Cambios en las variaciones mínimas de los precios, liquidez y profundidad en el mercado de acciones

Bibliographische Referenzen

• ABAD, D., y RUBIA, A. [1999]: «Evaluation of the Fixing Trading System in the Spanish Market», Working Paper Instituto Valenciano de Investigaciones Económicas, WP-EC 99-117
• AHN, H.-J.; CAO, C. Q., y CHOE, H. [1998]: «Decimalization and competition among stock markets: evidence from the Toronto stock exchange cross-listed securities», Journal of Financial Markets, no. 1: 51-87.
• AITKEN, M.; BROWN, P.; BUCKLAND, C.; IZAN H. Y., y WALTER, T. [1995]: «Price clustering on the Australian stock exchange», Working Paper University of Western Australia.
• ANGEL, J. J. [1997]: «Tick size, share prices and stock splits», Journal of Finance, vol. LII, no 2: 655-681.
• ARNOLD, T. M., y LIPSON, M. L. [1997]: «Tick size and limit order execution: an examination of stock splits», Working Paper.
• BALL, C. A.; TOROUS, W. N., y TSCHOEGL, E. [1985]: «The degree of price resolution. The case of the gold market», Journal of Futures Markets, vol. 5, no 1: 29-43.
• BLANCO, R. [1999]: «El mercado español de renta variable. Análisis de la liquidez e influencia del mercado de derivados», Servicio de Estudios del Banco de España, Estudios Económicos, no 66.
• BROWN, S.; LAUX, P., y SCHACHTER, B. [1991]: «On existence of an optimal tick size», Review of Futures Markets, vol. 10, no 1: 50-72.
• CHANG, K. C., y HWANG, C.-Y. [1998]: «The impact of tick size on market quality: an empirical investigation of the stock exchange of Hong-Kong», Working Paper University of Science and Technology of Hong-Kong.
• COPELAND, T. E., y GALAI, D. [1983]: «Information effects on the bid-ask Spread», Journal of Finance, vol. XXXVIII: 1457-1469.
• CORDELLA, T., y FOUCALT, T. [1999]: «Minimum price variations, time priority and quote dynamics», Journal of Financial Intermediation, vol. 8: 141-173.
• GOLDSTEIN, M. A., y KAVAJECZ, K. A. [1998]: «Eighths, sixteenths and market depth: changes in tick size and liquidity provision on the NYSE», NYSE Working paper #98-01.
• GOMEZ, J. C. [1999]: «Rentabilidad y liquidez alrededor de los splits» Working Paper 99-01. Working Paper Instituto Valenciano de Investigaciones Económicas, WP-EC 99-101
• GOODHART, C., y Cimcio, R. [1992]: «Asset price discovery and price clustering in the foreing exchange market», Working Paper London School of Business.
• HARRIS, L. [1991]: «Stock price clustering and discreteness», The Review of Financial Studies, vol. 4, no 3: 389-415.
• - [1994]: «Minimum price variations, discrete bid-ask spreads and quotation sizes», The Review of Financial Studies, vol. 7, no 1: 149-178.
• - [1996]: «Does a large minimum price variation encourage order exposure?», Working Paper University of Southern California.
• - [1997]: «Decimalization: a review of the arguments and evidence», Working Paper University of Southern California.
• KAVAJECZ, K. A. [1997]: «The specialist's quoted depth and the limit order book», Journal of Finance, forthcoming.
• RONEN, T., y WEAVER, D. G. [1998]: «The effect of tick size on volatility, trader behavior and market quality», Working Paper.
• RUBIO, G., y TAPIA, M. [1996]: «Adverse selection, volume and transactions around dividend announcements in a continuos auction system», European Financial Management, vol. 2, no 1: 19-67.
• SEPPI, D. J. [1997]: «Liquidity provision with limit orders and a strategic specialist», The Review of Financial. Studies, vol. 10: 103-150.
• STOLL, H. [1985]: «The Stock Exchange Specialist System, an Economical Analysis», Monograph Series in Finance and Economics #2 (New York University).