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Symposium on Market Microstructure: A Review of Empirical Research
Author(s) -
Coughenour Jay,
Shastri Kuldeep
Publication year - 1999
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1999.tb00467.x
Subject(s) - market microstructure , market liquidity , empirical research , financial economics , business , order (exchange) , stock market , market depth , economics , econometrics , finance , geography , mathematics , statistics , context (archaeology) , archaeology
This paper provides a review of empirical research in four topics within the area of market microstructure. Specifically, the paper provides an overview of issues related to (a) the estimation of the components of the bid‐ask spread, (b) the effects of order flow characteristics and regulations on market liquidity, (c) the differences and similarities between the NYSE and the Nasdaq and (d) the interaction between the options and underlying stock markets.