready, Mark J. The specialist's discretion: Stopped orders and price improvement. 1999 Review of Financial Studies. 12 1075-1112

  33. Seppi, Duane J. Liquidity provision with limit orders and a strategic specialist. 1997 Review of Financial Studies. 10 103-150

  34. Sofianos, George ; Werner, Ingrid M. The trades of NYSE floor brokers. 2000 Journal of Financial Markets. 3 139-176

  35. Stoll, Hans R. The supply of dealer services in securities markets. 1978 Journal of Finance. 33 1133-1151

Cocites

Documents in RePEc which have cited the same bibliography

  1. The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets. (2022). Williams, Julian ; Malagon, Juliana ; Nie, Jing.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:42:y:2022:i:8:p:1434-1465.

    Full description at Econpapers || Download paper

  2. Heterogeneity and Competition in Fragmented Markets: Fees Vs Speed. (2021). Tapia, Mikel ; Penalva, Jose S.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:28:y:2021:i:2:p:143-177.

    Full description at Econpapers || Download paper

  3. Long-term reversals in the corporate bond market. (2021). Bali, Turan G ; Wen, Quan ; Subrahmanyam, Avanidhar.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:139:y:2021:i:2:p:656-677.

    Full description at Econpapers || Download paper

  4. Ordinal-response models for irregularly spaced transactions: A forecasting exercise. (2020). Tsionas, Mike ; Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim.
    In: MPRA Paper.
    RePEc:pra:mprapa:103250.

    Full description at Econpapers || Download paper

  5. Liquidity in the German stock market. (2019). Theissen, Erik ; Scharnowski, Stefan ; Zimmermann, Lukas ; Westheide, Christian ; Johann, Thomas.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1902.

    Full description at Econpapers || Download paper

  6. Liquidity in the German Stock Market. (2019). Theissen, Erik ; Johann, Thomas ; Scharnowski, Stefan ; Zimmermann, Lukas ; Westheide, Christian.
    In: Schmalenbach Business Review.
    RePEc:spr:schmbr:v:71:y:2019:i:4:d:10.1007_s41464-019-00079-6.

    Full description at Econpapers || Download paper

  7. How does FX liquidity affect the relationship between foreign ownership and stock liquidity?. (2019). Lee, Ji Eun ; Ryu, Doojin.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:39:y:2019:i:c:p:101-119.

    Full description at Econpapers || Download paper

  8. The Twitter myth revisited: Intraday investor sentiment, Twitter activity and individual-level stock return volatility. (2018). Behrendt, Simon ; Schmidt, Alexander.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:96:y:2018:i:c:p:355-367.

    Full description at Econpapers || Download paper

  9. Asymmetric information and the distribution of trading volume. (2018). Lof, Matthijs ; van Bommel, Jos.
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:2018_001.

    Full description at Econpapers || Download paper

  10. Asymmetric information and the distribution of trading volume. (2018). Lof, Matthijs ; van Bommel, Jos.
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:001.

    Full description at Econpapers || Download paper

  11. Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets. (2015). Ledenyov, Dimitri.
    In: MPRA Paper.
    RePEc:pra:mprapa:67470.

    Full description at Econpapers || Download paper

  12. The impact of ECB macro-announcements on bid–ask spreads of European blue chips. (2015). Ruhl, Tobias R. ; Stein, Michael.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:31:y:2015:i:c:p:54-71.

    Full description at Econpapers || Download paper

  13. Characteristics of takeover targets that trigger insider trading investigations. (2014). Marciniak, Marek ; Madura, Jeff.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:24:y:2014:i:1:p:1-18.

    Full description at Econpapers || Download paper

  14. Anomalías en la autocorrelación de rendimientos y la importancia de los periodos de no transacción en mercados latinoamericanos. (2013). Werner, Kristjanpoller Rodriguez .
    In: Contaduría y Administración.
    RePEc:nax:conyad:v:58:y:2013:i:1:p:37-62.

    Full description at Econpapers || Download paper

  15. Specialists as risk managers: The competition between intermediated and non-intermediated markets. (2011). Mao, Wen ; Pagano, Michael S..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:1:p:51-66.

    Full description at Econpapers || Download paper

  16. Stochastic resonance and the trade arrival rate of stocks. (2010). Yen, Ju-Yi ; Silva, Christian A..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:10:y:2010:i:5:p:461-466.

    Full description at Econpapers || Download paper

  17. Participation strategy of the NYSE specialists to the posted quotes. (2010). Köksal, Bülent ; Koksal, Bulent .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:21:y:2010:i:3:p:314-331.

    Full description at Econpapers || Download paper

  18. Participation Strategy of the NYSE Specialists to the Trades. (2008). Köksal, Bülent ; Bulent, Koksal .
    In: MPRA Paper.
    RePEc:pra:mprapa:30512.

    Full description at Econpapers || Download paper

  19. Financial analysts and price discovery. (2008). McInish, Thomas ; Aitken, Michael ; Almeida, Niall ; Frederick H. deB. Harris, .
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:48:y:2008:i:1:p:1-24.

    Full description at Econpapers || Download paper

  20. Return autocorrelation anomalies in two European stock markets. (2007). Blandon, Jose Garcia.
    In: Revista de Analisis Economico – Economic Analysis Review.
    RePEc:ila:anaeco:v:22:y:2007:i:1:p:59-70.

    Full description at Econpapers || Download paper

  21. Strategic Trading with Market Closures. (2006). Livdan, Dmitry ; Boulatov, Alexei.
    In: 2006 Meeting Papers.
    RePEc:red:sed006:44.

    Full description at Econpapers || Download paper

  22. An empirical analysis of specialist trading behavior at the New York Stock Exchange. (2006). Benediktsdottir, Sigridur.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:876.

    Full description at Econpapers || Download paper

  23. Specialist Risk Attitudes and the Bid‐Ask Spread. (2005). Prucyk, Brian .
    In: The Financial Review.
    RePEc:bla:finrev:v:40:y:2005:i:2:p:223-255.

    Full description at Econpapers || Download paper

  24. Estimating the profit markup component of the bid-ask spread: evidence from the London Stock Exchange. (2004). Wright, Robert ; Levin, Eric J..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:44:y:2004:i:1:p:1-19.

    Full description at Econpapers || Download paper

  25. High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market. (2004). Tyurin, Konstantin.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:579.

    Full description at Econpapers || Download paper

  26. Ex Post Voluntary Disclosure Strategies for Insiders*. (2003). Smith, Michael J ; Levine, Carolyn B.
    In: Contemporary Accounting Research.
    RePEc:wly:coacre:v:20:y:2003:i:4:p:719-746.

    Full description at Econpapers || Download paper

  27. The Information Content in Trades of Inactive Nasdaq Stocks. (2003). Chen, Peter ; Man, Kasing ; Wu, Chunchi.
    In: Journal of Entrepreneurial Finance.
    RePEc:pep:journl:v:8:y:2003:i:2:p:25-53.

    Full description at Econpapers || Download paper

  28. Price discovery in the pre-opening period. theory and evidence from the madrid stock exchange. (2003). Manzano, Carolina ; Brusco, Sandro ; Tapia, Mikel.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb035814.

    Full description at Econpapers || Download paper

  29. Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?. (2002). Chakravarty, Sugato ; Wood, Robert A. ; Frederick H. deB. Harris, .
    In: Econometrics.
    RePEc:wpa:wuwpem:0201003.

    Full description at Econpapers || Download paper

  30. New findings regarding return autocorrelation anomalies and the importance of non-trading periods. (2001). Garcia-Blandon, Josep.
    In: Economics Working Papers.
    RePEc:upf:upfgen:585.

    Full description at Econpapers || Download paper

  31. Marketmaking in the Laboratory: Does Competition Matter?. (2001). Weber, Martin ; Krahnen, Jan.
    In: Experimental Economics.
    RePEc:kap:expeco:v:4:y:2001:i:1:p:55-85.

    Full description at Econpapers || Download paper

  32. Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market. (2001). .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:2:y:2001:i:4:p:387-417.

    Full description at Econpapers || Download paper

  33. Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York. (2000). Menkveld, Albert ; Hupperets, Erik .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20000018.

    Full description at Econpapers || Download paper

  34. Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions. (1999). Hautsch, Nikolaus.
    In: CoFE Discussion Papers.
    RePEc:zbw:cofedp:9903.

    Full description at Econpapers || Download paper

  35. Round-the-clock market efficiency and home bias: Evidence from the international Japanese government bonds futures markets. (1999). Tse, Yiuman.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:23:y:1999:i:12:p:1831-1860.

    Full description at Econpapers || Download paper

  36. The Optimal Enforcement of Insider Trading Regulations. (1998). DeMarzo, Peter ; Peter M. DeMarzo, Michael J. Fishman,, ; HAGERTY, KATHLEEN M..
    In: Journal of Political Economy.
    RePEc:ucp:jpolec:v:106:y:1998:i:3:p:602-632.

    Full description at Econpapers || Download paper

  37. US day-of-the-week effects and asymmetric responses to macroeconomic news. (1998). Ravichandran, R. ; Pinegar, Michael J. ; Chang, Eric C..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:22:y:1998:i:5:p:513-534.

    Full description at Econpapers || Download paper

  38. Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange. (1998). Tonks, Ian ; snell, andy.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:5:y:1998:i:1:p:1-25.

    Full description at Econpapers || Download paper

  39. Demand uncertainty, endogenous timing and costly waiting : jumping the gun in competitive markets. (1998). Peck, James.
    In: Working papers.
    RePEc:att:wimass:199822.

    Full description at Econpapers || Download paper

  40. Price Crashes, Information Aggregation, and Market-Making,. (1997). Scheinkman, Jose ; Madrigal, Vicente.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:75:y:1997:i:1:p:16-63.

    Full description at Econpapers || Download paper

  41. High frequency data in financial markets: Issues and applications. (1997). O'Hara, Maureen ; Goodhart, Charles A. E., .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:4:y:1997:i:2-3:p:73-114.

    Full description at Econpapers || Download paper

  42. Intraday periodicity and volatility persistence in financial markets. (1997). Bollerslev, Tim ; Andersen, Torben.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158.

    Full description at Econpapers || Download paper

  43. The day-of-the-week effect: The international evidence. (1996). Louvet, P. ; Dubois, M..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:20:y:1996:i:9:p:1463-1484.

    Full description at Econpapers || Download paper

  44. One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System. (1995). Payne, Richard ; Ito, Takatoshi ; Goodhart, Charles.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0179.

    Full description at Econpapers || Download paper

  45. International stock price spillovers and market liberalization: evidence from Korea, Japan, and the United States. (1995). Rogers, John ; Kim, Sang W..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:499.

    Full description at Econpapers || Download paper

  46. International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States. (1995). Rogers, John ; Kim, Sang W..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:2:y:1995:i:2:p:117-133.

    Full description at Econpapers || Download paper

  47. A STATISTICAL MODEL OF CHANGES IN ASSET PRICES EMPLOYING INTRADAY DATA: A RECURSIVE APPROACH. (1993). Fletcher, Roy A.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:2:y:1993:i:2:p:43-58.

    Full description at Econpapers || Download paper

  48. Tests of Microstructural Hypotheses in the Foreign Exchange Market. (1993). Lyons, Richard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4471.

    Full description at Econpapers || Download paper

  49. An Ordered Probit Analysis of Transaction Stock Prices. (1991). Lo, Andrew ; Hausman, Jerry ; MacKinlay, Craig A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3888.

    Full description at Econpapers || Download paper

  50. An ordered probit analysis of transaction stock prices. (1990). Lo, Andrew ; Hausman, Jerry.
    In: Working papers.
    RePEc:mit:sloanp:2331.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-06 16:28:21 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.