Article ID Journal Published Year Pages File Type
961051 Journal of Financial Markets 2013 31 Pages PDF
Abstract
► We focus on the impact NASDAQ's calls that were introduced in 2004. ► The calls have significantly reduced both spreads and volatility. ► The calls have had a positive spillover effect on the dynamic behavior of price formation.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
A call auction's impact on price formation and order routing: Evidence from the NASDAQ stock market
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