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1、Chapter9MARKETMICROSTRUCTUREHANSR.STOLLOwenGraduateSchoolofManagement,VanderbiltUniversityContentsAbstract555Keywords5551.Introduction5562.Markets,tradersandthetradingprocess5572.1.Typesofmarkets5572.2.Typesoforders5582.3.Typesoftraders5592.3.1.Activeve
2、rsuspassive5592.3.2.Liquidityversusinformed5592.3.3.Individualversusinstitutional5602.3.4.Publicversusprofessional5602.4.Rulesofprecedence5602.5.Thetradingprocess5613.Microstructuretheory–determinantsofthebid–askspread5623.1.Inventoryrisk5633.2.Free-tra
3、dingoption5663.3.Adverseselection5664.Short-runpricebehaviorandmarketmicrostructure5674.1.Amodelofshort-termpricebehavior5684.2.Therealizedspread5694.3.Serialcovarianceofpricechanges5705.Evidenceonthebid–askspreadanditssources5725.1.Thespreadanditscompo
4、nents5725.2.Cross-sectionevidence5756.Priceeffectsoftrading5776.1.Blocktrading5776.2.Herding5786.3.Otherstudiesoftheeffectsoftrading5797.Marketdesign5797.1.Call-auctionmarkets5807.1.1.Call-auctionprocess580HandbookoftheEconomicsofFinance,EditedbyG.M.Con
5、stantinides,M.HarrisandR.Stulz?2003ElsevierB.V.Allrightsreserved554H.R.Stoll7.1.2.Evidenceonopenings5827.2.Dealerversusauctionmarkets:theNasdaqcontroversy5837.3.Otherissuesinmarketdesign5867.3.1.Transparency5867.3.2.Anonymity5877.3.3.Automation5877.3.4.
6、Ticksize5877.3.5.Ordertypes5888.Themarketformarkets:centralizationversusfragmentationoftrading5898.1.EvolutionofequitiesmarketsintheUSA5898.1.1.Competitivecommissions5908.1.2.Rule394andthethirdmarket5908.1.3.Nationalmarketsystem5918.2.Globalmarkets5928.
7、3.Economicforcesofcentralizationandfragmentation5938.4.Thefuturestructureofmarkets5959.Othermarkets5959.1.Bondmarket5969.2.Currencymarket5969.3.Futuresmarkets5979.4.Optionsmarkets59710.Assetpricingandmarketmicrostructure59811.Conclusions598References600
8、Ch.9:MarketMicrostructure555AbstractMarketmicrostructuredealswiththepurestformof?nancialintermediation–thetradingofa?nancialasset,suchasastockorabond.Inatradingmarket,assetsarenottransformedbutaresimplytransferredfromoneinvestort
