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M. Goldman, Howard Sosin (1979)
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Jack Clark, Francis (2008)
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Continuous Versus Intermittent Trading on Auction MarketsJournal of Financial and Quantitative Analysis, 14
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Francis Francis (June, 1975)
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An autoregressive jump process for common stock returnsJournal of Financial Economics, 5
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The Market Model Applied to European Common Stocks: Some Empirical ResultsJournal of Financial and Quantitative Analysis, 9
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Implications of Microstructure Theory for Empirical Research on Stock Price Behavior KALMAN J. COHEN, GABRIEL A. HAWAWINI, STEVEN F. MAIER, ROBERT A. SCHWARTZ and DAVID K. WHITCOMB* THEMAJOR BODY of literature in financial economics has assumed a frictionless trading process (much as Newtonian mechanics modeled the movement of point masses in a perfect vacuum); such analyses directly address the underlying processes in their pure form. However, to understand better the behavior of markets (or the flight of a feather from the Leaning Tower of Pisa), the effects of friction must be modeled. The literature on security market microstructure treats the interplay between market participants, trading mechanisms, and the dynamic behavior of security prices in a regime where friction impedes the trading process. As such, it has implications for public policy concerning the design of a trading system, and for empirical research on security price behavior. In this paper, we deal with implications for empirical research. Recently, several studies have focused on the fact that transaction prices differ from what they would otherwise be in a frictionless environment.â OldfieldRogalski-Jarrowâs (1977) empirical evidence suggests that the arrival of transactions is best described by a (sporadic) jump process rather than by
The Journal of Finance – Wiley
Published: May 1, 1980
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