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Abstract This paper provides a review of empirical research in four topics within the area of market microstructure. Specifically, the paper provides an overview of issues related to (a) the estimation of the components of the bid‐ask spread, (b) the effects of order flow characteristics and regulations on market liquidity, (c) the differences and similarities between the NYSE and the Nasdaq and (d) the interaction between the options and underlying stock markets.
Coughenour et al. (Mon,) studied this question.