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L. Glosten, Paul Milgrom (1985)
Bid, ask and transaction prices in a specialist market with heterogeneously informed tradersJournal of Financial Economics, 14
Exchange Listing and Liquidity
Analysis of the Impact of Competitive Rates on the Liquidity of NYSE Stocks
Y. Amihud, T. Ho, R. Schwartz (1985)
Market Making and the Changing Structure of the Securities Industry
H. Demsetz (1968)
The Cost of TransactingQuarterly Journal of Economics, 82
(1987)
Preliminary Report of the Committee of Inquiry Appointed by the Chicago Mercantile Exchange to Examine the Events
Richard Roll (1984)
A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient MarketJournal of Finance, 39
Demsetz Demsetz (February 1968)
“The Cost of Transacting.”Quarterly Journal of Economics, 82
(1985)
Alternative Views of Market Making.
Sanford Grossman, Merton Miller (1986)
Economic costs and benefits of the proposed one—minute time bracketing regulation†Journal of Futures Markets, 6
(1985)
An International Comparison of Stock Exchange Trading Structures.
Dealer Market Structure: A Dynamic Competitive Model
Grossman Grossman (1988)
“An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies.”Journal of Business
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
Sanford Grossman (1987)
An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging StrategiesRisk Management
The Determinants of Market Liquidity
S. Cooper, J. Groth, W. Avera (1985)
Liquidity, exchange listing, and common stock performanceJournal of Economics and Business, 37
ABSTRACT Market liquidity is modeled as being determined by the demand and supply of immediacy. Exogenous liquidity events coupled with the risk of delayed trade create a demand for immediacy. Market makers supply immediacy by their continuous presence and willingness to bear risk during the time period between the arrival of final buyers and sellers. In the long run the number of market makers adjusts to equate the supply and demand for immediacy. This determines the equilibrium level of liquidity in the market. The lower is the autocorrelation in rates of return, the higher is the equilibrium level of liquidity.
The Journal of Finance – Wiley
Published: Jul 1, 1988
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