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Hans R. Stoll

(deceased)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Stoll, Hans R, 1969. "The Relationship between Put and Call Option Prices," Journal of Finance, American Finance Association, vol. 24(5), pages 801-824, December.

    Mentioned in:

    1. Hans Stoll in Wikipedia (English)
    2. Vinzenz Bronzin in Wikipedia (English)

Working papers

  1. Hans R. Stoll, "undated". "The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks," Rodney L. White Center for Financial Research Working Papers 13-77, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Evren Ors & Gordon J. Alexander & Mark A. Peterson & Paul J. Seguin, 2004. "Margin regulation and market quality: a microstructure analysis," Post-Print hal-00460981, HAL.
    2. Norden, Lars, 2003. "Asymmetric option price distribution and bid-ask quotes: consequences for implied volatility smiles," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 423-441, December.
    3. Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2020. "Liquidity, implied volatility and tail risk: A comparison of liquidity measures," International Review of Financial Analysis, Elsevier, vol. 69(C).
    4. Suraj Kumar & Krishna Prasanna, 2019. "Global Financial Crisis: Dynamics of Liquidity Risk in Emerging Asia," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(3), pages 339-362, December.
    5. Paolo Mazza & Mikael Petitjean, 2016. "On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios," Post-Print hal-01562991, HAL.
    6. Xu, Yongdeng & Taylor, Nick & Lu, Wenna, 2018. "Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 208-220.
    7. Angelidis, Timotheos & Andrikopoulos, Andreas, 2010. "Idiosyncratic risk, returns and liquidity in the London Stock Exchange: A spillover approach," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 214-221, June.
    8. Rosati, Pierangelo & Cummins, Mark & Deeney, Peter & Gogolin, Fabian & van der Werff, Lisa & Lynn, Theo, 2017. "The effect of data breach announcements beyond the stock price: Empirical evidence on market activity," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 146-154.
    9. Kettemann, Andreas & Krogstrup, Signe, 2014. "Portfolio balance effects of the Swiss National Bank’s bond purchase program," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 132-149.
    10. Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean-Luc Prigent, 2014. "Corporate Governance and Market Microstructure: Evidence on Institutional Investors in the Tunisian Stock Exchange," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(2), pages 58-71, April.
    11. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," Working Papers 2009-07, Monetary Policy Group, Bank of Thailand.
    12. Sirimon Treepongkaruna & Tim Brailsford & Stephen Gray, 2014. "Explaining the bid-ask spread in the foreign exchange market: A test of alternate models," Australian Journal of Management, Australian School of Business, vol. 39(4), pages 573-591, November.
    13. Guglielmo Maria Caporale & Alessandro Girardi & Paolo Paesani, 2010. "Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market," CESifo Working Paper Series 3281, CESifo.
    14. Dunne, Peter G., 2018. "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities," Research Technical Papers 5/RT/18, Central Bank of Ireland.
    15. Sergio Bianchi & Massimiliano Frezza, 2018. "Liquidity, Efficiency and the 2007-2008 Global Financial Crisis," Annals of Economics and Finance, Society for AEF, vol. 19(2), pages 375-404, November.
    16. Emy Lécuyer & Jean-Philippe Lefort, 2021. "Put–call parity and generalized neo-additive pricing rules," Theory and Decision, Springer, vol. 90(3), pages 521-542, May.
    17. Christian Leuz, 2003. "IAS Versus U.S. GAAP: Information Asymmetry–Based Evidence from Germany's New Market," Journal of Accounting Research, Wiley Blackwell, vol. 41(3), pages 445-472, June.
    18. Ginglinger, Edith & Hamon, Jacques, 2007. "Actual share repurchases, timing and liquidity," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 915-938, March.
    19. Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2001. "An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies," University of California at Los Angeles, Anderson Graduate School of Management qt9178v9kq, Anderson Graduate School of Management, UCLA.
    20. Taylor, Nicholas, 2002. "The economic and statistical significance of spread forecasts: Evidence from the London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 26(4), pages 795-818, April.
    21. OUATTARA, Aboudou, 2016. "Impact of the transition to continous trading on emerging financial market's liquidity : Case study of the West Africa Regional Exchange Market (BRVM)," MPRA Paper 75391, University Library of Munich, Germany.
    22. Stenfors, Alexis, 2018. "Bid-ask spread determination in the FX swap market: Competition, collusion or a convention?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 54(C), pages 78-97.
    23. Stoyu Ivanov, 2017. "Comparative Analysis of ETF and Common Stock Intraday Bid-Ask Spread Behavior," Economics Bulletin, AccessEcon, vol. 37(2), pages 723-732.
    24. Andreas Kettemann & Signe Krogstrup, 2013. "Portfolio balance effects of the SNB's bond purchase program," ECON - Working Papers 116, Department of Economics - University of Zurich.
    25. Jay F. Coughenour & Daniel N. Deli, 2002. "Liquidity Provision and the Organizational Form of NYSE Specialist Firms," Journal of Finance, American Finance Association, vol. 57(2), pages 841-869, April.
    26. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017.
    27. Boehmer, Beatrice & Boehmer, Ekkehart, 2003. "Trading your neighbor's ETFs: Competition or fragmentation?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1667-1703, September.
    28. Chen, Yu-Lun & Gau, Yin-Feng, 2014. "Asymmetric responses of ask and bid quotes to information in the foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 194-204.
    29. Vijay Bhasin & Rebel A. Cole & Joseph K. Kiely, "undated". "Changes in REIT Liquidity 1990-94: Evidence from Intra-day Transactions," Finance and Economics Discussion Series 1996-22, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
    30. Hadhri, Sinda & Ftiti, Zied, 2019. "Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?," Economic Systems, Elsevier, vol. 43(3).
    31. Ehrhardt, Michael C. & Jordan, James V. & Prisman, Eliezer Z., 1995. "Tests for tax-clientele and tax-option effects in U.S. treasury bonds," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1055-1072, September.
    32. Nguyen, Truong-Giang, 2020. "Stock liquidity and dividend policy: Evidence from an imputation tax environment," International Review of Financial Analysis, Elsevier, vol. 72(C).
    33. Barakat, Ahmed & Chernobai, Anna & Wahrenburg, Mark, 2014. "Information asymmetry around operational risk announcements," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 152-179.
    34. Hearn, Bruce & Oxelheim, Lars & Randøy, Trond, 2021. "The Impact of Founders on Information Asymmetry vis-à-vis Outside Investors: Evidence from Caribbean Offshore Tax Havens," Working Paper Series 1419, Research Institute of Industrial Economics.
    35. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1995. "Investment analysis and price formation in securities markets," Journal of Financial Economics, Elsevier, vol. 38(3), pages 361-381, July.
    36. Bazrafshan, Ebrahim & Marcus, Alan J. & Tehranian, Hassan, 2021. "CEOs versus the board: Implications of strained relations for stock liquidity," Global Finance Journal, Elsevier, vol. 48(C).
    37. Tao Zhang & Larry A. Cox & Robert A. Van Ness, 2009. "Adverse Selection and the Opaqueness of Insurers," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(2), pages 295-321, June.
    38. Philip Brock & Helmut Franken M., 2003. "Measuring the Determinants of Average and Marginal Bank Interest Rate Spreads in Chile, 1994-2001," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 6(3), pages 45-65, December.
    39. Agrawal, Vipin & Kothare, Meeta & Rao, Ramesh K. S. & Wadhwa, Pavan, 2004. "Bid-ask spreads, informed investors, and the firm's financial condition," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 58-76, February.
    40. Hagströmer, Björn & Anderson, Richard G. & Binner, Jane & Nilsson, Birger, 2009. "Dynamics in Systematic Liquidity," Working Papers 2009:7, Lund University, Department of Economics.
    41. Wang, Xinjie & Zhong, Zhaodong (Ken), 2022. "Dealer inventory, pricing, and liquidity in the OTC derivatives markets: Evidence from index CDSs," Journal of Financial Markets, Elsevier, vol. 57(C).
    42. Nadia Loukil & Mohamed Bechir Zayani & Abdelwahed Omri, 2010. "Impact of liquidity on stock returns: an empirical investigation of the Tunisian stock market," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 3(2), pages 261-283.
    43. Snigaroff, Robert & Wroblewski, David, 2021. "Earnings and liquidity factors," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 508-523.
    44. M. Frömmel & F Van Gysegem, 2014. "Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/878, Ghent University, Faculty of Economics and Business Administration.
    45. Constantinos Katrakilidis & Athanasios Koulakiotis, 2006. "The Impact of Stock Exchange Rules on Volatility and Error Transmission -- The Case of Frankfurt and Zurich Cross-Listed Equities," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 321-338, November.
    46. Christos I. Giannikos & Andreas Kakolyris, 2020. "Modelling the Blind Principal Bid Mechanism: A Large Deviation Approach," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 19(2), pages 187-200, September.
    47. Ormazabal, Gaizka & López-Espinosa, Germán & Sakasai, Yuki, 2020. "Switching From Incurred to Expected Loan Loss Provisioning: Early Evidence," CEPR Discussion Papers 14803, C.E.P.R. Discussion Papers.
    48. Lee, Chien-Chiang & Lee, Cheng-Feng & Lee, Chi-Chuan, 2014. "Asymmetric dynamics in REIT prices: Further evidence based on quantile regression analysis," Economic Modelling, Elsevier, vol. 42(C), pages 29-37.
    49. Kandel, Eugene & Marx, Leslie M., 1997. "Nasdaq market structure and spread patterns," Journal of Financial Economics, Elsevier, vol. 45(1), pages 61-89, July.
    50. Jakree Koosakul & Nasha Ananchotikul, 2019. "Foreign Exchange Order Flows and the Thai Exchange Rate Dynamics," PIER Discussion Papers 104, Puey Ungphakorn Institute for Economic Research.
    51. Kalaitzoglou, Iordanis Angelos & Ibrahim, Boulis Maher, 2015. "Liquidity and resolution of uncertainty in the European carbon futures market," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 89-102.
    52. Moriyasu, Hiroshi & Wee, Marvin & Yu, Jing, 2018. "The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 103-128.
    53. Poon, Ser-Huang & Rockinger, Michael & Stathopoulos, Konstantinos, 2013. "Market liquidity and institutional trading during the 2007–8 financial crisis," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 86-97.
    54. Abdul Nasser Hasibuan, 2018. "Company Monitoring Analysis on Financial Report Quality in Indonesia Stock Exchange Manufacturing Sector," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 4(4), pages 162-175, December.
    55. Fu, Renhui & Kraft, Arthur & Zhang, Huai, 2012. "Financial reporting frequency, information asymmetry, and the cost of equity," Journal of Accounting and Economics, Elsevier, vol. 54(2), pages 132-149.
    56. Fauzias Mat Nor & Amir Shaharuddin & Ainulashikin Marzuki & Nur Ainna Ramli, 2019. "Revised Malaysian Shariah Screening: Its Impact on Islamic Capital Market," Research in World Economy, Research in World Economy, Sciedu Press, vol. 10(1), pages 17-30, June.
    57. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," LIDAM Discussion Papers CORE 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    58. Chia, Yee-Ee & Lim, Kian-Ping & Goh, Kim-Leng, 2020. "More shareholders, higher liquidity? Evidence from an emerging stock market," Emerging Markets Review, Elsevier, vol. 44(C).
    59. Wu, Wei-Shao & Liu, Yu-Jane & Lee, Yi-Tsung & Fok, Robert C.W., 2014. "Hedging costs, liquidity, and inventory management: The evidence from option market makers," Journal of Financial Markets, Elsevier, vol. 18(C), pages 25-48.
    60. Kothare, Meeta, 1997. "The effects of equity issues on ownership structure and stock liquidity: A comparison of rights and public offerings," Journal of Financial Economics, Elsevier, vol. 43(1), pages 131-148, January.
    61. Michael Frömmel & Frederick Van Gysegem, 2012. "Spread Components in the Hungarian Forint-Euro Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(3), pages 52-69, May.
    62. Rösch, Christoph G. & Kaserer, Christoph, 2014. "Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 152-170.
    63. Daniel Chai & Robert Faff & Philip Gharghori, 2013. "Liquidity in asset pricing: New Australian evidence using low-frequency data," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 375-400, August.
    64. Dennis Murray, 1985. "Further Evidence On The Liquidity Effects Of Stock Splits And Stock Dividends," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(1), pages 59-68, March.
    65. Pascual, Roberto & Pascual-Fuster, Bartolomé, 2014. "The relative contribution of ask and bid quotes to price discovery," Journal of Financial Markets, Elsevier, vol. 20(C), pages 129-150.
    66. Kojo Menyah & Krishna Paudyal, 1996. "The Determinants And Dynamics Of Bid-Ask Spreads On The London Stock Exchange," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(3), pages 377-394, September.
    67. Ding, Rong & Hou, Wenxuan, 2015. "Retail investor attention and stock liquidity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 12-26.
    68. Naomi Boyd, 2015. "Market making and risk management in options markets," Review of Derivatives Research, Springer, vol. 18(1), pages 1-27, April.
    69. Rich Fortin & Judy Maese, 1992. "Option Introduction and Liquidity Changes in the OTC/NASDAQ Equity Market," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 2(1), pages 39-52, Fall.
    70. Aitken, Michael & Comerton-Forde, Carole, 2003. "How should liquidity be measured?," Pacific-Basin Finance Journal, Elsevier, vol. 11(1), pages 45-59, January.
    71. Jean-Sébastien Fontaine & René Garcia & Sermin Gungor, 2016. "Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns," CIRANO Working Papers 2016s-21, CIRANO.
    72. Salil K. Sarkar & Niranjan Tripathy, 2002. "An empirical analysis of the impact of stock index futures trading on securities dealers' inventory risk in the NASDAQ market," Review of Financial Economics, John Wiley & Sons, vol. 11(1), pages 1-17.
    73. Nont Dhiensiri & Akin Sayrak, 2010. "The value impact of analyst coverage," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 9(3), pages 306-331, August.
    74. Tao Chen, 2009. "Informational Efficiency: Which Institutions Matter?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(2), pages 141-168, June.
    75. Múnera, Daimer J. & Agudelo, Diego A., 2022. "Who moved my liquidity? Liquidity evaporation in emerging markets in periods of financial uncertainty," Journal of International Money and Finance, Elsevier, vol. 129(C).
    76. Rania Hentati & Jean-Luc Prigent & Nadia Belkhir Boujelbene & Abdelfatteh Bouri & Jean Luc Prigent, 2011. "Ownership structure and stock market liquidity: evidence from Tunisia," Post-Print hal-03679711, HAL.
    77. Vu, Van & Chai, Daniel & Do, Viet, 2015. "Empirical tests on the liquidity-adjusted capital asset pricing model," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 73-89.
    78. Ibrahim, Boulis Maher & Kalaitzoglou, Iordanis Angelos, 2016. "Why do carbon prices and price volatility change?," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 76-94.
    79. Malik Muhammad Shehr Yar & Attiya Yasmin Javid, 2014. "Liquidity Benefits From Underpricing: Evidence from Initial Public Offerings Listed at Karachi Stock Exchange," PIDE-Working Papers 2014:101, Pakistan Institute of Development Economics.
    80. Niranjan Tripathy & Richard L. Peterson, 1991. "The Relationship Between Otc Bid-Ask Spreads And Dealer Size: The Impact Of Order-Processing And Diversification Costs," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(2), pages 117-127, June.
    81. Laux, Paul A., 1995. "Dealer market structure, outside competition, and the bid-ask spread," Journal of Economic Dynamics and Control, Elsevier, vol. 19(4), pages 683-710, May.
    82. Sias, Richard W. & Starks, Laura T., 1997. "Return autocorrelation and institutional investors," Journal of Financial Economics, Elsevier, vol. 46(1), pages 103-131, October.
    83. Lee, Jie-Haun & Lin, Shu-Ying & Lee, Wan-Chen & Tsao, Chueh-Yung, 2006. "Common factors in liquidity: Evidence from Taiwan's OTC stock market," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 306-327.
    84. Bryant, Henry L. & Haigh, Michael S., 2002. "Bid-Ask Spreads In Commodity Futures Markets," Working Papers 28587, University of Maryland, Department of Agricultural and Resource Economics.
    85. Zhang, Wei & Huang, Ke & Feng, Xu & Zhang, Yongjie, 2017. "Market maker competition and price efficiency: Evidence from China," Economic Modelling, Elsevier, vol. 66(C), pages 121-131.
    86. Ali, Ashiq & Chen, Tai-Yuan & Radhakrishnan, Suresh, 2007. "Corporate disclosures by family firms," Journal of Accounting and Economics, Elsevier, vol. 44(1-2), pages 238-286, September.
    87. Mohamed Arouri & Amal Aouadi & Philippe Foulquier & Frédéric Teulon, 2013. "Can Information Demand Help to Predict Stock Market Liquidity ? Google it !," Working Papers 2013-24, Department of Research, Ipag Business School.
    88. Cheng Guo & Jinwu Gao, 2017. "Optimal dealer pricing under transaction uncertainty," Journal of Intelligent Manufacturing, Springer, vol. 28(3), pages 657-665, March.
    89. D. G. DeBoskey & Peter R. Gillett, 2019. "Another Look: The Impact of Multi-Dimensional Corporate Transparency on US Firms’ Market Liquidity and Analyst Forecast Properties," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-35, June.
    90. Koopman, S.J.M. & Lai, H.N., 1998. "Modelling bid-ask spreads in competitive dealership markets," Discussion Paper 1998-032, Tilburg University, Center for Economic Research.
    91. Chung, Kee H. & Van Ness, Bonnie F. & Van Ness, Robert A., 1999. "Limit orders and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 53(2), pages 255-287, August.
    92. Berkman, Henk & Koch, Paul D., 2008. "Noise trading and the price formation process," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 232-250, March.
    93. Youngsoo Kim & Vikas Mehrotra, 2007. "Competition and Market Structure of National Association of Securities Dealers Automated Quotations," International Review of Finance, International Review of Finance Ltd., vol. 7(3‐4), pages 143-160, September.
    94. De Cesari, Amedeo & Espenlaub, Susanne & Khurshed, Arif, 2011. "Stock repurchases and treasury share sales: Do they stabilize price and enhance liquidity?," Journal of Corporate Finance, Elsevier, vol. 17(5), pages 1558-1579.
    95. Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society.
    96. Ryan Davis & Todd Griffith & Brian Roseman & Serhat Yildiz, 2021. "The effects of exchange listing on market quality: Evidence from over‐the‐counter uplistings," The Financial Review, Eastern Finance Association, vol. 56(4), pages 645-669, November.
    97. Tobias J. Moskowitz, 2021. "Asset Pricing and Sports Betting," Journal of Finance, American Finance Association, vol. 76(6), pages 3153-3209, December.
    98. Kee, H. Chung & McInish, Thomas H. & Wood, Robert A. & Wyhowski, Donald J., 1995. "Production of information, information asymmetry, and the bid-ask spread: Empirical evidence from analysts' forecasts," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1025-1046, September.
    99. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
    100. Neal, Robert & Wheatley, Simon M., 1998. "Adverse selection and bid-ask spreads: Evidence from closed-end funds," Journal of Financial Markets, Elsevier, vol. 1(1), pages 121-149, April.
    101. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003. "An empirical analysis of stock and bond market liquidity," Staff Reports 164, Federal Reserve Bank of New York.
    102. Kale, Jayant R. & Loon, Yee Cheng, 2011. "Product market power and stock market liquidity," Journal of Financial Markets, Elsevier, vol. 14(2), pages 376-410, May.
    103. Gerald A. Blum & William A. Kracaw & Wilbur G. Lewellen, 1986. "Determinants Of The Execution Costs Of Common Stock Trades By Individual Investors," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(4), pages 291-301, December.
    104. Edith Ginglinger & Jacques Hamon, 2009. "Share repurchase regulations: do firms play by the rules?," Post-Print halshs-00143974, HAL.
    105. Hasbrouck, Joel & Saar, Gideon, 2009. "Technology and liquidity provision: The blurring of traditional definitions," Journal of Financial Markets, Elsevier, vol. 12(2), pages 143-172, May.
    106. Chai, Daniel & Faff, Robert & Gharghori, Philip, 2010. "New evidence on the relation between stock liquidity and measures of trading activity," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 181-192, June.
    107. Attig, Najah & Fong, Wai-Ming & Gadhoum, Yoser & Lang, Larry H.P., 2006. "Effects of large shareholding on information asymmetry and stock liquidity," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2875-2892, October.
    108. Ormazabal, Gaizka & Barth, Mary E. & Badia, Marc & Duro, Miguel, 2017. "Firm Risk and Disclosures about Dispersion in Asset Values:," CEPR Discussion Papers 12144, C.E.P.R. Discussion Papers.
    109. Li, Mingsheng & Eisenstadt, Robert C., 2005. "Price support and spreads in the IPO aftermarket: An empirical microstructure study," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 748-766, September.
    110. Chan, Howard Wei-Hong & Pinder, Sean M., 2000. "The value of liquidity: Evidence from the derivatives market," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 483-503, July.
    111. Pinder, Sean, 2003. "An empirical examination of the impact of market microstructure changes on the determinants of option bid-ask spreads," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 563-577.
    112. Azevedo, Alcino & Karim, Mohamad & Gregoriou, Andros & Rhodes, Mark, 2014. "Stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysian KLCI," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 20-35.
    113. Byomakesh Debata & Jitendra Mahakud, 2018. "Interdependence between Monetary Policy and Stock Liquidity: A Panel VAR Approach," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 12(4), pages 387-413, November.
    114. Matthew Spiegel & Xiaotong Wang, 2005. "Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk," Yale School of Management Working Papers amz2540, Yale School of Management, revised 01 Mar 2006.
    115. Lipson, Marc L. & Mortal, Sandra, 2009. "Liquidity and capital structure," Journal of Financial Markets, Elsevier, vol. 12(4), pages 611-644, November.
    116. Petrasek, Lubomir, 2010. "Multimarket trading and the cost of debt: evidence from global bonds," Working Paper Series 1212, European Central Bank.
    117. Loginov, Alexander & Heywood, Malcolm, 2020. "On the different impacts of fixed versus floating bid-ask spreads on an automated intraday stock trading," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    118. Giuseppe Buccheri & Stefano Grassi & Giorgio Vocalelli, 2021. "Estimating Risk in Illiquid Markets: a Model of Market Friction with Stochastic Volatility," CEIS Research Paper 506, Tor Vergata University, CEIS, revised 08 Nov 2021.
    119. Paolo Mazza, 2015. "Price dynamics and market liquidity: An intraday event study on Euronext," Post-Print hal-01563014, HAL.
    120. Rick Bookstaber & Mark Paddrik & Brian Tivnan, 2014. "An Agent-based Model for Financial Vulnerability," Working Papers 14-05, Office of Financial Research, US Department of the Treasury, revised Sep 2014.
    121. Susanne Cannon & Rebel Cole, 2011. "Changes in REIT Liquidity 1988–2007: Evidence from Daily Data," The Journal of Real Estate Finance and Economics, Springer, vol. 43(1), pages 258-280, July.
    122. Michael Aitken & Amaryllis Kua & Philip Brown & Terry Watter & H. Y. Izan, 1995. "An Intraday Analysis of the Probability of Trading on the ASX at the Asking Price," Australian Journal of Management, Australian School of Business, vol. 20(2), pages 115-154, December.
    123. Sensoy, Ahmet, 2019. "Commonality in ask-side vs. bid-side liquidity," Finance Research Letters, Elsevier, vol. 28(C), pages 198-207.
    124. Robert J. Elliott & Dilip B. Madan & Tak Kuen Siu, 2021. "Two price economic equilibria and financial market bid/ask prices," Annals of Finance, Springer, vol. 17(1), pages 27-43, March.
    125. R. Corwin Grube & O. Maurice Joy, 1988. "Some Evidence On The Efficacy Of Security Credit Regulation In The Otc Equity Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(2), pages 137-142, June.
    126. Levine, Ross & Schmukler, Sergio L., 2007. "Migration, spillovers, and trade diversion: The impact of internationalization on domestic stock market activity," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1595-1612, June.
    127. Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2005. "The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms," University of California at Los Angeles, Anderson Graduate School of Management qt6z81z2wc, Anderson Graduate School of Management, UCLA.
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    Cited by:

    1. James C. Van Horne & Hal B. Heaton, 1983. "Securities Inventories And Excess Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(2), pages 93-102, June.
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    4. Bruno Biais, 1990. "Formation des prix sur les marchés de contrepartie. Une synthèse de la littérature récente," Revue Économique, Programme National Persée, vol. 41(5), pages 755-788.
    5. Joseph J. Schultz Jr. & Sandra G. Gustavson & Frank K. Reilly, 1985. "Factors Influencing The New York Stock Exchange Specialists' Price-Setting Behavior: An Experiment," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(2), pages 137-144, June.
    6. Venkateswar, Sankaran, 1992. "Replacement cost disclosures, information asymmetry and market-maker behaviour: Assessment through the bid-ask spread," The British Accounting Review, Elsevier, vol. 24(2), pages 139-155.
    7. Frino, Alex & Jarnecic, Elvis, 2000. "An empirical analysis of the supply of liquidity by locals in futures markets: Evidence from the Sydney Futures Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 443-456, July.
    8. Wu, Chunchi, 2004. "Information flow, volatility and spreads of infrequently traded Nasdaq stocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 20-43, February.
    9. Gray, Stephen F. & Smith, Tom & Whaley, Robert E., 2003. "Stock splits: implications for investor trading costs," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 271-303, May.

  3. Thomas Ho & Hans Stoll, "undated". "Optimal Dealer Pricing Under Transactions and Return Uncertainty," Rodney L. White Center for Financial Research Working Papers 27-79, Wharton School Rodney L. White Center for Financial Research.

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    8. Rhys ap Gwilym & M. Shahid Ebrahim & Abdelkader O. El Alaoui & Hamid Rahman & Abderrahim Taamouti, 2019. "Financial Frictions and the Futures Pricing Puzzle," Working Papers 2019_07, Durham University Business School.
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    18. van den Goorbergh, R.W.J. & de Roon, F.A. & Werker, B.J.M., 2003. "Economic Hedging Portfolios," Discussion Paper 2003-102, Tilburg University, Center for Economic Research.
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    30. Brian J. Henderson & Neil D. Pearson & Li Wang, 2015. "Editor's Choice New Evidence on the Financialization of Commodity Markets," The Review of Financial Studies, Society for Financial Studies, vol. 28(5), pages 1285-1311.
    31. Pietz, Matthäus, 2009. "Risk premia in the German electricity futures market," CEFS Working Paper Series 2009-07, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).

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    4. Pippenger, John, 2022. "The Law Of One Price, Borders And Purchasing Power Parity," University of California at Santa Barbara, Economics Working Paper Series qt5b17d1dr, Department of Economics, UC Santa Barbara.
    5. Kapil Gupta & Balwinder Singh, 2009. "Information Memory and Pricing Efficiency of Futures Contracts," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 191-250, May.
    6. Philipp Adämmer & Martin T. Bohl & Ernst-Oliver Ledebur, 2017. "Dynamics Between North American And European Agricultural Futures Prices During Turmoil And Financialization," Bulletin of Economic Research, Wiley Blackwell, vol. 69(1), pages 57-76, January.
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    9. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2013. "Market efficiency in the European carbon markets," Energy Policy, Elsevier, vol. 60(C), pages 785-792.
    10. Sevrin Waights, 2018. "Does the law of one price hold for hedonic prices?," Urban Studies, Urban Studies Journal Limited, vol. 55(15), pages 3299-3317, November.
    11. Amrinder Singh & Tarun Kumar Soni, 2021. "Price Transmission in Cotton Futures Market: Evidence from Three Countries," JRFM, MDPI, vol. 14(9), pages 1-14, September.
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    18. Bohl, Martin T. & Gross, Christian & Souza, Waldemar, 2019. "The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 203-215.
    19. Kashyap Ravi, 2020. "The Economics of Enlightenment: Time Value of Knowledge and the Net Present Value (NPV) of Knowledge Machines, A Proposed Approach Adapted from Finance," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 20(2), pages 1-23, April.
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Articles

  1. Kim, Sukwon Thomas & Stoll, Hans R., 2014. "Are trading imbalances indicative of private information?," Journal of Financial Markets, Elsevier, vol. 20(C), pages 151-174.

    Cited by:

    1. Alasdair Brown & Fuyu Yang, 2014. "The Role of Speculative Trade in Market Efficiency: Evidence from a Betting Exchange," University of East Anglia Applied and Financial Economics Working Paper Series 068, School of Economics, University of East Anglia, Norwich, UK..
    2. Abhinava Tripathi, 2021. "The Arrival of Information and Price Adjustment Across Extreme Quantiles: Global Evidence," IIM Kozhikode Society & Management Review, , vol. 10(1), pages 7-19, January.
    3. Jan Hanousek & Hoje Jo & Christos Pantzalis & Jung Chul Park, 2023. "A Dilemma of Self-interest vs. Ethical Responsibilities in Political Insider Trading," Journal of Business Ethics, Springer, vol. 187(1), pages 137-167, September.
    4. Zhang, Sijia & Gregoriou, Andros, 2021. "The impact of order flow on event study returns: New evidence from zero-leverage firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 627-634.
    5. Chung, Y. Peter & Hong, Hyun A. & Kim, S. Thomas, 2019. "What causes the asymmetric correlation in stock returns?," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 190-212.
    6. Jeffrey R. Black & Pankaj K. Jain & Wei Sun, 2023. "Trade-time clustering," Review of Quantitative Finance and Accounting, Springer, vol. 60(3), pages 1209-1242, April.
    7. Hoang, Lai T. & Baur, Dirk G., 2022. "Loaded for bear: Bitcoin private wallets, exchange reserves and prices," Journal of Banking & Finance, Elsevier, vol. 144(C).
    8. Ting Zhang & George J. Jiang & Wei‐Xing Zhou, 2021. "Order imbalance and stock returns: New evidence from the Chinese stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 2809-2836, June.
    9. Justin Cox, 2021. "ISO order imbalances and individual stock returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(1), pages 5-23, April.
    10. Acheson, Graeme G. & Coyle, Christopher & Turner, John D., 2018. "Prices and informed trading: Evidence from an early stock market," QUCEH Working Paper Series 2018-05, Queen's University Belfast, Queen's University Centre for Economic History.
    11. Kim, Thomas, 2015. "Does individual-stock skewness/coskewness reflect portfolio risk?," Finance Research Letters, Elsevier, vol. 15(C), pages 167-174.
    12. Yang, Yung Chiang & Zhang, Bohui & Zhang, Chu, 2020. "Is information risk priced? Evidence from abnormal idiosyncratic volatility," Journal of Financial Economics, Elsevier, vol. 135(2), pages 528-554.
    13. Abad, David & Massot, Magdalena & Pascual, Roberto, 2018. "Evaluating VPIN as a trigger for single-stock circuit breakers," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 21-36.
    14. Duarte, Jefferson & Hu, Edwin & Young, Lance, 2020. "A comparison of some structural models of private information arrival," Journal of Financial Economics, Elsevier, vol. 135(3), pages 795-815.
    15. Laurence Lescourret, 2017. "Cold Case File? Inventory Risk and Information Sharing during the pre†1997 NASDAQ," European Financial Management, European Financial Management Association, vol. 23(4), pages 761-806, September.

  2. Barraclough, Kathryn & Stoll, Hans R. & Whaley, Robert E., 2012. "Stock option contract adjustments: The case of special dividends," Journal of Financial Markets, Elsevier, vol. 15(2), pages 233-257.

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    1. Angel Tengulov & Robert E. Whaley, 2020. "Levered and inverse VIX ETP option contract adjustments: No harm, no foul?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3253-3277, December.

  3. Pool, Veronika Krepely & Stoll, Hans R. & Whaley, Robert E., 2008. "Failure to exercise call options: An anomaly and a trading game," Journal of Financial Markets, Elsevier, vol. 11(1), pages 1-35, February.

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    1. Pedersen, Lasse Heje & Vestergaard Jensen, Mads, 2015. "Early Option Exercise: Never Say Never," CEPR Discussion Papers 11019, C.E.P.R. Discussion Papers.
    2. F. Douglas Foster & Geoffrey J. Warren, 2015. "Why Might Investors Choose Active Management?," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 16(1), pages 20-39, January.
    3. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012. "Valuing American Options Using Fast Recursive Projections," Swiss Finance Institute Research Paper Series 12-26, Swiss Finance Institute.
    4. Eickholt, Mathias, 2014. "Behavioral financial engineering in the fixed-income market: The influence of the coupon structure," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 16, University of Passau, Faculty of Business and Economics.
    5. Chockalingam, Arun & Feng, Haolin, 2015. "The implication of missing the optimal-exercise time of an American option," European Journal of Operational Research, Elsevier, vol. 243(3), pages 883-896.
    6. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2016. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps," Swiss Finance Institute Research Paper Series 16-73, Swiss Finance Institute.
    7. Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2014. "What makes individual investors exercise early? Empirical evidence from the fixed-income market," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 15, University of Passau, Faculty of Business and Economics.
    8. Simon Scheidegger & Adrien Treccani, 2021. "Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations [Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion]," Journal of Financial Econometrics, Oxford University Press, vol. 19(2), pages 258-290.
    9. Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2014. "Individual investors and suboptimal early exercises in the fixed-income market," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 14, University of Passau, Faculty of Business and Economics.
    10. Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2018. "What makes individual investors exercise early? Empirical evidence from non-tradable fixed-income products," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 318-334.

  4. Stoll, Hans R. & Schenzler, Christoph, 2006. "Trades outside the quotes: Reporting delay, trading option, or trade size?," Journal of Financial Economics, Elsevier, vol. 79(3), pages 615-653, March.

    Cited by:

    1. Manahov, Viktor, 2016. "A note on the relationship between high-frequency trading and latency arbitrage," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 281-296.
    2. Brian J. Bushee & John E. Core & Wayne Guay & Sophia J.W. Hamm, 2010. "The Role of the Business Press as an Information Intermediary," Journal of Accounting Research, Wiley Blackwell, vol. 48(1), pages 1-19, March.
    3. Alexander, Gordon J. & Peterson, Mark A., 2008. "The effect of price tests on trader behavior and market quality: An analysis of Reg SHO," Journal of Financial Markets, Elsevier, vol. 11(1), pages 84-111, February.
    4. Hollander, S., 2007. "The merits and economic consequences of reputation : Three essays," Other publications TiSEM d9932a90-7aac-4b23-bf99-6, Tilburg University, School of Economics and Management.
    5. Bartlett, Robert P. & McCrary, Justin, 2019. "How rigged are stock markets? Evidence from microsecond timestamps," Journal of Financial Markets, Elsevier, vol. 45(C), pages 37-60.
    6. Chao Ma & Hao Zhang & Hongbiao Zhao, 2023. "Securitization of assets with payment delay risk: A financial innovation in the real estate market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(4), pages 480-515, April.
    7. Yacine Aït-Sahalia & Jean Jacod, 2010. "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," NBER Working Papers 15808, National Bureau of Economic Research, Inc.
    8. Chakrabarty, Bidisha & Li, Bingguang & Nguyen, Vanthuan & Van Ness, Robert A., 2007. "Trade classification algorithms for electronic communications network trades," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3806-3821, December.
    9. Dale W. R. Rosenthal, 2012. "Modeling Trade Direction," Journal of Financial Econometrics, Oxford University Press, vol. 10(2), pages 390-415, 2012 04.
    10. Ben Omrane, Walid & Welch, Robert, 2016. "Tick test accuracy in foreign exchange ECN markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 135-152.
    11. Murray, Hamish & Pham, Thu Phuong & Singh, Harminder, 2016. "Latency reduction and market quality: The case of the Australian Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 257-265.
    12. Ciamac C. Moallemi & Mehmet Sağlam, 2013. "OR Forum---The Cost of Latency in High-Frequency Trading," Operations Research, INFORMS, vol. 61(5), pages 1070-1086, October.
    13. Hans R. Stoll, 2006. "Electronic Trading in Stock Markets," Journal of Economic Perspectives, American Economic Association, vol. 20(1), pages 153-174, Winter.
    14. Easley, David & Hendershott, Terrence & Ramadorai, Tarun, 2014. "Leveling the trading field," Journal of Financial Markets, Elsevier, vol. 17(C), pages 65-93.

  5. Hans R. Stoll, 2006. "Electronic Trading in Stock Markets," Journal of Economic Perspectives, American Economic Association, vol. 20(1), pages 153-174, Winter.

    Cited by:

    1. Ricardo Lagos & Guillaume Rocheteau, 2008. "Liquidity in asset markets with search frictions," Staff Report 408, Federal Reserve Bank of Minneapolis.
    2. Ahmad Al-Haji, "undated". "Are Small Stocks Illiquid? An Examination Of Liquidity-Improving Events," Review of Socio - Economic Perspectives 202068, Reviewsep.
    3. Baradarannia, M. Reza & Peat, Maurice, 2013. "Liquidity and expected returns—Evidence from 1926–2008," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 10-23.
    4. Söderberg, Jonas, 2008. "Liquidity on the Scandinavian Order-driven Stock Exchanges," CAFO Working Papers 2009:11, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
    5. Anne Michaels & Michael Grüning, 2017. "Relationship of corporate social responsibility disclosure on information asymmetry and the cost of capital," Journal of Management Control: Zeitschrift für Planung und Unternehmenssteuerung, Springer, vol. 28(3), pages 251-274, October.
    6. Allan M. Malz, 2021. "The GameStop Episode: What Happened and What Does It Mean?," Journal of Applied Corporate Finance, Morgan Stanley, vol. 33(4), pages 87-97, December.
    7. Robert J. Kauffman & Yuzhou Hu & Dan Ma, 2015. "Will high-frequency trading practices transform the financial markets in the Asia Pacific Region?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 1(1), pages 1-27, December.
    8. Jutta Dönges & Frank Heinemann & Tijmen R. Daniëls, 2013. "Crossing Network versus Dealer Market: Unique Equilibrium in the Allocation of Order Flow," SFB 649 Discussion Papers SFB649DP2013-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    9. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    10. Chung, Dennis Y. & Hrazdil, Karel, 2012. "Speed of convergence to market efficiency: The role of ECNs," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 702-720.
    11. Chaoshin Chiao & Zi-May Wang & Shiau-Yuan Tong, 2017. "Order cancellations across investor groups: evidence from an emerging order-driven market," Review of Quantitative Finance and Accounting, Springer, vol. 49(4), pages 1167-1193, November.
    12. Shynkevich, Andrei, 2012. "Short-term predictability of equity returns along two style dimensions," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 675-685.
    13. Sahar Afshan & Arshian Sharif & Abdelmohsen A. Nassani & Muhammad M. Q. Abro & Rubeena Batool & Khalid Zaman, 2021. "The role of information and communication technology (internet penetration) on Asian stock market efficiency: Evidence from quantile‐on‐quantile cointegration and causality approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2307-2324, April.
    14. Paulo Pereira Silva, 2018. "Fragmentation and Market Quality: The Case of European Markets," De Economist, Springer, vol. 166(2), pages 179-206, June.
    15. Dale W. R. Rosenthal, 2012. "Modeling Trade Direction," Journal of Financial Econometrics, Oxford University Press, vol. 10(2), pages 390-415, 2012 04.
    16. Viktoria Dalko & Michael H. Wang, 2020. "High-frequency trading: Order-based innovation or manipulation?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 289-298, December.
    17. Ben Omrane, Walid & Welch, Robert, 2016. "Tick test accuracy in foreign exchange ECN markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 135-152.
    18. Cantillon, Estelle & Yin, Pai-Ling, 2011. "Competition between exchanges: A research agenda," International Journal of Industrial Organization, Elsevier, vol. 29(3), pages 329-336, May.
    19. Kauffman, Robert J. & Liu, Jun & Ma, Dan, 2015. "Innovations in financial IS and technology ecosystems: High-frequency trading in the equity market," Technological Forecasting and Social Change, Elsevier, vol. 99(C), pages 339-354.
    20. G. Wuyts, 2007. "Stock Market Liquidity.Determinants and Implications," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(2), pages 279-316.
    21. Marszk, Adam & Lechman, Ewa, 2021. "Reshaping financial systems: The role of ICT in the diffusion of financial innovations – Recent evidence from European countries," Technological Forecasting and Social Change, Elsevier, vol. 167(C).
    22. Chung, Dennis & Hrazdil, Karel, 2010. "Liquidity and market efficiency: A large sample study," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2346-2357, October.
    23. Chung, Dennis Y. & Hrazdil, Karel, 2010. "Liquidity and market efficiency: Analysis of NASDAQ firms," Global Finance Journal, Elsevier, vol. 21(3), pages 262-274.
    24. Fong, Kingsley Y.L. & Liu, Wai-Man, 2010. "Limit order revisions," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1873-1885, August.
    25. Jon A. Fulkerson & Timothy B. Riley, 2017. "Mutual Fund Liquidity Costs," Financial Management, Financial Management Association International, vol. 46(2), pages 359-375, June.
    26. Meynhardt, Timo & von Müller, Camillo, 2013. "„Wir wollen Werte schaffen für die Gesellschaft“ – Der Public Value im Spannungsfeld zwischen Aktienwert und Gemeinwohl. Eine Fallstudie am Beispiel der Deutsche Börse AG," ZögU - Zeitschrift für öffentliche und gemeinwirtschaftliche Unternehmen, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 36(2-3), pages 119-149.
    27. Roll, Richard & Subrahmanyam, Avanidhar, 2010. "Liquidity skewness," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2562-2571, October.
    28. Ding, Liang & Hiltrop, Jonas, 2010. "The electronic trading systems and bid-ask spreads in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 323-345, October.
    29. Liao, Huei-Chu & Lee, Yi-Huey & Suen, Yu-Bo, 2008. "Electronic trading system and returns volatility in the oil futures market," Energy Economics, Elsevier, vol. 30(5), pages 2636-2644, September.

  6. Schlag, Christian & Stoll, Hans, 2005. "Price impacts of options volume," Journal of Financial Markets, Elsevier, vol. 8(1), pages 69-87, February.

    Cited by:

    1. Kang, Jangkoo & Park, Hyoung-Jin, 2008. "The information content of net buying pressure: Evidence from the KOSPI 200 index option market," Journal of Financial Markets, Elsevier, vol. 11(1), pages 36-56, February.
    2. Doojin Ryu & Doowon Ryu & Heejin Yang, 2021. "The impact of net buying pressure on index options prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 27-45, January.
    3. Webb, Robert I. & Ryu, Doojin & Ryu, Doowon & Han, Joongho, 2016. "The price impact of futures trades and their intraday seasonality," Emerging Markets Review, Elsevier, vol. 26(C), pages 80-98.
    4. Hwang, Lee-Seok & Lee, Woo-Jong & Lim, Seung-Yeon & Park, Kyung-Ho, 2013. "Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN," Journal of Accounting and Economics, Elsevier, vol. 55(2), pages 148-167.
    5. Nikolas Michael & Mihai Cucuringu & Sam Howison, 2022. "Option Volume Imbalance as a predictor for equity market returns," Papers 2201.09319, arXiv.org.
    6. Chang, Chuang-Chang & Hsieh, Pei-Fang & Lai, Hung-Neng, 2013. "The price impact of options and futures volume in after-hours stock market trading," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 984-1007.
    7. Ryu, Doojin & Yang, Heejin, 2017. "Price disagreements and adjustments in index derivatives markets," Economics Letters, Elsevier, vol. 151(C), pages 104-106.
    8. Anja Frommherz, 2019. "Price discovery of German index derivatives during financial turmoil," Review of Managerial Science, Springer, vol. 13(1), pages 147-179, February.
    9. Yang, Heejin & Kutan, Ali M. & Ryu, Doojin, 2019. "Volatility information trading in the index options market: An intraday analysis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 412-426.
    10. Lin, William T. & Tsai, Shih-Chuan & Zheng, Zhenlong & Qiao, Shuai, 2018. "Retrieving aggregate information from option volume," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 220-232.
    11. Xingguo Luo & Wenye Cai & Doojin Ryu, 2022. "Information contents of intraday SSE 50 ETF options trades," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 580-604, April.
    12. Ordu, Umut & Schweizer, Denis, 2015. "Executive compensation and informed trading in acquiring firms around merger announcements," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 260-280.
    13. Hsieh, Wen-liang G. & He, Huei-Ru, 2014. "Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 187-215.
    14. Kang, Bo Soo & Park, Chanhi & Ryu, Doojin & Song, Wonho, 2015. "Phase transition phenomenon: A compound measure analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 383-395.
    15. Huang, Teng-Ching & Tu, Yu-Chen & Chou, Heng-Chih, 2015. "Long memory and the relation between options and stock prices," Finance Research Letters, Elsevier, vol. 12(C), pages 77-91.
    16. Jun-Biao Lina & Ping-Yeh Su, 2017. "Idiosyncratic Volatility and Liquidity Risk: How they have Explanatory Power in Stock Returns," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(1), pages 1-2.
    17. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2010. "O/S: The relative trading activity in options and stock," Journal of Financial Economics, Elsevier, vol. 96(1), pages 1-17, April.
    18. Lee, Jaeram & Ryu, Doojin & Yang, Heejin, 2021. "Does vega-neutral options trading contain information?," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 294-314.
    19. Doojin Ryu & Jinyoung Yu, 2021. "Informed options trading around holidays," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 658-685, May.
    20. Natividad Blasco & Pilar Corredor & Rafael Santamaría, 2010. "Does informed trading occur in the options market? Some revealing clues," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(3), pages 555-579, September.
    21. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2014. "Trading activity in the equity market and its contingent claims: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 13-35.
    22. Avinash & T. Mallikarjunappa, 2020. "Informational Role of Open Interest and Transaction Volume of Options: A Meta-Analytic Review," FIIB Business Review, , vol. 9(4), pages 275-285, December.
    23. Lee, Jaeram & Kang, Jangkoo & Ryu, Doojin, 2015. "Common deviation and regime-dependent dynamics in the index derivatives markets," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 1-22.
    24. Yuanyuan Xu & Chongguang Li, 2018. "Liquidity of the Chinese Agricultural Futures Market and Its Impact on Futures Price—Based on High-Frequency Data," Sustainability, MDPI, vol. 10(12), pages 1-18, December.
    25. Li, Wei-Xuan & French, Joseph J. & Chen, Clara Chia-Sheng, 2017. "Informed trading in S&P index options? Evidence from the 2008 financial crisis," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 40-65.
    26. Dian‐Xuan Kao & Wei‐Che Tsai & Yaw‐Huei Wang & Kuang‐Chieh Yen, 2018. "An analysis on the intraday trading activity of VIX derivatives," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 158-174, February.
    27. Rajesh Pathak & Kaushik Bhattacharjee & Nagi Reddy V., 2015. "Information Content of Derivatives under Varying Market Conditions and Moneyness: The Case of S&P CNX Nifty Index Options," Global Business Review, International Management Institute, vol. 16(2), pages 281-302, April.
    28. Yi‐Wei Chuang & Wei‐Che Tsai & Ming‐Hung Wu, 2020. "The impact of net buying pressure on VIX option prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 209-227, February.
    29. Jongho Kang & Jangkoo Kang & Jaeram Lee, 2022. "Who and what drives informed options trading after the market opens?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 338-364, March.
    30. Weng, Pei-Shih & Tsai, Wei-Che, 2018. "Do foreign institutional traders have private information for the market index? The aspect of market microstructure," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 308-323.
    31. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
    32. Jaeram Lee & Doojin Ryu, 2016. "Asymmetric Mispricing and Regime-dependent Dynamics in Futures and Options Markets," Asian Economic Journal, East Asian Economic Association, vol. 30(1), pages 47-65, March.
    33. Lee, Yen-Hsien & Wang, David K., 2016. "Information content of investor trading behavior: Evidence from Taiwan index options market," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 149-160.
    34. Lin, William T. & Tsai, Shih-Chuan & Zheng, Zhenlong & Qiao, Shuai, 2017. "Does options trading convey information on futures prices?," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 182-196.
    35. Sensoy, Ahmet & Omole, John, 2022. "Information content of order imbalance in the index options market," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 418-432.

  7. Hans R. Stoll, 2002. "Regulation Of Financial Markets: Toward A Focused Approach," Journal of Applied Corporate Finance, Morgan Stanley, vol. 14(4), pages 122-128, January.

    Cited by:

    1. Udechukwu Ojiako & Tinashe Manungo & Max Chipulu & Johnnie Johnson, 2013. "The Impact of Regulation on Risk Perception: Evidence from the Zimbabwean Banking Industry," African Development Review, African Development Bank, vol. 25(3), pages 276-288, September.

  8. Huang, Roger D. & Stoll, Hans R., 2001. "Exchange rates and firms' liquidity: evidence from ADRs," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 297-325, June.

    Cited by:

    1. Bin, Feng-Shun & Morris, Gay B. & Chen, Dar-Hsin, 2003. "Effects of exchange-rate and interest-rate risk on ADR pricing behavior," The North American Journal of Economics and Finance, Elsevier, vol. 14(2), pages 241-262, August.
    2. Söderberg, Jonas, 2008. "Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia," CAFO Working Papers 2009:10, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
    3. Sebastian Auguste & Kathryn M.E. Dominguez & Herman Kamil & Linda L. Tesar, 2002. "Cross-Border Trading as a Mechanism for Capital Flight: ADRs and the Argentine Crisis," NBER Working Papers 9343, National Bureau of Economic Research, Inc.
    4. Bin, Feng-Shun & Blenman, Lloyd P. & Chen, Dar-Hsin, 2004. "Valuation impact of currency crises: Evidence from the ADR market," International Review of Financial Analysis, Elsevier, vol. 13(4), pages 411-432.
    5. Lee, Kuan-Hui & Sapriza, Horacio & Wu, Yangru, 2016. "Sovereign debt ratings and stock liquidity around the World," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 99-112.
    6. Shenghui Tong & James Murtagh & Richard Proctor, 2022. "Do ADR Firms Have Different Dividend Policies Than U.S. Firms? A Comparative Study," IJFS, MDPI, vol. 10(1), pages 1-10, February.
    7. Ricardo Correa & Kuan-Hui Lee & Horacio Sapriza & Gustavo A. Suarez, 2012. "Sovereign credit risk, banks' government support, and bank stock returns around the world," International Finance Discussion Papers 1069, Board of Governors of the Federal Reserve System (U.S.).
    8. Pasquariello, Paolo, 2008. "The anatomy of financial crises: Evidence from the emerging ADR market," Journal of International Economics, Elsevier, vol. 76(2), pages 193-207, December.
    9. Parhizgari, A.M. & Nguyen, D., 2008. "ADRs under momentum and contrarian strategies," Global Finance Journal, Elsevier, vol. 19(2), pages 102-122.
    10. Kadiyala, Padma & Kadiyala, Prasad, 2004. "ADRs as leading indicators of exchange rates," Emerging Markets Review, Elsevier, vol. 5(1), pages 83-107, March.

  9. Huang, Roger D. & Stoll, Hans R., 2001. "Tick Size, Bid-Ask Spreads, and Market Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(4), pages 503-522, December.

    Cited by:

    1. Oxelheim, Lars & Rafferty, Michael, 2002. "On the Static Efficiency of Secondary Bond Markets," Working Paper Series 2001/7, Lund University, Institute of Economic Research.
    2. Mishra, Ajay Kumar & Tripathy, Trilochan, 2018. "Price and trade size clustering: Evidence from the national stock exchange of India," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 63-72.
    3. Taffler, Richard J. & Lu, Jeffrey & Kausar, Asad, 2004. "In denial? Stock market underreaction to going-concern audit report disclosures," Journal of Accounting and Economics, Elsevier, vol. 38(1), pages 263-296, December.
    4. Narayan, Paresh Kumar & Smyth, Russell, 2011. "Has political instability contributed to price clustering on Fiji's stock market?," Working Papers fe_2011_03, Deakin University, Department of Economics.
    5. Vuorenmaa, Tommi A., 2008. "Decimalization, Realized Volatility, and Market Microstructure Noise," MPRA Paper 8692, University Library of Munich, Germany.
    6. Aritra Pan & Arun Kumar Misra & David McMillan, 2021. "A comprehensive study on bid-ask spread and its determinants in India," Cogent Economics & Finance, Taylor & Francis Journals, vol. 9(1), pages 1898735-189, January.
    7. Degryse, H.A. & de Jong, F.C.J.M. & van Kervel, V.L., 2011. "The Impact of Dark and Visible Fragmentation on Market Quality (Replaces EBC Discussion Paper 2011-013)," Other publications TiSEM 3ff46941-c3ff-4ba4-9a5b-d, Tilburg University, School of Economics and Management.
    8. Thanos Verousis & Pietro Perotti & Georgios Sermpinis, 2018. "One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 353-392, February.
    9. Zhao, Yan & Cheng, Lee-Young & Chang, Chong-Chuo & Ni, Cih-Ying, 2013. "Short sales, margin purchases and bid–ask spreads," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 199-220.
    10. Matthias Blonski & Ulf Lilienfeld-Toal, 2023. "Moral hazard with excess returns," Mathematics and Financial Economics, Springer, volume 17, number 6, June.
    11. David L. Ikenberry & James P. Weston, 2008. "Clustering in US Stock Prices after Decimalisation," European Financial Management, European Financial Management Association, vol. 14(1), pages 30-54, January.
    12. Degryse, H.A. & de Jong, F.C.J.M. & van Kervel, V.L., 2011. "The Impact of Dark and Visible Fragmentation on Market Quality (Replaces CentER Discussion Paper 2011-051)," Discussion Paper 2011-069, Tilburg University, Center for Economic Research.
    13. ap Gwilym, Owain & Verousis, Thanos, 2010. "Price clustering and underpricing in the IPO aftermarket," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 89-97, March.
    14. Kirsten Rüchardt & Bodo Vogt, 2009. "Comparison of the Stock Price Clustering of stocks which are traded in the US and Germany—Is XETRA more efficient than the NYSE?," FEMM Working Papers 09016, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    15. Gunther Capelle-Blancard & Mo Chaudhury, 2007. "Price clustering in the CAC 40 index options market," Post-Print halshs-00265668, HAL.
    16. Tse, Yiuman & Devos, Erik, 2004. "Trading costs, investor recognition and market response: An analysis of firms that move from the Amex (Nasdaq) to Nasdaq (Amex)," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 63-83, January.
    17. Foran, Jason & Hutchinson, Mark C. & O'Sullivan, Niall, 2015. "Liquidity commonality and pricing in UK equities," Research in International Business and Finance, Elsevier, vol. 34(C), pages 281-293.
    18. Ryan L. Davis & Stephen N. Jurich & Brian S. Roseman & Ethan D. Watson, 2018. "Short-Sale Restrictions and Price Clustering: Evidence from SEC Rule 201," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(3), pages 345-367, December.
    19. Ashton, John K. & Hudson, Robert S., 2008. "Interest rate clustering in UK financial services markets," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1393-1403, July.
    20. Ravi Kashyap, 2016. "A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes," Papers 1602.00839, arXiv.org, revised Jul 2019.
    21. Gabriele La Spada & J. Doyne Farmer & Fabrizio Lillo, 2010. "Tick size and price diffusion," Papers 1009.2329, arXiv.org, revised Oct 2010.
    22. Bharati, Rakesh & Crain, Susan J. & Kaminski, Vincent, 2012. "Clustering in crude oil prices and the target pricing zone hypothesis," Energy Economics, Elsevier, vol. 34(4), pages 1115-1123.
    23. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
    24. Foran, Jason & O'Sullivan, Niall, 2014. "Liquidity risk and the performance of UK mutual funds," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 178-189.
    25. Nabil Khoury & Stylianos Perrakis & Marko Savor, 2010. "PIP Transactions, Price Improvement, Informed Trades and Order Execution Quality," European Financial Management, European Financial Management Association, vol. 16(2), pages 211-228, March.
    26. Bogdan Negrea, 2011. "How to Compute the Liquidity Cost in the Orders-Driven Market?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(1), pages 007-019, June.
    27. Chen, Jiaqi & Sherif, Mohamed, 2016. "Illiquidity premium and expected stock returns in the UK: A new approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 52-66.
    28. Raphael Flepp & Stephan Nüesch & Egon Franck, 2014. "The Liquidity Advantage of the Quote-Driven Market: Evidence from the Betting Industry," Working Papers 342, University of Zurich, Department of Business Administration (IBW).
    29. Blonski, Matthias & von Lilienfeld-Toal, Ulf, 2008. "Excess returns and the distinguished player paradox," University of Göttingen Working Papers in Economics 78, University of Goettingen, Department of Economics.
    30. Alex Frino & Riccardo Palumbo & Francesco Capalbo & Dionigi Gerace & Vito Mollica, 2013. "Information Disclosure and Stock Liquidity: Evidence from Borsa Italiana," Abacus, Accounting Foundation, University of Sydney, vol. 49(4), pages 423-440, December.
    31. Degryse, H.A. & de Jong, F.C.J.M. & van Kervel, V.L., 2014. "The impact of dark trading and visible fragmentation on market quality," Other publications TiSEM a51b5d9e-2687-4972-930f-4, Tilburg University, School of Economics and Management.
    32. Ohta, Wataru, 2006. "An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 1023-1039, March.
    33. Münnix, Michael C. & Schäfer, Rudi & Guhr, Thomas, 2010. "Impact of the tick-size on financial returns and correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4828-4843.
    34. Dean Katselas & Baljit K. Sidhu & Tom Smith & Chuan Yu, 2019. "Independently Certified Industry‐specific Disclosures to the Capital Market: The JORC Code in the Australian Mining Industry," Abacus, Accounting Foundation, University of Sydney, vol. 55(1), pages 128-179, March.
    35. Jörg Rieger & Kirsten Rüchardt & Bodo Vogt, 2011. "Comparing High Frequency Data of Stocks that are Traded Simultaneously in the US and Germany: Simulated Versus Empirical Data," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 126-142, December.
    36. Olga Dodd & Christodoulos Louca, 2012. "International Cross-Listing and Shareholders’ Wealth," Multinational Finance Journal, Multinational Finance Journal, vol. 16(1-2), pages 49-86, March - J.
    37. Khalil Dayri & Mathieu Rosenbaum, 2012. "Large tick assets: implicit spread and optimal tick size," Papers 1207.6325, arXiv.org, revised Jan 2013.
    38. Khoury, Nabil & Perrakis, Stylianos & Savor, Marko, 2011. "Competition, interlisting and market structure in options trading," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 104-117, January.
    39. Hansson, Fredrik & Rüdow Fors, Erik, 2009. "Get Shorty? - Market Impact of the 2008-09 U.K. Short Selling Ban," Working Papers in Economics 365, University of Gothenburg, Department of Economics.

  10. Hans R. Stoll, 2000. "Presidential Address: Friction," Journal of Finance, American Finance Association, vol. 55(4), pages 1479-1514, August.

    Cited by:

    1. Cartea, Álvaro & Payne, Richard & Penalva, José & Tapia, Mikel, 2019. "Ultra-fast activity and intraday market quality," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 157-181.
    2. Yang, Ann Shawing & Carandang, Craig Alan Uyan, 2017. "Exploring the location and price differentials of cross-listed firms for arbitrage opportunities," Finance Research Letters, Elsevier, vol. 21(C), pages 85-91.
    3. Lesmond, David A., 2005. "Liquidity of emerging markets," Journal of Financial Economics, Elsevier, vol. 77(2), pages 411-452, August.
    4. Boulton, Thomas J. & Braga-Alves, Marcus V., 2010. "The skinny on the 2008 naked short-sale restrictions," Journal of Financial Markets, Elsevier, vol. 13(4), pages 397-421, November.
    5. Sebastian Utz & Martina Weber & Maximilian Wimmer, 2016. "German Mittelstand bonds: yield spreads and liquidity," Journal of Business Economics, Springer, vol. 86(1), pages 103-129, January.
    6. Uwe Helmes & Julia Henker & Thomas Henker & Tom Smith, 2017. "Effect of the ban on short selling on market prices and volatility," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(3), pages 727-757, September.
    7. Chelley-Steeley, Patricia & Park, Keebong, 2010. "The adverse selection component of exchange traded funds," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 65-76, January.
    8. O'Hara, Maureen & Ye, Mao, 2011. "Is market fragmentation harming market quality?," Journal of Financial Economics, Elsevier, vol. 100(3), pages 459-474, June.
    9. Mishra, Ajay Kumar & Tripathy, Trilochan, 2018. "Price and trade size clustering: Evidence from the national stock exchange of India," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 63-72.
    10. Dionne, Georges & Maalaoui Chun, Olfa, 2013. "Default and liquidity regimes in the bond market during the 2002-2012 period," Working Papers 13-4, HEC Montreal, Canada Research Chair in Risk Management.
    11. Carrion, Allen, 2013. "Very fast money: High-frequency trading on the NASDAQ," Journal of Financial Markets, Elsevier, vol. 16(4), pages 680-711.
    12. Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2001. "An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies," University of California at Los Angeles, Anderson Graduate School of Management qt9178v9kq, Anderson Graduate School of Management, UCLA.
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    1. David Abad & Roberto Pascual, 2007. "Switching to a temporary call auction in times of high uncertainty," CNMV Working Papers CNMV Working Papers no. 1, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
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    9. Masaaki Kijima & Christopher Ting, 2019. "Market Price Of Trading Liquidity Risk And Market Depth," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-36, December.
    10. Patrick J. Kelly, 2014. "Information Efficiency and Firm-Specific Return Variation," Working Papers w0208, New Economic School (NES).
    11. Sumon Kumar Bhaumik & Manisha Chakrabarty & Ali M. Kutan & Ekta Selarka, 2021. "How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(4), pages 795-818, December.
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    18. David Abad & Antonio Rubia, 2004. "Estimating The Probability Of Informed Trading: Further Evidence From An Order-Driven Market," Working Papers. Serie AD 2004-38, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
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    Cited by:

    1. Chin-Lin Chuang & Dar-Hsin Chen & Chung-Hsien Su, 2008. "Reexamining The Expiration Day Effects Of Stock Index Derivatives: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 2(2), pages 85-105.
    2. M. Illueca & J. A. LaFuente, 2006. "New evidence on expiration‐day effects using realized volatility: An intraday analysis for the Spanish stock exchange," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(9), pages 923-938, September.
    3. Chung, Huimin & Hseu, Mei-Maun, 2008. "Expiration day effects of Taiwan index futures: The case of the Singapore and Taiwan Futures Exchanges," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(2), pages 107-120, April.
    4. Milena Suliga, 2017. "Price reversal as potential expiration day effect of stock and index futures: evidence from Warsaw Stock Exchange," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(2), pages 201-225.
    5. Hou, Yang & Nartea, Gilbert, 2017. "Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash," MPRA Paper 81995, University Library of Munich, Germany.
    6. Tsung-Yu Hsieh, 2015. "Information disclosure and price manipulation during the pre-closing session: evidence from an order-driven market," Applied Economics, Taylor & Francis Journals, vol. 47(43), pages 4670-4684, September.
    7. Hsu, Chih-Hsiang & Lee, Hsiu-Chuan, 2014. "Insider trading and information revelation with the introduction of futures markets," Economic Modelling, Elsevier, vol. 43(C), pages 173-182.
    8. Sobhesh Kumar Agarwalla & Ajay Pandey, 2013. "Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(11), pages 1046-1070, November.
    9. Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
    10. Maniar, Hiren M. & Bhatt, Rajesh & Maniyar, Dharmesh M., 2009. ""Expiration hour effect of futures and options markets on stock market" -- A case study on NSE (National Stock Exchange of India)," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 381-391, June.
    11. Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2017. "Developing a Volume Forecasting Model," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(1), pages 1-1.
    12. Hsieh, Shu-Fan & Ma, Tai, 2009. "Expiration-day effects: Does settlement price matter?," International Review of Economics & Finance, Elsevier, vol. 18(2), pages 290-300, March.
    13. Benson, Karen & Faff, Robert & Smith, Tom, 2015. "Injecting liquidity into liquidity research," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 533-540.

  13. Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, vol. 41(3), pages 313-357, July.

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    1. Bartley R. Danielsen & Robert A. Van Ness & Richard S. Warr, 2007. "Auditor Fees, Market Microstructure, and Firm Transparency," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(1‐2), pages 202-221, January.
    2. Kathleen Fuller & Bonnie Ness & Robert Ness, 2010. "Is information risk priced for NASDAQ-listed stocks?," Review of Quantitative Finance and Accounting, Springer, vol. 34(3), pages 301-312, April.
    3. Wu, Zhen-Xing & Gau, Yin-Feng, 2022. "Informativeness of trades around macroeconomic announcements in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    4. Joe Chen, 2005. "The Market Structure of Nasdaq Dealer Markets and Quoting Conventions," CARF F-Series CARF-F-040, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    5. Kenneth Small & James Wansley & Matthew Hood, 2012. "The impact of security concentration on adverse selection costs and liquidity: an examination of exchange traded funds," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 261-281, April.
    6. Fabisik, Kornelia & Fahlenbrach, Rudiger & Stulz, Rene M. & Taillard, Jerome P., 2018. "Why are Firms with More Managerial Ownership Worth Less?," Working Paper Series 2018-24, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    7. Chung, Kee H. & Kim, Oliver & Lim, Steve C. & Yang, Sean, 2019. "An analytical measure of market underreaction to earnings news," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 612-624.
    8. Hegde, Shantaram P. & McDermott, John B., 2004. "The market liquidity of DIAMONDS, Q's, and their underlying stocks," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1043-1067, May.
    9. Desgranges, Gabriel & Foucault, Thierry, 2005. "Reputation-based pricing and price improvements," Journal of Economics and Business, Elsevier, vol. 57(6), pages 493-527.
    10. Baljit Sidhu & Tom Smith & Robert E. Whaley & Richard H. Willis, 2008. "Regulation Fair Disclosure and the Cost of Adverse Selection," Journal of Accounting Research, Wiley Blackwell, vol. 46(3), pages 697-728, June.
    11. Kedia, Simi & Zhou, Xing, 2011. "Local market makers, liquidity and market quality," Journal of Financial Markets, Elsevier, vol. 14(4), pages 540-567, November.
    12. Benjamin Blau & Matthew Hill & Hao Wang, 2011. "REIT Short Sales and Return Predictability," The Journal of Real Estate Finance and Economics, Springer, vol. 42(4), pages 481-503, May.
    13. Kee Chung & Jangkoo Kang & Joon-Seok Kim, 2011. "Tick size, market structure, and market quality," Review of Quantitative Finance and Accounting, Springer, vol. 36(1), pages 57-81, January.
    14. Battalio, Robert & Ellul, Andrew & Jennings, Robert, 2005. "Reputation effects in trading on the New York Stock Exchange," LSE Research Online Documents on Economics 24659, London School of Economics and Political Science, LSE Library.
    15. Kryzanowski, Lawrence & Rubalcava, Arturo, 2005. "International trade-venue clienteles and order-flow competitiveness," Journal of Financial Intermediation, Elsevier, vol. 14(1), pages 86-113, January.
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    Cited by:

    1. Ito, Akitoshi, 1999. "Profits on technical trading rules and time-varying expected returns: evidence from Pacific-Basin equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 283-330, August.
    2. Chin-Lin Chuang & Dar-Hsin Chen & Chung-Hsien Su, 2008. "Reexamining The Expiration Day Effects Of Stock Index Derivatives: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 2(2), pages 85-105.
    3. M. Illueca & J. A. LaFuente, 2006. "New evidence on expiration‐day effects using realized volatility: An intraday analysis for the Spanish stock exchange," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(9), pages 923-938, September.
    4. Henryk Gurgul & Milena Suliga, 2020. "Impact of futures expiration on underlying stocks: intraday analysis for Warsaw Stock Exchange," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 28(3), pages 869-904, September.
    5. Milena Suliga, 2017. "Price reversal as potential expiration day effect of stock and index futures: evidence from Warsaw Stock Exchange," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(2), pages 201-225.
    6. Michael Aitken & Carole Comerton‐Forde & Alex Frino, 2005. "Closing call auctions and liquidity," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(4), pages 501-518, December.
    7. Agarwal, Sumit & Liu, Chunlin & Rhee, S. Ghon, 2007. "Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London," Journal of International Money and Finance, Elsevier, vol. 26(1), pages 46-63, February.
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    11. Spurlin, W. Paul & Van Ness, Bonnie F. & Van Ness, Robert A., 2008. "Open volume and time to open on option-expiration days," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 245-257.
    12. Comerton-Forde, Carole & Rydge, James, 2006. "The influence of call auction algorithm rules on market efficiency," Journal of Financial Markets, Elsevier, vol. 9(2), pages 199-222, May.
    13. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2014. "Trading activity in the equity market and its contingent claims: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 13-35.
    14. Hans R. Stoll & Robert E. Whaley, 1997. "Expiration†Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures," Australian Journal of Management, Australian School of Business, vol. 22(2), pages 139-174, December.
    15. Edward Chow & Chung-Wen Hung & Christine Liu & Cheng-Yi Shiu, 2013. "Expiration day effects and market manipulation: evidence from Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 441-462, October.
    16. Emily Lin & Carl R. Chen, 2019. "Settlement procedures and stock market efficiency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 164-185, February.
    17. Chiang, Chin-Han, 2014. "Stock returns on option expiration dates: Price impact of liquidity trading," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 273-290.

  21. Haller, Andreas & Stoll, Hans R., 1989. "Market structure and transaction costs: Implied spreads in the German stock market," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 697-708, September.

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    1. Hartmut Schmidt & Michael Schleef, 2001. "Schlägt sich die Prinzipal-Agent-Beziehung zwischen Anlageinstitution und Bank in überhöhten Transaktionskosten nieder?," Schmalenbach Journal of Business Research, Springer, vol. 53(7), pages 663-689, November.
    2. Shin S. Ikeda, 2015. "Illiquidity in the Japanese Day-Ahead Electricity Market," GRIPS Discussion Papers 15-04, National Graduate Institute for Policy Studies.
    3. IKEDA Shin Suke, 2017. "Illiquidity in the Japan Electric Power Exchange," Discussion papers 17122, Research Institute of Economy, Trade and Industry (RIETI).
    4. Blennerhassett, Michael & Bowman, Robert G., 1998. "A change in market microstructure: the switch to electronic screen trading on the New Zealand stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 261-276, December.
    5. Theissen, Erik, 2000. "Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets," Journal of Financial Markets, Elsevier, vol. 3(4), pages 333-363, November.
    6. G. G. Booth & P. Iversen & S. K. Sarkar & H. Schmidt & A. Young, 1999. "Market structure and bid-ask spreads: IBIS vs Nasdaq," The European Journal of Finance, Taylor & Francis Journals, vol. 5(1), pages 51-71.
    7. C. Yiu & S. Wong & K. Chau, 2009. "Transaction Volume and Price Dispersion in the Presale and Spot Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 38(3), pages 241-253, April.
    8. Ikeda, Shin S., 2019. "Illiquidity in the Japan electric power exchange," Journal of Commodity Markets, Elsevier, vol. 14(C), pages 16-39.
    9. Shin S. Ikeda, 2013. "An Empirical Market Microstructure Analysis of the Implied Spread Cost in the Japanese Day-Ahead Electricity Market," GRIPS Discussion Papers 12-22, National Graduate Institute for Policy Studies.
    10. Hsini Mosbeh & Mohamed Nidhal MOSBAHI, 2016. "Stock Market Liquidity Measurement via the Bid-Ask Spread: Tunis Stockmarket," Business and Economic Research, Macrothink Institute, vol. 6(2), pages 65-78, December.
    11. Oehler, Andreas & Häcker, Mirko, 2003. "Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt," Discussion Papers 20, University of Bamberg, Chair of Finance.
    12. Alex Frino & Elvis Jarnecic & Hui Zheng, 2010. "Activity in futures: does underlying market size relate to futures trading volume?," Review of Quantitative Finance and Accounting, Springer, vol. 34(3), pages 313-325, April.
    13. Lorne N. Switzer & Haibo Fan, 2010. "Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment," International Econometric Review (IER), Econometric Research Association, vol. 2(1), pages 11-35, April.

  22. Hans R. Stoll, 1988. "Index futures, program trading, and stock market procedures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 8(4), pages 391-412, August.

    Cited by:

    1. Hans R. Stoll & Robert E. Whaley, 1997. "Expiration†Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures," Australian Journal of Management, Australian School of Business, vol. 22(2), pages 139-174, December.
    2. Emily Lin & Carl R. Chen, 2019. "Settlement procedures and stock market efficiency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 164-185, February.

  23. A. Protopapadakis, Aris & R. Stoll, Hans, 1986. "The Law of One Price in international commodity markets: A reformulation and some formal tests," Journal of International Money and Finance, Elsevier, vol. 5(3), pages 335-360, September.

    Cited by:

    1. Frankel, Jeffrey A. & Rose, Andrew K., 2010. "Determinants of Agricultural and Mineral Commodity Prices," Scholarly Articles 4450126, Harvard Kennedy School of Government.
    2. Pippenger, John, 2022. "The Law Of One Price, Borders And Purchasing Power Parity," University of California at Santa Barbara, Economics Working Paper Series qt5b17d1dr, Department of Economics, UC Santa Barbara.
    3. Lapham, Beverly J., 1995. "A dynamic general equilibrium analysis of deviations from the laws of one price," Journal of Economic Dynamics and Control, Elsevier, vol. 19(8), pages 1355-1389, November.
    4. Phillips, Llad & Pippenger, John, 2005. "Some Pitfalls in Testing the Law of One Price in Commodity Markets," University of California at Santa Barbara, Economics Working Paper Series qt92b16177, Department of Economics, UC Santa Barbara.
    5. John Sarich, 2006. "What do we know about the real exchange rate? A classical cost of production story," Review of Political Economy, Taylor & Francis Journals, vol. 18(4), pages 469-496.
    6. Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2021. "Long-run equilibrium in international assets and goods markets: Why is the Law of One Price required?," Post-Print hal-03330856, HAL.
    7. Christian Gillitzer & Jonathan Kearns, 2005. "Long-term Patterns in Australia’s Terms of Trade," RBA Research Discussion Papers rdp2005-01, Reserve Bank of Australia.
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    1. Klova, Valeriia, 2017. "IPO underpricing: What about the shipping sector?," Journal of Multinational Financial Management, Elsevier, vol. 42, pages 95-115.
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    3. Marco Rummer & Andreas Oehler & Peter N. Smith, 2004. "IPO Pricing and the Relative Importance of Investor Sentiment: Evidence from Germany," Money Macro and Finance (MMF) Research Group Conference 2004 62, Money Macro and Finance Research Group.
    4. Maria Hossain Sochi & Raisul Islam, 2018. "What Impacts IPO Underpricing? Evidence from Dhaka Stock Exchange," International Journal of Business and Management, Canadian Center of Science and Education, vol. 13(3), pages 1-88, February.
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    6. Catherine M. Daily & S. Trevis Certo & Dan R. Dalton & Rungpen Roengpitya, 2003. "IPO Underpricing: A Meta–Analysis and Research Synthesis," Entrepreneurship Theory and Practice, , vol. 27(3), pages 271-295, July.
    7. André F. Gygax & Stephanie Ong, 2011. "What Do Investment Banks Truly Bring to the Table?," Abacus, Accounting Foundation, University of Sydney, vol. 47(2), pages 121-157, June.
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    12. Lizińska Joanna & Czapiewski Leszek, 2019. "Long-Term Equity Performance in Poland – Searching for Answers with the Calendar-Time Portfolio Approach," Folia Oeconomica Stetinensia, Sciendo, vol. 19(1), pages 43-55, June.
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    43. Timo Lehmann & Matthias Weber, 2023. "Auctions versus bookbuilding: The effects of IPO regulation in Japan," The Financial Review, Eastern Finance Association, vol. 58(1), pages 117-141, February.
    44. Joanna Lizińska & Leszek Czapiewski, 2018. "Towards Economic Corporate Sustainability in Reporting: What Does Earnings Management around Equity Offerings Mean for Long-Term Performance?," Sustainability, MDPI, vol. 10(12), pages 1-23, November.

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    1. Kleopatra Nikolaou & Lucio Sarno, 2006. "New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 627-656, July.
    2. Louis T. W. Cheng & Joseph K. W. Fung & Castor Pang, 1998. "Early Unwinding Strategy In Index Options-Futures Arbitrage," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(4), pages 447-467, December.
    3. Keefe, Michael O'Connor & Yaghoubi, Mona, 2016. "The influence of cash flow volatility on capital structure and the use of debt of different maturities," Journal of Corporate Finance, Elsevier, vol. 38(C), pages 18-36.
    4. Ashiq Ali & Mark A. Trombley, 2006. "Short Sales Constraints and Momentum in Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(3‐4), pages 587-615, April.
    5. Ryu, Doojin & Yang, Heejin, 2017. "Price disagreements and adjustments in index derivatives markets," Economics Letters, Elsevier, vol. 151(C), pages 104-106.
    6. Karen Alpert, 2009. "The effects of taxation on put‐call parity," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(3), pages 445-464, September.
    7. Cayton, Peter Julian, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 63755, University Library of Munich, Germany.
    8. Deepika Krishnan & Raju G, 2018. "Performance Analysis of Volatile Strategy under Indian Options Market," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 9(1), pages 87-94, January.
    9. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci, 2012. "Put-Call Parity and Market Frictions," Working Papers 447, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    10. Davide E. Avino & Andrei Stancu & Chardin Wese Simen, 2021. "Dissecting Macroeconomic News," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 1047-1077, August.
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    16. Stephan Höcht & Dilip B. Madan & Wim Schoutens & Eva Verschueren, 2021. "It Takes Two to Tango: Estimation of the Zero-Risk Premium Strike of a Call Option via Joint Physical and Pricing Density Modeling," Risks, MDPI, vol. 9(11), pages 1-19, November.
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    25. Bruno Feunou & Ernest Tafolong, 2015. "Fourier Inversion Formulas for Multiple-Asset Option Pricing," Staff Working Papers 15-11, Bank of Canada.
    26. Zhang, Huiming & Watada, Junzo, 2019. "An analysis of the arbitrage efficiency of the Chinese SSE 50ETF options market," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 474-489.
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    29. George M. Frankfurter & Wai K. Leung, 1991. "Further Analysis Of The Put-Call Parity Implied Risk-Free Interest Rate," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(3), pages 217-232, September.
    30. Marianna Brunetti & Roberta De Luca, 2021. "Pairs Trading In The Index Options Market," CEIS Research Paper 512, Tor Vergata University, CEIS, revised 02 Sep 2021.
    31. Emanuel Derman & Nassim Nicholas Taleb, 2005. "The illusions of dynamic replication," Quantitative Finance, Taylor & Francis Journals, vol. 5(4), pages 323-326.
    32. Lorenzo Bastianello & Alain Chateauneuf & Bernard Cornet, 2022. "Put-Call Parities, absence of arbitrage opportunities and non-linear pricing rules," Papers 2203.16292, arXiv.org.
    33. Lucy F. Ackert & Yisong S. Tian, 2000. "Evidence on the efficiency of index options markets," Economic Review, Federal Reserve Bank of Atlanta, vol. 85(Q1), pages 40-51.
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    36. Ye, Wuyi & Chen, Pengzhan & Shi, Yining & Liu, Xiaoquan, 2022. "Trading restriction and the choice for derivatives," International Review of Financial Analysis, Elsevier, vol. 82(C).
    37. Ivan Damnjanovic & Xue Zhou, 2009. "Impact of crude oil market behaviour on unit bid prices: the evidence from the highway construction sector," Construction Management and Economics, Taylor & Francis Journals, vol. 27(9), pages 881-890.
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    39. Brunetti, Marianna & Torricelli, Costanza, 2005. "Put-call parity and cross-markets efficiency in the index options markets: evidence from the Italian market," International Review of Financial Analysis, Elsevier, vol. 14(5), pages 508-532.
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    42. Chang, Kuo-Ping, 2020. "On Option Greeks and Corporate Finance," MPRA Paper 102792, University Library of Munich, Germany.
    43. Wu, Xi & Wang, Yudong & Tong, Xinle, 2021. "Cash holdings and oil price uncertainty exposures," Energy Economics, Elsevier, vol. 99(C).
    44. Hansjörg Albrecher & Philipp Mayer, 2010. "Semi-Static Hedging Strategies For Exotic Options," World Scientific Book Chapters, in: Rüdiger Kiesel & Matthias Scherer & Rudi Zagst (ed.), Alternative Investments And Strategies, chapter 14, pages 345-373, World Scientific Publishing Co. Pte. Ltd..
    45. Geoffrey F. Loudon, 1988. "Put Call Parity Theory: Evidence From The Big Australian," Australian Journal of Management, Australian School of Business, vol. 13(1), pages 53-67, June.
    46. Hao, Jing & He, Feng & Liu-Chen, Baiao & Li, Zihe, 2021. "Price discovery and its determinants for the Chinese soybean options and futures markets," Finance Research Letters, Elsevier, vol. 40(C).
    47. El-Mekkaoui, Mazen & Flood, Mark D., 1998. "Put-call parity revisited: intradaily tests in the foreign currency options market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 357-376, December.
    48. Engstrom, Malin & Norden, Lars, 2000. "The early exercise premium in American put option prices," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 461-479, December.
    49. Peter Reichling & Anastasiia Zbandut, 2017. "Costs of capital under credit risk," FEMM Working Papers 170003, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    50. Li, Minqiang, 2008. "Approximate inversion of the Black-Scholes formula using rational functions," European Journal of Operational Research, Elsevier, vol. 185(2), pages 743-759, March.
    51. Hoque, Ariful & Chan, Felix & Manzur, Meher, 2008. "Efficiency of the foreign currency options market," Global Finance Journal, Elsevier, vol. 19(2), pages 157-170.
    52. Jianfeng Hu, 2020. "Is the synthetic stock price really lower than actual price?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1809-1824, December.
    53. Haug, Espen Gaarder & Taleb, Nassim Nicholas, 2011. "Option traders use (very) sophisticated heuristics, never the Black-Scholes-Merton formula," Journal of Economic Behavior & Organization, Elsevier, vol. 77(2), pages 97-106, February.
    54. Stephen L. Taylor, 1990. "Put-Call Parity: Evidence From the Australian Options Market," Australian Journal of Management, Australian School of Business, vol. 15(1), pages 203-216, June.
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  40. Hans R. Stoll, 1968. "An Empirical Study of the Forward Exchange Market under Fixed and Flexible Exchange Rate Systems," Canadian Journal of Economics, Canadian Economics Association, vol. 1(1), pages 55-78, February.

    Cited by:

    1. Adrian W. Throop, 1980. "Managed floating and the independence of interest rates," Economic Review, Federal Reserve Bank of San Francisco, issue Sum, pages 6-23.
    2. William Marois & Dominique Lacoue-Labarthe, 1979. "La théorie financière des mouvements internationaux de capitaux à court terme," Revue Économique, Programme National Persée, vol. 30(4), pages 612-649.
    3. Paul Ormerod, 1980. "The forward exchange rate for sterling and the efficiency of expectations," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 116(2), pages 205-224, June.
    4. Costas Karfakis, 2008. "What Determines the Forward Exchange Rate of the Euro?," Discussion Paper Series 2008_02, Department of Economics, University of Macedonia, revised Feb 2008.
    5. Alberto Giovannini, 1980. "The deviations from interest rate parity along the term structure of forward exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 116(2), pages 225-234, June.
    6. Thomas C. Glaessner, 1982. "The modern theory of forward foreign exchange: some new consistent estimates under rational expectations," International Finance Discussion Papers 206, Board of Governors of the Federal Reserve System (U.S.).

Chapters

  1. Stoll, Hans R., 2003. "Market microstructure," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 9, pages 553-604, Elsevier.

    Cited by:

    1. Kushankur Dey & Debasish Maitra, 2012. "Price discovery in Indian commodity futures market: an empirical exercise," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(1), pages 68-87.
    2. Lamoureux, Christopher G. & Wang, Qin, 2015. "Measuring private information in a specialist market," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 92-119.
    3. Ginglinger, Edith & Hamon, Jacques, 2007. "Actual share repurchases, timing and liquidity," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 915-938, March.
    4. Steven Anderson & Daniel Friedman & Garrett Milam & Nirvikar Singh, 2004. "Buy it Now: A Hybrid Internet Market Institution," Industrial Organization 0412003, University Library of Munich, Germany.
    5. Kovner, Anna, 2012. "Do underwriters matter? The impact of the near failure of an equity underwriter," Journal of Financial Intermediation, Elsevier, vol. 21(3), pages 507-529.
    6. Willis, Geoff, 2011. "Why money trickles up – wealth & income distributions," MPRA Paper 30851, University Library of Munich, Germany.
    7. Chung, Huimin, 2006. "Investor protection and the liquidity of cross-listed securities: Evidence from the ADR market," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1485-1505, May.
    8. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," LIDAM Discussion Papers CORE 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    9. Chung, Dennis Y. & Hrazdil, Karel, 2012. "Speed of convergence to market efficiency: The role of ECNs," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 702-720.
    10. Gomber, Peter & Jäger, Benedikt, 2014. "MiFID: Eine systematische Analyse der Zielerreichung," SAFE White Paper Series 14, Leibniz Institute for Financial Research SAFE.
    11. Visaltanachoti, Nuttawat & Yang, Ting, 2010. "Speed of convergence to market efficiency for NYSE-listed foreign stocks," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 594-605, March.
    12. Anselmi, Giulio & Nimalendran, Mahendrarajah & Petrella, Giovanni, 2022. "Order flow fragmentation and flight-to-transparency during stressed market conditions: Evidence from COVID-19," Finance Research Letters, Elsevier, vol. 44(C).
    13. Endo, Tadashi, 2020. "The primary dealer system in lower-income economies," Emerging Markets Review, Elsevier, vol. 45(C).
    14. Gresse, Carole, 2017. "Effects of lit and dark market fragmentation on liquidity," Journal of Financial Markets, Elsevier, vol. 35(C), pages 1-20.
    15. Bollen, Nicolas P. B. & Smith, Tom & Whaley, Robert E., 2004. "Modeling the bid/ask spread: measuring the inventory-holding premium," Journal of Financial Economics, Elsevier, vol. 72(1), pages 97-141, April.
    16. Loderer, Claudio & Roth, Lukas, 2005. "The pricing discount for limited liquidity: evidence from SWX Swiss Exchange and the Nasdaq," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 239-268, March.
    17. Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.
    18. Fong, Kingsley Y.L. & Liu, Wai-Man, 2010. "Limit order revisions," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1873-1885, August.
    19. Trauten, Andreas, 2004. "Zur Effizienz von Wertpapieremissionen über Internetplattformen," Working Papers 8, University of Münster, Competence Center Internet Economy and Hybrid Systems, European Research Center for Information Systems (ERCIS).
    20. Liu, Wai-Man, 2009. "Monitoring and limit order submission risks," Journal of Financial Markets, Elsevier, vol. 12(1), pages 107-141, February.

Books

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