Academic Journal
Market Microstructure
| العنوان: | Market Microstructure |
|---|---|
| المؤلفون: | Hans R. Stoll |
| المساهمون: | The Pennsylvania State University CiteSeerX Archives |
| المصدر: | http://mba.vanderbilt.edu/fmrc/pdf/wp2001-16.pdf. |
| بيانات النشر: | North-Holland (forthcoming |
| سنة النشر: | 2003 |
| المجموعة: | CiteSeerX |
| مصطلحات موضوعية: | Key words, bid-ask spread, price impact, market design, dealer market, auction market, short-run price behavior, market fragmentation. Market Microstructure |
| الوصف: | Market microstructure deals with the purest form of financial intermediation-- the trading of a financial asset, such as a stock or a bond. In a trading market, assets are not transformed but are simply transferred from one investor to another. The field of market microstructure studies the cost of trading securities and the impact of trading costs on the short-run behavior of securities prices. Costs are reflected in the bid-ask spread (and related measures) and in commissions. The focus of this chapter is on the determinants of the spread rather than on commissions. After an introduction to markets, traders and the trading process, I review the theory of the bid-ask spread in section II and examine the implications of the spread for the short run behavior of prices in section III. In section IV, the empirical evidence on the magnitude and nature of trading costs is summarized, and inferences are drawn about the importance of various sources of the spread. Price impacts of trading from block trades, from herding or from other sources, are considered in section V. Issues in the design of a trading market, such as the functioning of call versus |
| نوع الوثيقة: | text |
| وصف الملف: | application/pdf |
| اللغة: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.197.7204; http://mba.vanderbilt.edu/fmrc/pdf/wp2001-16.pdf |
| الاتاحة: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.197.7204 http://mba.vanderbilt.edu/fmrc/pdf/wp2001-16.pdf |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| رقم الانضمام: | edsbas.724DB5DD |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |