Making market microstructure matter

被引：21

作者：

O'Hara, M ^{[1
]}

机构：

[1] Cornell Univ, Ithaca, NY 14853 USA

来源：

FINANCIAL MANAGEMENT | 1999年 / 28卷 / 02期

关键词：

D O I：

10.2307/3666197

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Market microstructure research has provided important insights into the operation and behavior of securities markets and into the intra-day behavior of asset prices. What has not yet been established is how market microstructure affects economic behavior more generally. This article focuses on the quest for the link between microstructure and economic meaning. It looks at several areas where microstructure should matter, and it suggests ways for looking for such a linkage. The article attempts to define what we know and don't know regarding microstructure effects, as well as suggesting a research agenda of what we ought to know.

引用

页码：83 / 90

页数：8

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