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An analysis of transactions data for the Toronto Stock Exchange : Return patterns and end-of-the-day effect

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  • McInish, Thomas H.
  • Wood, Robert A.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-49WPBXR-D/2/aed7fb02b2f8aaa4b1c70f1c892e08c5
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 14 (1990)
Issue (Month): 2-3 (August)
Pages: 441-458

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Handle: RePEc:eee:jbfina:v:14:y:1990:i:2-3:p:441-458

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Web page: http://www.elsevier.com/locate/jbf

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Cited by:
  1. Nguyen, Vanthuan & Phengpis, Chanwit, 2009. "An analysis of the opening mechanisms of Exchange Traded Fund markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 562-577, May.
  2. Çankaya, Serkan & Ulusoy, Veysel & Eken, Hasan/M., 2011. "The Behavior of Istanbul Stock Exchange Market: An Intraday Volatility/Return Analysis Approach," MPRA Paper 43656, University Library of Munich, Germany.
  3. Nicholas Economides & Robert A. Schwartz, 1995. "Equity Trading Practices and Market Structure: Assessing Asset Managers' Demand for Immediacy," Working Papers 95-08, New York University, Leonard N. Stern School of Business, Department of Economics.
  4. Deb, Pragyan & Koo, Bonsoo & Liu, Zijun, 2014. "Competition, premature trading and excess volatility," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 178-193.
  5. Liu, Yu-Jane, 1997. "Periodic market closure and order imbalances," Global Finance Journal, Elsevier, vol. 8(1), pages 95-111.
  6. Köksal, Bülent, 2012. "An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange," MPRA Paper 35968, University Library of Munich, Germany.
  7. Ligon, James A. & Liu, Hao-Chen, 2013. "The relation of trade size and price contribution in a traditional foreign exchange brokered market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1024-1045.

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