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Periodic market closure and order imbalances

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  • Liu, Yu-Jane

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  • Liu, Yu-Jane, 1997. "Periodic market closure and order imbalances," Global Finance Journal, Elsevier, vol. 8(1), pages 95-111.
    • Handle: RePEc:eee:glofin:v:8:y:1997:i:1:p:95-111
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    1. H. McInish, Thomas & Wood, Robert A., 1990. "A transactions data analysis of the variability of common stock returns during 1980-1984," Journal of Banking & Finance, Elsevier, vol. 14(1), pages 99-112, March.
    2. Slezak, Steve L, 1994. "A Theory of the Dynamics of Security Returns around Market Closures," Journal of Finance, American Finance Association, vol. 49(4), pages 1163-1211, September.
    3. Wood, Robert A & McInish, Thomas H & Ord, J Keith, 1985. "An Investigation of Transactions Data for NYSE Stocks," Journal of Finance, American Finance Association, vol. 40(3), pages 723-739, July.
    4. Foster, F Douglas & Viswanathan, S, 1990. "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 593-624.
    5. McInish, Thomas H & Wood, Robert A, 1992. "An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-764, June.
    6. Brock, William A. & Kleidon, Allan W., 1992. "Periodic market closure and trading volume : A model of intraday bids and asks," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 451-489.
    7. Hamao, Yasushi & Hasbrouck, Joel, 1995. "Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 849-878.
    8. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-1153, December.
    9. Lee, Charles M C & Ready, Mark J, 1991. "Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
    10. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
    11. Porter, David C., 1992. "The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(2), pages 209-227, June.
    12. Ho, Richard Yan-Ki & Cheung, Yan-Leung & Cheung, Daniel W. W., 1993. "Intraday prices and trading volume relationship in an emerging Asian market - Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 1(2), pages 203-214, May.
    13. Gerety, Mason S & Mulherin, J Harold, 1992. "Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close," Journal of Finance, American Finance Association, vol. 47(5), pages 1765-1784, December.
    14. Harris, Lawrence, 1989. "A Day-End Transaction Price Anomaly," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(1), pages 29-45, March.
    15. McInish, Thomas H. & Wood, Robert A., 1990. "An analysis of transactions data for the Toronto Stock Exchange : Return patterns and end-of-the-day effect," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 441-458, August.
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    Cited by:

    1. David Porter & Yusif Simaan & Daniel Weaver & David Whitcomb, 2006. "Effect of the Actual Size Rule Under Market Stress," Review of Quantitative Finance and Accounting, Springer, vol. 26(2), pages 87-103, March.

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