The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

1995 • 1,102 citations

Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE

1996 • 1,096 citations

Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis

1993 • 1,050 citations

An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

1992 • 906 citations

Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes

1994 • 659 citations

Market Integration and Price Execution for NYSE‐Listed Securities

1993 • 252 citations

Market Structures and Liquidity: A Transactions Data Study of Exchange Listings

1994 • 220 citations

Tick Size, Spread, and Volume

1996 • 176 citations

Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities

1998 • 132 citations

Tick Size and Market Quality

1997 • 115 citations

Does the Specialist Matter? Differential Execution Costs and Intersecurity Subsidization on the New York Stock Exchange

1997 • 82 citations

Reducing tick size on the Stock Exchange of Singapore

1995 • 71 citations