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Illiquidity and stock returns: cross-section and time-series effects

 Yakov Amihud

Stern School of Business, New York University, New York, NY 10012, USA

Journal of Financial Markets
Volume 5, Issue 1, January 2002, Pages 31-56

2、

Market microstructure: A survey

Ananth Madhavan

Marshall School of Business, University of Southern California, Los Angeles, CA 90089-1427, USA

Journal of Financial Markets
Volume 3, Issue 3, August 2000, Pages 205-258

3、

Quote setting and price formation in an order driven market^*1
 

This article is not included in your organization's subscription. However, you may be able to access this article under your organization's agreement with Elsevier.

Puneet Handa, Robert Schwartz    and Ashish Tiwari

Journal of Financial Markets
Volume 6, Issue 4, August 2003, Pages 461-489
Order form, trading protocol, and price formation

[此贴子已经被作者于2009-1-4 11:36:35编辑过]

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