Liquidity,Volatility,and Exchange Automation

1.Amihud, Yakov, and Haim Mendelson. “Asset Price Behavior in a Dealership Market.” Financial Analysts Journal (May/June 1982), pp. 50-59.

2.-. “Asset Pricing and the Bid-Ask Spread.” Journal of Financial Economics (December 1986a), pp. 223-246.

3.-. “Dealership Market: Market Making with Inventory.” Journal of Financial Economics (1980), pp. 31-53.

4.-. “The Effect of Beta, Bid-Ask Spread, Residual Risk and Size on Stock Returns.” Working paper, 1988b.

5.-. “An Integrated Computerized Trading System.” In Y. Amihud, T. Ho, and Schwartz R. (eds.), Market Making and the Changing Structure of the Securities Industry (Lexington Books, 1985).

6.-. “Liquidity and Asset Prices: Financial Management Implications.” Financial Management 17 (Spring 1988a), pp. 5-15.

7.-. “Liquidity and Stock Returns.” Financial Analysts Journal (May/June 1986b), pp. 43- 48.

8.-. “Trading Mechanisms and Stock Returns: An Empirical Investigation.” Journal of Finance (July 1987), pp. 533-553.

9.Bernstein, Peter. “Liquidity, Stock Markets and Market-Making.” Financial Management 16 (Summer 1987), pp. 54-62.

10.Black, Fischer. “Noise.” Journal of Finance (1986), pp. 529-543.

11.-. “Toward a Fully Automated Stock Exchange.” Financial Analysts Journal (November/December 1971), pp. 24-28, 86-87.

12.Cohen, Kalman, Steven Maier, Robert Schwartz, and David Whitcomb. The Microstructure of Securities Markets (Prentice Hall, 1986).

13.Cohen, Kalman, and Robert A. Schwartz. “Realizing the Potential of an Electronic Trading System.” Working paper, 1988.

14.Copeland, Thomas C., and Dan Galai. “Information Effects on the Bid-Ask Spread.” Journal of Financial Economics 38 (December 1983), pp. 1457-1469.

15.Figlewski, Stephen. “The Interaction between Derivative Securities on Financial Instruments and the Underlying Cash Markets: An Overview.” Journal of Accounting, Auditing and Finance (Summer 1987), pp. 299-318.

16.French, Kenneth, and Richard Roll. “Stock Return Variances: The Arrival of Information and the Reaction of Traders.” Journal of Financial Economics 17 (1986), pp. 5-26.

17.Garbade, Kenneth D., and William Silber. “Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk.” Journal of Finance 34 (June 1979), pp. 577-593.

18.Glosten, Lawrence R., and Paul R. Milgrom. “Bid Ask and Transaction Prices in a Specialist Market with Heterogeneous Informed Traders.” Journal of Financial Economics 14 (1985), pp. 71-100.

19.Grossman, Sanford, and Merton Miller. “The Determinants of Market Liquidity.” Working paper, 1986.

20.Harris, Milton, and Artur Raviv. “Allocation Mechanisms and the Design of Auctis.” Econo-metrica 49 (1981).

21.Ho, Thomas, Robert Schwartz, and David Whitcomb. “The Trading Decision and Market Clearing under Transaction Price Uncertainty.” Journal of Finance (March 1985), pp. 21-42.

22.Ho, Thomas, and Hans R. Stoll. “The Dynamics of the Dealer Markets under Competition.” Journal of Finance 38 (September 1983), pp. 1053-1074.

23.Mendelson, Haim. “Consolidation, Fragmentation and Market Performance.” Journal of Financial and Quantitative Analysis 22 (June 1987), pp. 189-207.

24.-. “Exchange with Random Quantities and Discrete Feasible Prices.” Working paper 1986

25.-. “Market Behavior in a Clearing House.” Econometrica 50 (November 1982), pp. 1505-1524

26.-. “Random Competitive Exchange: Price Distribution and Gains from Trade.” Journa of Economic Theory 37 (1985), pp. 254-280

27.Mendelson, Morris, Junius W. Peake, and R. T. Williams. “Toward a Modem Exchange: The Peake-Mendelson-Williams Proposal for an Electronically Assisted Auction Market. ” In Bloch E. Schwartz R. (eds.), Impending Changes for Securities Markets (JAI Press, 1979)

28.Peake, Junius W., Morris Mendelson, and R. T. Williams. “Black Monday: Market Structure and Market Making.” Working paper, 1988

29.Schwartz, Robert A. Equity Markets: Structure, Trading and Performance (Harper &Row, 1988)

30. Schwert G. William. “Why Does Stock Market Volatility Change Over Time?” Working paper 1987.

31.Securities and Exchange Commission. Institutional Investor Study Report. (House Document No. 92-64, Part 5.) (U.S. Government Printing Office, 1971), 5: 2444-2456

32.Silber, William L. “Marketmaker Behavior in an Auction Market: An Analysis of Scalpers in Futures Markets.” Journal of Finance 39 (September 1984), pp. 937-953.

33.Solberg, Thomas A. “Valuing Restricted Securities: What Factors Do the Courts and the Service Look For?” Journal of Taxation (September 1979), pp. 150-154

34.Stoll, Hans R. The Stock Exchange Specialist System: An Economic Analysis (Salomon Brothers Center for the Study of Financial Institutions, Graduate School of Business, New York University, 1985).

35.Whitcomb, David K. Externalities and Welfare. (Columbia University Press, 1972).

36.-. “An International Comparison of Stock Exchange Trading Structures.” In Y. Amihud, T. Ho, and Schwartz R. (eds.), Market Making and the Changing Structure of the Securities Industry (Lexington Books, 1985).