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Pre-trade transparency on the Italian Stock Exchange: a trade size model on panel data

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  • C. Lucarelli
  • M. E. Bontempi
  • C. Mazzoli
  • A. G. Quaranta

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Paper provided by Dipartimento Scienze Economiche, Universita' di Bologna in its series Working Papers with number 678.

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Date of creation: Sep 2009
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Handle: RePEc:bol:bodewp:678

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  1. Kleibergen, F.R. & Paap, R., 2003. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Institute Research Papers EI 2003-01, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Brad M. Barber & Terrance Odean, 2008. "All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 21(2), pages 785-818, April.
  3. Frank Kleibergen & Mark E Schaffer, 2007. "RANKTEST: Stata module to test the rank of a matrix using the Kleibergen-Paap rk statistic," Statistical Software Components S456865, Boston College Department of Economics, revised 24 Aug 2014.
  4. Bandi, Federico M. & Russell, Jeffrey R., 2006. "Separating microstructure noise from volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 79(3), pages 655-692, March.
  5. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/GMM estimation and testing," CERT Discussion Papers, Centre for Economic Reform and Transformation, Heriot Watt University 0706, Centre for Economic Reform and Transformation, Heriot Watt University.
  6. Brennan, Michael J & Subrahmanyam, Avanidhar, 1998. "The Determinants of Average Trade Size," The Journal of Business, University of Chicago Press, vol. 71(1), pages 1-25, January.
  7. Ekkehart Boehmer & Gideon Saar & Lei Yu, 2005. "Lifting the Veil: An Analysis of Pre-trade Transparency at the NYSE," Journal of Finance, American Finance Association, American Finance Association, vol. 60(2), pages 783-815, 04.
  8. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, Elsevier, vol. 18(1), pages 47-82, January.
  9. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1029-54, July.
  10. Chan, Yue-Cheong, 2000. "The price impact of trading on the stock exchange of Hong Kong," Journal of Financial Markets, Elsevier, Elsevier, vol. 3(1), pages 1-16, February.
  11. Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2004. "Does Anonymity Matter in Electronic Limit Order Markets?," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 3, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
  12. Forster, Margaret M. & George, Thomas J., 1992. "Anonymity in securities markets," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 2(2), pages 168-206, June.
  13. Hansen, Peter R. & Lunde, Asger, 2006. "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 24, pages 127-161, April.
  14. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
  15. Tarun Chordia, 2001. "Market Liquidity and Trading Activity," Journal of Finance, American Finance Association, American Finance Association, vol. 56(2), pages 501-530, 04.
  16. Amihud, Yakov & Mendelson, Haim, 1980. "Dealership market : Market-making with inventory," Journal of Financial Economics, Elsevier, Elsevier, vol. 8(1), pages 31-53, March.
  17. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2002. "Instrumental variables and GMM: Estimation and testing," United Kingdom Stata Users' Group Meetings 2003, Stata Users Group 02, Stata Users Group.
  18. Biais, Bruno, 1993. " Price Information and Equilibrium Liquidity in Fragmented and Centralized Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 48(1), pages 157-85, March.
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