Price effects of trading and components of the bid-ask spread on the Paris Bourse
- 1 June 1996
- journal article
- Published by Elsevier in Journal of Empirical Finance
- Vol. 3 (2) , 193-213
- https://doi.org/10.1016/0927-5398(95)00017-8
Abstract
No abstract availableThis publication has 27 references indexed in Scilit:
- Price, trade size, and information in securities marketsPublished by Elsevier ,2002
- An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris BourseThe Journal of Finance, 1995
- A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ InternationalEuropean Economic Review, 1995
- Is the Electronic Open Limit Order Book Inevitable?The Journal of Finance, 1994
- Institutional trades and intraday stock price behaviorJournal of Financial Economics, 1993
- Estimation of the Bid–Ask Spread and Its Components: A New ApproachThe Review of Financial Studies, 1991
- Why is Consumption So Smooth?The Review of Economic Studies, 1989
- Mean Reversion in Short-Horizon Expected ReturnsThe Review of Financial Studies, 1989
- How Big Is the Random Walk in GNP?Journal of Political Economy, 1988
- A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’Journal of Monetary Economics, 1981