PRICE, TRADE SIZE, AND INFORMATION IN SECURITIES MARKETS

被引：870

作者：

EASLEY, D

OHARA, M

机构：

来源：

关键词：

D O I：

10.1016/0304-405X(87)90029-8

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：69 / 90

页数：22

共 17 条

[1] Bagehot W., 1971, FINANCIAL ANAL J, V27, P22
[2] Bagehot W., 1971, FINANC ANAL J, V27, P12
[3] BURDETT K, 1987, IN PRESS J BANKING F, V11
[4] INFORMATION EFFECTS ON THE BID-ASK SPREAD
COPELAND, TE
GALAI, D
[J]. JOURNAL OF FINANCE, 1983, 38 (05) : 1457 - 1469
[5] TRADING RULES, LARGE BLOCKS AND SPEED OF PRICE ADJUSTMENT
DANN, LY
MAYERS, D
RAAB, RJ
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1977, 4 (01) : 3 - 22
[6] Glosten L., 1985, J FINANC ECON, V13, P71
[7] MARKET POWER IN A SECURITIES MARKET WITH ENDOGENOUS INFORMATION
GRINBLATT, MS
ROSS, SA
[J]. QUARTERLY JOURNAL OF ECONOMICS, 1985, 100 (04) : 1143 - 1167
[8] OPTIMAL DEALER PRICING UNDER TRANSACTIONS AND RETURN UNCERTAINTY
HO, T
STOLL, HR
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (01) : 47 - 73
[9] JORDAN JS, 1982, J ECON THEORY, V26, P201, DOI 10.1016/0022-0531(82)90001-1
[10] PRICE IMPACTS OF BLOCK TRADING ON NEW-YORK STOCK EXCHANGE
KRAUS, A
STOLL, HR
[J]. JOURNAL OF FINANCE, 1972, 27 (03) : 569 - 588