-----Original Message-----
From: 	Lu, Zimin  
Sent:	Friday, May 11, 2001 10:52 AM
To:	Lee, Bob
Cc:	Kaminski, Vince J.; Gibner, Stinson
Subject:	literature research on "Bid-Offer Spread"

Bob,
I used Econ search engin, searched 67 journals about "bid-offer spread" formation, and found
latest research on this subject.  Some abstracts are attached, it seems a lot of studies are already
done. Those titles are very relevent to us.

The address for the search engin is http://www.elsevier.nl/cgi-bin/cas/search/search.cgi?jrnlid=finec.  Could you find out how to become a member so that we can get these papers on line.


Zimin

-------- Search Results ------

Journal of Economic Dynamics and Control
Volume 21, Issue 8-9, 18-June-1997 

J. Economic Dynamics And Control Vol. 21 (8-9) pp. 1471-1491
Copyright (c) 1997 Elsevier Science B.V. All rights reserved.
Order flow and the bid-ask spread: An Empirical Probability Model Of Screen-Based Trading 
a Tim Bollerslev
b Ian Domowitz
c Jianxin Wang
a , Department of Economics, Rouss Hall, University of Virginia, Charlottesville, VA 22901, USA
, NBER, Cambridge, MA 02138, USA
b , Department of Economics, Northwestern University, Evanston, IL 60208, USA
c , School of Banking and Finance, University of New South Wales, Kensington, NSW 2033, Australia
Abstract
A probabilistic framework for the analysis of screen-based trading activity is presented. Probability functions are derived for the stationary distributions of the best bid and offer, conditional on the order flows. By identifying the unobservable order and acceptance flows, our estimation method permits the prediction of the stationary distributions of other market statistics. A test is proposed that allows a comparison of predicted and sample bid-ask spread distributions taking parameter estimation error into account. The methodology is applied to the screen-based interbank foreign exchange market, using continuously recorded quotes on the Deutschemark/US dollar exchange rate. 
Keyword(s): Screen-based trading; Limit order book; Order flow; Bid-ask spreads; Statistical model evaluation; Foreign exchange quotations

Journal of Banking & Finance
Volume 18, Issue 1, 01-January-1994 

J. Banking And Finance Vol. 18 (1) pp. 199-206
Copyright (c) 1997 Elsevier Science B.V. All rights reserved.
Variance increases following large stock distributions: the role of changing bid--ask spreads and true variances 
a David R. Peterson
a Pamela P. Peterson
a , Florida State University, Tallahassee, FL, USA
Received 1 June 1992; Revised 1 December 1992
Abstract
In this study we examine two factors affecting variance increases following stock distributions: changing bid--ask spreads and the true variability of the underlying value of the firm. Employing data from the CRSP NASDAQ and NMS files, we find a relatively minor role for changing spreads. Increases in true variances are the major component of variance increases with changes in return autocorrelations playing an important role. 
Keyword(s): Stock distributions ; Return variances ; Bid--ask spreads ; Return autocorrelations


Journal of Financial Markets
Volume 1, Issue 1, 30-April-1998 

J. Financial Markets Vol. 1 (1) pp. 89-119
Copyright (c) 1998 Elsevier Science B.V. All rights reserved.
Bid--ask spreads with indirect competition among specialists 
a Thomas Gehrig
b Matthew Jackson
a , Institut zur Erforschung der wirtschaftlichen, Entwicklung, Universit?t Freiburg, D-79085 Freiburg, Germany
b , Humanities and Social Sciences 228-77, California Institute of Technology, Pasadena, CA 91125, USA
Abstract
We examine the prices quoted by specialists (or dealers) who have monopoly power to set prices (bids and asks) for a given asset, but who face indirect competition from other specialists who trade in related assets. In the context of a simple model where investors have mean-variance preferences, we characterize the equilibrium bids and asks quoted by K specialists in N assets, where some specialists may control more than one asset. We compare the equilibrium spreads as the number (and factor structure) of the assets each specialist controls is varied. It is shown that for some constellations of initial portfolio holdings and asset covariance it is socially preferred to have competing specialists, while for others it is socially preferred to have their actions coordinated (or to have one specialist control several assets). In a simple factor model, we show how the optimal specialist control structure depends on whether the assets trade as substitutes or complements. In some situations it is beneficial to have specialist power concentrated within industries, in other situations, across industries, and in yet other situations, not to be concentrated at all. ? 1998 Elsevier Science B.V. All rights reserved. 
JEL Classification: D43; G12



Journal of Financial Markets
Volume 2, Issue 2, 20-May-1999 

J. Financial Markets Vol. 2 (2) pp. 179-191
Copyright (c) 1999 Elsevier Science B.V. All rights reserved.
Explaining the intra-day variation in the bid--ask spread in competitive dealership markets -- A research note 
a Eric J. Levin
a b Robert E. Wright
a , Department of Economics University of Stirling, Stirling, Scotland FK9 4LA, UK
b , Centre for Economic Policy Research, 25-28 Old Burlington Street, London, England W1X 1LB, UK
Abstract
There are many possible explanations for variation in the inside bid--ask spread during the trading day, including informed trading, price inelastic market demand, price discovery, statistical artefact and market concentration. Each of these explanations is examined for consistency with respect to both the inside and average bid--ask spread, observed both inside and outside the mandatory quote period in the London Stock Exchange. ? 1999 Elsevier Science B.V. All rights reserved. 
JEL Classification: G1
Keyword(s): Bid--ask spread; Competitive dealership markets




Journal of International Financial Markets, Institutions & Money
Volume 9, Issue 2, 01-April-1999 

J. Int. Financial Markets Vol. 9 (2) pp. 115-128
Copyright (c) 1999 Elsevier Science B.V. All rights reserved.
Asymmetric information and the bid-ask spread: an empirical comparison between automated order execution and open outcry auction 
a Jianxin Wang
a , School of Banking and Finance, University of New South Wales, , Sydney 2052, Australia
Received 1 April 1998; Accepted 1 September 1998
Abstract
This study examines the components of the bid-ask spread on the Sydney Futures Exchange. The Exchange uses open outcry auction for daytime trading, and switches to a screen-based automated order execution system at 16:30 h for overnight trading. After controlling for proxies of order flow characteristics, the study finds that screen-based traders are more sensitive to market volatility than floor-based traders in setting the bid-ask spread. Spreads from floor trading have a smaller adverse information component but a larger order processing cost component relative to screen trading. The results suggest that floor traders can better assess the presence of adverse information than screen traders. 
? All rights reserved. 
Keyword(s): Trading mechanism; Bid-ask spread; Information asymmetry


Journal of Financial Economics
Volume 53, Issue 2, 01-August-1999 

Journal Of Financial Economics Vol. 53 (2) pp. 255-287
Copyright (c) 1999 Elsevier Science B.V. All rights reserved.
Limit orders and the bid--ask spread 
Kee H. Chung
Bonnie F. Van Ness
Robert A. Van Ness
University of Memphis, Memphis, TN 38152, , , USA
Marshall University, Huntington, WV 25755, , , USA
Received 29 December 1997; Accepted 23 September 1998
Abstract
We examine the role of limit-order traders and specialists in the market-making process. We find that a large portion of posted bid--ask quotes originates from the limit-order book without direct participation by specialists, and that competition between traders and specialists has a significant impact on the bid--ask spread. Specialists' spreads are widest at the open, narrow until late morning, and then level off. The U-shaped intraday pattern of spreads largely reflects the intraday variation in spreads established by limit-order traders. Lastly, the intraday variation in limit-order spreads is significantly related to the intraday variation in limit-order placements and executions. 
JEL Classification: G14
Keyword(s): Limit order; Bid--ask spread; Specialists






Journal of Economic Dynamics and Control
Volume 19, Issue 4, 01-January-1995 

J. Economic Dynamics And Control Vol. 19 (4) pp. 683-710
Copyright (c) 1997 Elsevier Science B.V. All rights reserved.
Dealer market structure, outside competition, and the bid--ask spread 
a Paul A Laux
a , Department of Banking and Finance, Case Western Reserve University, Cleveland, OH 44106-7235, USA
Received 1 November 1993; Accepted 1 April 1994
Abstract
We investigate the linkages between the number of dealers making markets in a security, the extent of outside (or nondealer) competition, and the market bid--ask spread for NASDAQ NMS stocks. The investigation is guided by a model that emphasizes dealers' interactions as their inventories change, and predicts that the extent of outside competition limits the bid--ask spread and the number of dealers. We hypothesize that the extent of outside market making capital in a stock is related to that stock's institutional holdings. Evidence shows that the extent of institutional holdings relative to trading volume proxies for outside competition. For stocks with little outside competition, the spread is large even though the number of dealers is also larger than for comparable stocks. The component of the spread related to outside market making capital is economically significant (about (1)/(2) to 1 percent of price). The composition of volume as to trade size and trade frequency, which is related to the level of institutional holdings, also influences the spread. 
Keyword(s): Bid--ask spread; Nasdaq; Institutional investors; Market microstructure
JEL Classification: G12