Cross-Sided Liquidity Externalities

Published Online:https://doi.org/10.1287/mnsc.2016.2658

References

  • Admati AR, Pfleiderer P (1988) A theory of intraday patterns: Volume and price variability. Rev. Financial Stud. 1(1):3–40.CrossrefGoogle Scholar
  • Amaldoss W, Desai PS, Shin W (2015) Keyword search advertising and first-page bid estimates: A strategic analysis. Management Sci. 61(3):507–519.LinkGoogle Scholar
  • Amihud Y, Mendelson H, Lauterbach B (1997) Market microstructure and securities values: Evidence from the Tel Aviv stock exchange. J. Financial Econom. 45(3):365–390.CrossrefGoogle Scholar
  • Anand A, McCormick T, Serban L (2013a) Incentives for liquidity provision: Is the make-take structure the answer? Working paper, Whitman School of Management, Syracuse University, Syracuse, NY.Google Scholar
  • Anand A, Irvine P, Puckett A, Venkataraman K (2013b) Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis. J. Financial Econom. 108(3):773–797.CrossrefGoogle Scholar
  • Angel J, Harris L, Spatt C (2011) Equity trading in the 21st century. Quart. J. Finance 5(1):1–53.CrossrefGoogle Scholar
  • Angrist JD (2005) Instrumental variables methods in experimental criminological research: What, why and how. J. Experiment. Criminol. 2(1):1–22.Google Scholar
  • Angrist JD, Krueger AB (1992) The effect of age at school entry on educational attainment: An application of instrumental variables with moments from two samples. J. Amer. Statist. Assoc. 87(418):328–336.CrossrefGoogle Scholar
  • Angrist JD, Krueger AB (1995) Split-sample instrumental variables estimates of the return to schooling. J. Bus. Econom. Statist. 13(2):225–235.CrossrefGoogle Scholar
  • Barclay M, Hendershott T (2003) Price discovery and trading after hours. Rev. Financial Stud. 16(4):1041–1073.CrossrefGoogle Scholar
  • Barclay M, Hendershott T (2004) Liquidity externalities and adverse selection: Evidence from trading after hours. J. Finance 59(2):681–710.CrossrefGoogle Scholar
  • Battalio RH, Shkilko A, van Ness RA (2016) To pay or be paid? The impact of taker fees and order flow inducements on trading costs in U.S. options markets. J. Financial Quant. Anal. 51(5):1637–1662.CrossrefGoogle Scholar
  • Bessembinder H, Maxwell W, Venkataraman K (2006) Market transparency, liquidity externalities, and institutional trading costs in corporate bonds. J. Financial Econom. 82(2):251–288.CrossrefGoogle Scholar
  • Bessembinder H, Panayides M, Venkataraman K (2009) Hidden liquidity: An analysis of order exposure strategies in electronic stock markets. J. Financial Econom. 94(3):361–383.CrossrefGoogle Scholar
  • Bessembinder H, Carrion A, Tuttle L, Venkataraman K (2016) Liquidity, resiliency and market quality around predictable trades: Theory and evidence. J. Financial Econom. 121(1):142–166.CrossrefGoogle Scholar
  • Biais B, Hillion P, Spatt C (1995) An empirical analysis of the limit order book and the order flow in the Paris Bourse. J. Finance 50(5):1655–1689.CrossrefGoogle Scholar
  • Brolley M, Malinova K (2013) Informed trading and maker-taker fees in a low-latency limit order market. Working paper, University of Toronto, Toronto.Google Scholar
  • Cardella L, Hao J, Kalcheva I (2013) Make and take fees in the U.S. equity market. Working paper, Eller College of Management, University of Arizona, Tucson.Google Scholar
  • Chao Y, Derdenger T (2013) Mixed bundling in two-sided markets in the presence of installed base effects. Management Sci. 59(8):1904–1926.LinkGoogle Scholar
  • Chordia T, Roll R, Subrahmanyam A (2000) Commonality in liquidity. J. Financial Econom. 56(1):3–28.CrossrefGoogle Scholar
  • Colliard JE, Foucault T (2012) Trading fees and efficiency in limit order markets. Rev. Financial Stud. 25(11):3389–3421.CrossrefGoogle Scholar
  • Copeland TE, Galai D (1983) Information effects on the bid-ask spread. J. Finance 38(5):1457–1469.CrossrefGoogle Scholar
  • Coppejans M, Domowitz I, Madhavan A (2004) Resiliency in an automated auction. Working paper, Barclays Global Investors, San Francisco.Google Scholar
  • Degryse H, De Jong F, Ravenswaaij MV, Wuyts G (2005) Aggressive orders and the resiliency of a limit order market. Rev. Finance 9(2):201–242.CrossrefGoogle Scholar
  • DellaVigna S, Pollet JM (2009) Investor inattention and Friday earnings announcements. J. Finance 64(2):709–749.CrossrefGoogle Scholar
  • Foster FD, Viswanathan S (1990) A theory of the interday variations in volume, variance, and trading costs in securities markets. Rev. Financial Stud. 3(4):593–624.CrossrefGoogle Scholar
  • Foucault T, Kadan O, Kandel E (2005) Limit order book as a market for liquidity. Rev. Financial Stud. 18(4):1171–1217.CrossrefGoogle Scholar
  • Foucault T, Kadan O, Kandel E (2013) Liquidity cycles, and make/take fees in electronic markets. J. Finance 68(1):299–341.CrossrefGoogle Scholar
  • Foucault T, Kozhan R, Tham WW (2016) Toxic arbitrage. Rev. Financial Stud. 2016(hhw103), doi: 10.1093/rfs/hhw103.Google Scholar
  • Glosten L, Harris L (1988) Estimating the components of the bid/ask spread. J. Financial Econom. 21(1):123–142.CrossrefGoogle Scholar
  • Goettler R, Parlour C, Rajan U (2005) Equilibrium in a dynamic limit order market. J. Finance 60(5):2149–2192.CrossrefGoogle Scholar
  • Goldstein MA, Kavajecz KA (2000) Eighths, sixteenths, and market depth: Changes in tick size and liquidity provision on the NYSE. J. Financial Econom. 56(1):125–149.CrossrefGoogle Scholar
  • Goyenko RY, Holden CW, Trzcinka CA (2009) Do liquidity measures measure liquidity? J. Financial Econom. 92(2):153–181.CrossrefGoogle Scholar
  • Harris L (1990) Liquidity, trading rules, and electronic trading systems. Working paper, New York University Salomon Center Monograph Series in Finance and Economics.Google Scholar
  • Hasbrouck J (2009) Trading costs and returns for U.S. equities: Estimating effective costs from daily data. J. Finance 64(3):1445–1477.CrossrefGoogle Scholar
  • Hendershott T, Jones CM (2005) Island goes dark: Transparency, fragmentation, and regulation. Rev. Financial Stud. 18(3):743–793.CrossrefGoogle Scholar
  • Hendershott T, Mendelson H (2000) Cross networks and dealer markets: Competition and performance. J. Finance 55(5):2071–2115.CrossrefGoogle Scholar
  • Hendershott T, Jones CM, Menkveld AJ (2011) Does algorithmic trading improve liquidity? J. Finance 66(1):1–33.CrossrefGoogle Scholar
  • Hirshleifer D, Lim SS, Teoh SH (2009) Driven to distraction: Extraneous events and underreaction to earnings news. J. Finance 64(5):2289–2325.CrossrefGoogle Scholar
  • Imbens GW (2010) Better LATE than nothing: Some comments on Deaton (2009) and Heckman and Urzua (2009). J. Econom. Literature 48(2):399–423.CrossrefGoogle Scholar
  • Imbens GW, Wooldridge JM (2009) Recent developments in the econometrics of program evaluation. J. Econom. Literature 47(1): 5–86.CrossrefGoogle Scholar
  • Kozhan R, Tham WW (2012) Execution risk in high-frequency arbitrage. Management Sci. 58(11):2131–2149.LinkGoogle Scholar
  • Large J (2007) Measuring the resiliency of an electronic limit order book. J. Financial Markets 10 (1)1–25.CrossrefGoogle Scholar
  • Livnat J, Mendenhall R (2006) Comparing the post-earnings announcement drift for surprises calculated from analyst and time series forecasts. J. Accounting Res. 44(1):177–205.CrossrefGoogle Scholar
  • Malinova K, Park A (2015) Subsidizing liquidity: The impact of make/take fees on market quality. J. Finance 70(2):509–536.CrossrefGoogle Scholar
  • Mendelson H (1982) Market behavior in a clearing house. Econometrica 50(6):1505–1524.CrossrefGoogle Scholar
  • Mendelson H (1985) Random competitive exchange: Price distributions and gains from trade. J. Econom. Theory 37(2):254–280.CrossrefGoogle Scholar
  • Mendelson H (1987) Consolidation, fragmentation and market performance. J. Financial Quant. Anal. 22(2):187–207.CrossrefGoogle Scholar
  • O’Hara M, Ye M (2011) Is market fragmentation harming market quality? J. Financial Econom. 100(3):459–474.CrossrefGoogle Scholar
  • Pagano M (1989) Trading volume and asset liquidity. Quart. J. Econom. 104(2):255–274.CrossrefGoogle Scholar
  • Parker GG, Van Alstyne MW (2005) Two-sided network effects: A theory of information product design. Management Sci. 51(10):1494–1504.LinkGoogle Scholar
  • Ranaldo A (2004) Order aggressiveness in limit order book markets. J. Financial Markets 7(1):53–74.CrossrefGoogle Scholar
  • Rochet J-C, Tirole J (2006) Two-sided markets: A progress report. RAND J. Econom. 37(3):645–667.CrossrefGoogle Scholar
  • Roll R, Schwartz E, Subrahmanyam A (2007) Liquidity and the law of one price: The case of the futures-cash basis. J. Finance 62(5): 2201–2234.CrossrefGoogle Scholar
  • Roşu I (2009) A dynamic model of the limit order book. Rev. Financial Stud. 22(11):4601–4641.CrossrefGoogle Scholar
  • Roşu I (2010) Liquidity and information in order driven markets. Working paper, Booth School of Business, University of Chicago, Chicago.CrossrefGoogle Scholar
  • Rysman M (2009) The economics of two-sided markets. J. Econom. Perspect. 23(3):125–143.CrossrefGoogle Scholar
  • Sarkar A, Schwartz RA (2009) Market sidedness: Insights into motives from trade initiation. J. Finance 64(1):375–423.CrossrefGoogle Scholar
  • Seamans R, Zhu F (2014) Responses to entry in multi-sided markets: The impact of Craigslist on local newspapers. Management Sci. 60(2):476–493.LinkGoogle Scholar
  • Skjeltorp JA, Sojli E, Tham WW (2016) Flashes of trading intent at NASDAQ. J. Financial Quant. Anal. 51(1):165–196.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.