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H. Stoll (1978)
THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETSJournal of Finance, 33
S. Smidt (1979)
Continuous Versus Intermittent Trading on Auction MarketsJournal of Financial and Quantitative Analysis, 14
H. Demsetz (1968)
The Cost of TransactingQuarterly Journal of Economics, 82
Hamilton Hamilton (March, 1979)
“Marketplace Fragmentation, Competition and the Effieciency of the Stock Market.”Journal of Finance, 34
T. Ho, H. Stoll (1980)
On Dealer Markets under CompetitionJournal of Finance, 35
S. Tiniç (1972)
The Economics of Liquidity ServicesQuarterly Journal of Economics, 86
S. Smidt (1971)
Which Road to an Efficient Stock Market: Free Competition or Regulated Monopoly?Financial Analysts Journal, 27
W. Vickrey (1961)
Counterspeculation, Auctions, And Competitive Sealed TendersJournal of Finance, 16
Garman Garman (June, 1976)
“Market Microstructure,”Journal of Financial Economics, 3
K. Cohen, Gabriel Hawawini, Steven Maier, R. Schwartz, David Whitcomb (1980)
Implications of Microstructure Theory for Empirical Research on Stock Price BehaviorJournal of Finance, 35
K. Garbade, W. Silber (1979)
Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity RiskJournal of Finance, 34
James Hamilton (1979)
Marketplace Fragmentation, Competition, and the Efficiency of the Stock ExchangeJournal of Finance, 34
Demsetz Demsetz (February, 1968)
“The Cost of Transacting.”Quarterly Journal of Economics, 82
Smidt Smidt (September-October 1971)
“Which Road to an Efficient Market: Free Competition vs. Regulated Monopoly.”Financial Analysts Journal, 27
Y. Amihud, H. Mendelson (1980)
Dealership market: Market-making with inventoryJournal of Financial Economics, 8
S. Tiniç, R. West (1972)
Competition and the Pricing of Dealer Service in the Over-the-Counter Stock MarketJournal of Financial and Quantitative Analysis, 7
E. Mildenstein, H. Schleef (1983)
The Optimal Pricing Policy of a Monopolistic Marketmaker in the Equity MarketJournal of Finance, 38
H. Stoll (1978)
THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKSJournal of Finance, 33
G. Benston, R. Hagerman (1974)
Determinants of bid-asked spreads in the over-the-counter marketJournal of Financial Economics, 1
T. Copeland, D. Galai (1983)
Information Effects on the Bid‐Ask SpreadJournal of Finance, 38
K. Cohen, Steven Maier, R. Schwartz, David Whitcomb (1981)
Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask SpreadJournal of Political Economy, 89
T. Ho, H. Stoll (1981)
Optimal dealer pricing under transactions and return uncertaintyJournal of Financial Economics, 9
Tinic Tinic (February, 1972)
“The Economics of Liqudity Services,”Quarterly Journal of Economics, 86
ABSTRACT The behavior of competing dealers in securities markets is analyzed. Securities are characterized by stochastic returns and stochastic transactions. Reservation bid and ask prices of dealers are derived under alternative assumptions about the degree to which transactions are correlated across stocks at a given time and over time in a given stock. The conditions for interdealer trading are specified, and the equilibrium distribution of dealer inventories and the equilibrium market spread are derived. Implications for the structure of securities markets are examined.
The Journal of Finance – Wiley
Published: Sep 1, 1983
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