Market microstructure of the Pink Sheets
We study the microstructure of the Pink Sheets and assess the ability of existing theory to capture salient features of this relatively unstructured and unregulated market. Clustering patterns in quotes, quoted spreads, and trade prices indicate that market participants have selected price-dependent...
Gespeichert in:
| Veröffentlicht in: | Journal of banking & finance 2009-07, Vol.33 (7), p.1326-1339 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 1339 |
|---|---|
| container_issue | 7 |
| container_start_page | 1326 |
| container_title | Journal of banking & finance |
| container_volume | 33 |
| creator | Bollen, Nicolas P.B. Christie, William G. |
| description | We study the microstructure of the Pink Sheets and assess the ability of existing theory to capture salient features of this relatively unstructured and unregulated market. Clustering patterns in quotes, quoted spreads, and trade prices indicate that market participants have selected price-dependent tick sizes for different stocks. Clustering intensity varies across stocks as a function of proxies for information availability. Similarly, the bid-ask spread varies as a function of volatility and liquidity. These results suggest (1) microstructure research has established robust predictions of market attributes and (2) unstructured markets are able to develop at least some effective behavioral norms endogenously. |
| doi_str_mv | 10.1016/j.jbankfin.2009.02.017 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_37159395</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>S0378426609000417</els_id><sourcerecordid>37159395</sourcerecordid><originalsourceid>FETCH-LOGICAL-c474t-3bbaf2c1d4340deb989d09fa9a1d25144a417a598a7e28ca07d4779ea42064233</originalsourceid><addsrcrecordid>eNqFkEtLxDAUhYMoOI7-BelK3LTm1abZKeILRhTUdUjTWyad6cMkMzD_3oxVt144927OOVw-hM4JzggmxVWbtZXuV43tM4qxzDDNMBEHaEZKQdOCCXqIZpiJMuW0KI7RifctjlMSNkOXz9qtICSdNW7wwW1M2DhIhiYJS0hebb9K3pYAwZ-io0avPZz93Dn6uL97v31MFy8PT7c3i9RwwUPKqko31JCaM45rqGQpaywbLTWpaU4415wInctSC6Cl0VjUXAgJmlNccMrYHF1MvaMbPjfgg-qsN7Be6x6GjVdMkFwymUdjMRn3j3sHjRqd7bTbKYLVHoxq1S8YtQejMFURTAwupqCDEcxfCgDaKnq12iqmGYtrF_WdZNpGiagxijBaKMKYVMvQxbrrqQ4ila0Fp7yx0BuorQMTVD3Y_z76Aolzh9A</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>37159395</pqid></control><display><type>article</type><title>Market microstructure of the Pink Sheets</title><source>RePEc</source><source>ScienceDirect Journals (5 years ago - present)</source><creator>Bollen, Nicolas P.B. ; Christie, William G.</creator><creatorcontrib>Bollen, Nicolas P.B. ; Christie, William G.</creatorcontrib><description>We study the microstructure of the Pink Sheets and assess the ability of existing theory to capture salient features of this relatively unstructured and unregulated market. Clustering patterns in quotes, quoted spreads, and trade prices indicate that market participants have selected price-dependent tick sizes for different stocks. Clustering intensity varies across stocks as a function of proxies for information availability. Similarly, the bid-ask spread varies as a function of volatility and liquidity. These results suggest (1) microstructure research has established robust predictions of market attributes and (2) unstructured markets are able to develop at least some effective behavioral norms endogenously.</description><identifier>ISSN: 0378-4266</identifier><identifier>EISSN: 1872-6372</identifier><identifier>DOI: 10.1016/j.jbankfin.2009.02.017</identifier><language>eng</language><publisher>Elsevier B.V</publisher><subject>Clustering ; Information ; Liquidity ; Market structure ; Microanalysis ; Pink Sheets ; Pink Sheets Clustering Regulation ; Regulation ; Stock exchange ; Volatility</subject><ispartof>Journal of banking & finance, 2009-07, Vol.33 (7), p.1326-1339</ispartof><rights>2009 Elsevier B.V.</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c474t-3bbaf2c1d4340deb989d09fa9a1d25144a417a598a7e28ca07d4779ea42064233</citedby><cites>FETCH-LOGICAL-c474t-3bbaf2c1d4340deb989d09fa9a1d25144a417a598a7e28ca07d4779ea42064233</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.jbankfin.2009.02.017$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,780,784,3550,4008,27924,27925,45995</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/eeejbfina/v_3a33_3ay_3a2009_3ai_3a7_3ap_3a1326-1339.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Bollen, Nicolas P.B.</creatorcontrib><creatorcontrib>Christie, William G.</creatorcontrib><title>Market microstructure of the Pink Sheets</title><title>Journal of banking & finance</title><description>We study the microstructure of the Pink Sheets and assess the ability of existing theory to capture salient features of this relatively unstructured and unregulated market. Clustering patterns in quotes, quoted spreads, and trade prices indicate that market participants have selected price-dependent tick sizes for different stocks. Clustering intensity varies across stocks as a function of proxies for information availability. Similarly, the bid-ask spread varies as a function of volatility and liquidity. These results suggest (1) microstructure research has established robust predictions of market attributes and (2) unstructured markets are able to develop at least some effective behavioral norms endogenously.</description><subject>Clustering</subject><subject>Information</subject><subject>Liquidity</subject><subject>Market structure</subject><subject>Microanalysis</subject><subject>Pink Sheets</subject><subject>Pink Sheets Clustering Regulation</subject><subject>Regulation</subject><subject>Stock exchange</subject><subject>Volatility</subject><issn>0378-4266</issn><issn>1872-6372</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2009</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqFkEtLxDAUhYMoOI7-BelK3LTm1abZKeILRhTUdUjTWyad6cMkMzD_3oxVt144927OOVw-hM4JzggmxVWbtZXuV43tM4qxzDDNMBEHaEZKQdOCCXqIZpiJMuW0KI7RifctjlMSNkOXz9qtICSdNW7wwW1M2DhIhiYJS0hebb9K3pYAwZ-io0avPZz93Dn6uL97v31MFy8PT7c3i9RwwUPKqko31JCaM45rqGQpaywbLTWpaU4415wInctSC6Cl0VjUXAgJmlNccMrYHF1MvaMbPjfgg-qsN7Be6x6GjVdMkFwymUdjMRn3j3sHjRqd7bTbKYLVHoxq1S8YtQejMFURTAwupqCDEcxfCgDaKnq12iqmGYtrF_WdZNpGiagxijBaKMKYVMvQxbrrqQ4ila0Fp7yx0BuorQMTVD3Y_z76Aolzh9A</recordid><startdate>20090701</startdate><enddate>20090701</enddate><creator>Bollen, Nicolas P.B.</creator><creator>Christie, William G.</creator><general>Elsevier B.V</general><general>Elsevier</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20090701</creationdate><title>Market microstructure of the Pink Sheets</title><author>Bollen, Nicolas P.B. ; Christie, William G.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c474t-3bbaf2c1d4340deb989d09fa9a1d25144a417a598a7e28ca07d4779ea42064233</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2009</creationdate><topic>Clustering</topic><topic>Information</topic><topic>Liquidity</topic><topic>Market structure</topic><topic>Microanalysis</topic><topic>Pink Sheets</topic><topic>Pink Sheets Clustering Regulation</topic><topic>Regulation</topic><topic>Stock exchange</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Bollen, Nicolas P.B.</creatorcontrib><creatorcontrib>Christie, William G.</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of banking & finance</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Bollen, Nicolas P.B.</au><au>Christie, William G.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Market microstructure of the Pink Sheets</atitle><jtitle>Journal of banking & finance</jtitle><date>2009-07-01</date><risdate>2009</risdate><volume>33</volume><issue>7</issue><spage>1326</spage><epage>1339</epage><pages>1326-1339</pages><issn>0378-4266</issn><eissn>1872-6372</eissn><abstract>We study the microstructure of the Pink Sheets and assess the ability of existing theory to capture salient features of this relatively unstructured and unregulated market. Clustering patterns in quotes, quoted spreads, and trade prices indicate that market participants have selected price-dependent tick sizes for different stocks. Clustering intensity varies across stocks as a function of proxies for information availability. Similarly, the bid-ask spread varies as a function of volatility and liquidity. These results suggest (1) microstructure research has established robust predictions of market attributes and (2) unstructured markets are able to develop at least some effective behavioral norms endogenously.</abstract><pub>Elsevier B.V</pub><doi>10.1016/j.jbankfin.2009.02.017</doi><tpages>14</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0378-4266 |
| ispartof | Journal of banking & finance, 2009-07, Vol.33 (7), p.1326-1339 |
| issn | 0378-4266 1872-6372 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_37159395 |
| source | RePEc; ScienceDirect Journals (5 years ago - present) |
| subjects | Clustering Information Liquidity Market structure Microanalysis Pink Sheets Pink Sheets Clustering Regulation Regulation Stock exchange Volatility |
| title | Market microstructure of the Pink Sheets |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-08T06%3A31%3A18IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Market%20microstructure%20of%20the%20Pink%20Sheets&rft.jtitle=Journal%20of%20banking%20&%20finance&rft.au=Bollen,%20Nicolas%20P.B.&rft.date=2009-07-01&rft.volume=33&rft.issue=7&rft.spage=1326&rft.epage=1339&rft.pages=1326-1339&rft.issn=0378-4266&rft.eissn=1872-6372&rft_id=info:doi/10.1016/j.jbankfin.2009.02.017&rft_dat=%3Cproquest_cross%3E37159395%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=37159395&rft_id=info:pmid/&rft_els_id=S0378426609000417&rfr_iscdi=true |