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Volatility and market structure

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  • Kavajecz, Kenneth A.
  • Odders-White, Elizabeth R.

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  • Kavajecz, Kenneth A. & Odders-White, Elizabeth R., 2001. "Volatility and market structure," Journal of Financial Markets, Elsevier, vol. 4(4), pages 359-384, October.
    • Handle: RePEc:eee:finmar:v:4:y:2001:i:4:p:359-384
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    References listed on IDEAS

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    1. Kenneth A. Kavajecz, 1999. "A Specialist's Quoted Depth and the Limit Order Book," Journal of Finance, American Finance Association, vol. 54(2), pages 747-771, April.
    2. Lee, Charles M C & Mucklow, Belinda & Ready, Mark J, 1993. "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 345-374.
    3. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-542, May.
    4. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. "An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-1689, December.
    5. Campbell, John Y., 1987. "Stock returns and the term structure," Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June.
    6. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    7. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
    8. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    9. Chan, Louis K C & Lakonishok, Josef, 1995. "The Behavior of Stock Prices around Institutional Trades," Journal of Finance, American Finance Association, vol. 50(4), pages 1147-1174, September.
    10. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    11. Shane A. Corwin & Marc L. Lipson, 2000. "Order Flow and Liquidity around NYSE Trading Halts," Journal of Finance, American Finance Association, vol. 55(4), pages 1771-1805, August.
    12. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    13. Engle, Robert F. & Mustafa, Chowdhury, 1992. "Implied ARCH models from options prices," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 289-311.
    14. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    15. Easley, David, et al, 1996. "Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance, American Finance Association, vol. 51(4), pages 1405-1436, September.
    16. Shane A. Corwin & Marc L. Lipson, 2000. "Order Flow and Liquidity around NYSE Trading Halts," Journal of Finance, American Finance Association, vol. 55(4), pages 1771-1801, August.
    17. Knez, Peter J & Ready, Mark J, 1996. "Estimating the Profits from Trading Strategies," Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1121-1163.
    18. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Panagiotis Schizas & Dimitrios D. Thomakos, 2015. "Market timing and trading strategies using asset rotation: non-neutral market positioning for exploiting arbitrage opportunities," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 285-298, February.
    2. Ignacio Arango & Diego A. Agudelo, 2017. "How does information disclosure affect liquidity?Evidence from an Emerging Market," Documentos de Trabajo CIEF 16990, Universidad EAFIT.
    3. Indriawan, Ivan, 2020. "Market quality around macroeconomic news announcements: Evidence from the Australian stock market," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    4. Marios Panayides, 2004. "The Specialist's Participation in Quoted Prices and the NYSE's Price Continuity Rule," Yale School of Management Working Papers amz2384, Yale School of Management, revised 01 Aug 2006.
    5. Ivan Indriawan & Qingfu Liu & Yiuman Tse, 2019. "Market quality and the connectedness of steel rebar and other industrial metal futures in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1383-1393, November.
    6. Diego A. Agudelo & Ignacio Arango, 2017. "How does information disclosure affect liquidity? Evidence from an Emerging Market," Documentos de Trabajo CIEF 16944, Universidad EAFIT.
    7. Paula A. Yepes-Henao & Diego A. Agudelo & Ramazan Gencay, 2018. "Muddying the waters: Who Induces Volatility in an Emerging Market?," Documentos de Trabajo CIEF 16974, Universidad EAFIT.
    8. Marios Panayides, 2004. "The Specialist's Participation in Quoted Prices and the NYSE's Price Continuity Rule," Yale School of Management Working Papers amz2384, Yale School of Management, revised 01 Aug 2006.
    9. Arango, Ignacio & Agudelo, Diego A., 2019. "How does information disclosure affect liquidity? Evidence from an emerging market," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    10. Sun, Limei & Xiang, Meiqi & Shen, Qing, 2020. "A comparative study on the volatility of EU and China’s carbon emission permits trading markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).

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