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Citations for " Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models"

by Foster, F Douglas & Viswanathan, S

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Charles Goodhart & Takatoshi Ito & Richard Payne, 1995. "One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System," NBER Technical Working Papers 0179, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Takatosh Ito & Richard K. Lyons & Michael T. Melvin, 1997. "Is there private information in the FX market? the Tokyo experiment," Pacific Basin Working Paper Series 97-04, Federal Reserve Bank of San Francisco. [Downloadable!]
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  3. Peter C. Reiss & Ingrid M. Werner, 1994. "Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange," NBER Working Papers 4727, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Zdravetz Lazarov, 2005. "Assesing the Economic Significance of the Intra-daily Volatility Seasonalities," School of Economics and Finance Discussion Papers and Working Papers Series 203, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  5. Robert F. Engle & Joe Lange, 1997. "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market," NBER Working Papers 6129, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. Simon H. Kwan & Mark J. Flannery & M. Nimalendran, 1999. "Market evidence on the opaqueness of banking firms' assets," Working Papers in Applied Economic Theory 99-11, Federal Reserve Bank of San Francisco. [Downloadable!]
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  7. Robert Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 1999-05, Department of Economics, UC San Diego. [Downloadable!]
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  8. Takatoshi Ito & Yuko Hashimoto, 2006. "Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System," NBER Working Papers 12413, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  9. Alexander Gümbel, 2001. "Emerging Markets and Entry by Actively Managed Funds," OFRC Working Papers Series 2001fe12, Oxford Financial Research Centre. [Downloadable!]
  10. Yuko Hashimoto & Takatoshi Ito & Takaaki Ohnishi & Misako Takayasu & Hideki Takayasu & Tsutomu Watanabe, 2008. "Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability," NBER Working Papers 14160, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  11. Antonio Scalia & Valerio Vacca, 1999. "Does Market Transparency Matter? a Case Study," Temi di discussione (Economic working papers) 359, Bank of Italy, Economic Research Department. [Downloadable!]
  12. Katya Malinova & Andreas Park, 2009. "Trading Volume in Dealer Markets," Working Papers tecipa-357, University of Toronto, Department of Economics. [Downloadable!]
  13. Güray Küçükkocaoglu, 2008. "Intra-Day Stock Returns and Close-End Price Manipulation in the Istanbul Stock Exchange," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 5(1), pages 46-84, April. [Downloadable!]
  14. Alfonso Dufour & Robert Engle, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series 1999-15, Department of Economics, UC San Diego. [Downloadable!]
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  15. Niemeyer, Jonas & Sandås, Patrik, 1995. "An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange," Working Paper Series in Economics and Finance 44, Stockholm School of Economics. [Downloadable!]
  16. Pástor, Luboš & Stambaugh, Robert F, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  17. Torben G. Anderson & Tim Bollerslev & Ashish Das, 1998. "Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment," NBER Working Papers 6666, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  18. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2005. "Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs," DNB Working Papers 069, Netherlands Central Bank, Research Department. [Downloadable!]
  19. Andreas Krause, 2000. "Microstructure Effects on Daily Return Volatility in Financial Markets," Quantitative Finance Papers cond-mat/0011295, arXiv.org. [Downloadable!]
  20. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Working Papers 02-9, Bank of Canada. [Downloadable!]
  21. Kerry Back & Hal Pedersen, 1995. "Long-Lived Information and Intraday Patterns," Finance 9507008, EconWPA. [Downloadable!]
  22. K.C. Chan & Wai-Ming Fong & Rene M. Stulz, 1994. "Information, Trading and Stock Returns: Lessons from Dually-Listed Securities," NBER Working Papers 4743, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  23. A. Abhyankar, L.S. Copeland, W. Wong, 1999. "LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market," European Journal of Finance, Taylor and Francis Journals, vol. 5(2), pages 123-139, June. [Downloadable!] (restricted)
  24. Nikolaus Hautsch & Winfried Pohlmeier, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Paper 01-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  25. Hans Gerhard Heidle, 1999. "Market Microstructure and Asset Pricing: A Survey," Discussion Papers 691, The Research Institute of the Finnish Economy. [Downloadable!]
  26. Spierdijk, L. & Nijman, T.E. & Soest, A.H.O., 2002. "The price impact of trades in illiquid stocks in periods of high and low market activity," Discussion Paper 29, Tilburg University, Center for Economic Research. [Downloadable!]
  27. H. Henry Cao & Richard K. Lyons & Martin D.D. Evans, 2003. "Inventory Information," NBER Working Papers 9893, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  28. Roberto Pascual & Bartolomé Pascual-Fuste & Francisco Climent, 2001. "Cross-listing, Price Discovery and the Informativeness of the Trading Process," Business Economics Working Papers wb014511, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
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  29. Emilio Barucci & Claudio Impenna & Roberto Reno, 2003. "The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system," Temi di discussione (Economic working papers) 475, Bank of Italy, Economic Research Department. [Downloadable!]
  30. Stefania Albanesi & Barbara Rindi, 2000. "The Quality of the Italian Treasury Bond Market, Asymmetric Information and Transaction Costs," Annales d'Economie et de Statistique, ADRES, issue 60, pages 02, Octobre-D. [Downloadable!]
  31. Antulio N. Bomfim, 2000. "Pre-announcement effects, news, and volatility: monetary policy and the stock market," Finance and Economics Discussion Series 2000-50, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  32. M. A. Martínez & M. Tapia & J. Yzaguirre, 2005. "Information transmission around block trades on the Spanish stock exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 15(3), pages 173-186, February. [Downloadable!] (restricted)
  33. Kerry Back & Hal Pedersen, 1995. "Long-Lived Information and Intraday Patterns," Finance 9507009, EconWPA. [Downloadable!]
  34. Eric Ghysels & Christian Gourieroux & Joann Jasiak, 2000. "Causality between Returns and Traded Volumes," Annales d'Economie et de Statistique, ADRES, issue 60, pages 09, Octobre-D. [Downloadable!]
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  35. Hagströmer, Björn & Anderson, Richard G. & Binner, Jane & Nilsson, Birger, 2009. "Dynamics in Systematic Liquidity," Working Papers 2009:7, Lund University, Department of Economics. [Downloadable!]
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This page was last updated on 2010-1-3.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.