haku: @journal_id 1676 / yhteensä: 53
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| Tekijä: | Zebedee, A. A. |
| Otsikko: | The impact of a trade on national best bid and offer quotes: a new approach to modeling irregularly spaced data |
| Lehti: | Journal of Multinational Financial Management
2001 : OCT-DEC, VOL. 11:4-5, p. 363-383 |
| Asiasana: | PRICES TRADE |
| Vapaa asiasana: | IRREGULARLY BASED DATA |
| Kieli: | eng |
| Tiivistelmä: | In 1975, amendments to the Security Exchange Act of 1934 mandated the development of a national market system. In response to this mandate, securities listed on the New York Stock Exchange may trade simultaneously on multiple markets. This paper investigates the differential impact of trades executed in the NYSE and regional markets on the national best bid and offer quotes by using a trade and quote revision vector autoregression system. |
SCIMA