Symposium on Market Microstructure: A Review of Empirical Research

@inproceedings{Coughenour1999SymposiumOM,
  title={Symposium on Market Microstructure: A Review of Empirical Research},
  author={Jay F. Coughenour and Kuldeep Shastri},
  year={1999}
}
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 and regulation 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. Copyright 1999 by MIT Press.