Symposium on Market Microstructure: A Review of Empirical Research

Posted: 17 Nov 1999

See all articles by Jay F. Coughenour

Jay F. Coughenour

University of Delaware - Department of Finance

Kuldeep Shastri

University of Pittsburgh - Finance Group

Abstract

This paper provides a review of empirical research in four topics within the area of market microstructure. Specifically, the paper provides an overview of issues related to (a) the estimation of the components of the bid-ask spread, (b) the effects of order flow and regulation on market liquidity, (c) the differences and similarities between the NYSE and the Nasdaq and (d) the interaction between the options and underlying stock markets.

JEL Classification: G14

Suggested Citation

Coughenour, Jay F. and Shastri, Kuldeep, Symposium on Market Microstructure: A Review of Empirical Research. Available at SSRN: https://ssrn.com/abstract=187513

Jay F. Coughenour

University of Delaware - Department of Finance ( email )

Alfred Lerner College of Business and Economics
Newark, DE 19716
United States
(302) 831-1015 (Phone)

Kuldeep Shastri (Contact Author)

University of Pittsburgh - Finance Group ( email )

372 Mervis Hall
Pittsburgh, PA 15260
United States
412-648-1708 (Phone)
412-648-1693 (Fax)

HOME PAGE: http://www.pitt.edu/~ks112354

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