Making Market Microstructure Matter

Financial Management, Vol. 28, No. 2, Summer 1999

Posted: 16 Aug 2001

See all articles by Maureen O'Hara

Maureen O'Hara

Cornell University - Samuel Curtis Johnson Graduate School of Management

Abstract

Market microstructure research has provided important insights into the operation and behavior of securities markets and into the intra-day behavior of asset prices. What has not yet been established is how market microstructure affects economic behavior more generally. This article focuses on the quest for the link between microstructure and economic meaning. It looks at several areas where microstructure should matter, and it suggests ways for looking for such a linkage. The article attempts to define what we know and don't know regarding microstructure effects, as well as suggesting a research agenda of what we ought to know.

Suggested Citation

O'Hara, Maureen, Making Market Microstructure Matter. Financial Management, Vol. 28, No. 2, Summer 1999. Available at SSRN: https://ssrn.com/abstract=267695

Maureen O'Hara (Contact Author)

Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )

Ithaca, NY 14853
United States
607-255-3645 (Phone)
607-255-5993 (Fax)

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