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Citations for "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets"

by Foster, F Douglas & Viswanathan, S

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  1. Payne, Richard, 2003. "Informed trade in spot foreign exchange markets: an empirical investigation," Journal of International Economics, Elsevier, vol. 61(2), pages 307-329, December.
  2. Hong, Harrison & Rady, Sven, 2002. "Strategic trading and learning about liquidity," Journal of Financial Markets, Elsevier, vol. 5(4), pages 419-450, October.
  3. Renault, Eric & Werker, Bas J.M., 2011. "Causality effects in return volatility measures with random times," Journal of Econometrics, Elsevier, vol. 160(1), pages 272-279, January.
  4. Paolo Pasquariello & Clara Vega, 2006. "Informed and strategic order flow in the bond markets," International Finance Discussion Papers 874, Board of Governors of the Federal Reserve System (U.S.).
  5. Gouriéroux, Christian & Jasiak, Joanna & Le Fol, Gaëlle, 1999. "Intra-day market activity," Economics Papers from University Paris Dauphine 123456789/5478, Paris Dauphine University.
  6. Itay Goldstein & Assaf Razin, 2003. "An Information-Based Trade Off Between Foreign Direct Investment and Foreign Portfolio Investment: Volatility, Transparency, and Welfare," NBER Working Papers 9426, National Bureau of Economic Research, Inc.
  7. Brajesh Kumar & Priyanka Singh & Ajay Pandey, 2010. "The Dynamic Relationship between Price and Trading Volume: Evidence from Indian Stock Market," Working Papers id:2379, eSocialSciences.
  8. Takatoshi Ito Richard K. Lyons and Michael T. Melvin., 1997. "Is There Private Information in the FX Market? The Tokyo Experiment," Research Program in Finance Working Papers RPF-270, University of California at Berkeley.
  9. Yuko Hashimoto & Takatoshi Ito, 2009. "Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture," NBER Working Papers 15020, National Bureau of Economic Research, Inc.
  10. ap Gwilym, Owain & Thomas, Stephen, 2002. "An empirical comparison of quoted and implied bid-ask spreads on futures contracts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(1), pages 81-99, February.
  11. Huddart, Steven & Hughes, John S. & Brunnermeier, Markus, 1999. "Disclosure requirements and stock exchange listing choice in an international context," Journal of Accounting and Economics, Elsevier, vol. 26(1-3), pages 237-269, January.
  12. 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.
  13. Pagano, Michael S. & Peng, Lin & Schwartz, Robert A., 2008. "The quality of price formation at market openings and closings: Evidence from the Nasdaq stock market," CFS Working Paper Series 2008/45, Center for Financial Studies (CFS).
  14. H. Henry Cao & Martin D. Evans & Richard K. Lyons, 2006. "Inventory Information," The Journal of Business, University of Chicago Press, vol. 79(1), pages 325-364, January.
  15. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," CORE Discussion Papers 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  16. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2011. "Recent trends in trading activity and market quality," Journal of Financial Economics, Elsevier, vol. 101(2), pages 243-263, August.
  17. Ahn, Hee-Joon & Cheung, Yan-Leung, 1999. "The intraday patterns of the spread and depth in a market without market makers: The Stock Exchange of Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 539-556, December.
  18. Sandra Lechner & Ingmar Nolte, 2009. "Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform," Working Papers wp09-01, Warwick Business School, Finance Group.
  19. Bernhardt, Dan & Hughson, Eric, 1993. "Intraday Trade in Dealership Markets," Working Papers 852, California Institute of Technology, Division of the Humanities and Social Sciences.
  20. Andreas Krause, 2000. "Microstructure Effects on Daily Return Volatility in Financial Markets," Papers cond-mat/0011295, arXiv.org.
  21. Alfonso Dufour & Robert F. Engle, 2000. "Time and the Price Impact of a Trade," Journal of Finance, American Finance Association, vol. 55(6), pages 2467-2498, December.
  22. Becker, Kent G. & Finnerty, Joseph E. & Friedman, Joseph, 1995. "Economic news and equity market linkages between the U.S. and U.K," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1191-1210, October.
  23. Chan, Kalok & Chockalingam, Mark & Lai, Kent W. L., 2000. "Overnight information and intraday trading behavior: evidence from NYSE cross-listed stocks and their local market information," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 495-509, December.
  24. Jose Garcia Blandon, 2007. "Return autocorrelation anomalies in two European stock markets," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 22(1), pages 59-70, June.
  25. Chia-Ching Chang & Sheng-Syan Chen & Robin Chou & Chin-Wen Hsin, 2011. "Intraday return spillovers and its variations across trading sessions," Review of Quantitative Finance and Accounting, Springer, vol. 36(3), pages 355-390, April.
  26. Sklavos, Konstantinos & Dam, Lammertjan & Scholtens, Bert, 2013. "The liquidity of energy stocks," Energy Economics, Elsevier, vol. 38(C), pages 168-175.
  27. Grammig, Joachim G. & Theissen, Erik & Wünsche, Oliver, 2011. "Time and the price impact of a trade: A structural approach," CFS Working Paper Series 2011/08, Center for Financial Studies (CFS).
  28. Kumar, Brajesh & Singh, Priyanka & Pandey, Ajay, . "The Dynamic Relationship between Price and Trading Volume:Evidence from Indian Stock Market," IIMA Working Papers WP2009-12-04, Indian Institute of Management Ahmedabad, Research and Publication Department.
  29. Andrew W. Lo & A. Craig MacKinlay & June Zhang, . "Econometric Models of Limit-Order Executions," Rodney L. White Center for Financial Research Working Papers 12-99, Wharton School Rodney L. White Center for Financial Research.
  30. Dungey, Mardi & Henry, Olan & McKenzie, Michael, 2010. "From Trade-to-Trade in US Treasuries," Working Papers 10446, University of Tasmania, School of Economics and Finance, revised 01 May 2010.
  31. Kalev, Petko S. & Pham, Linh T., 2009. "Intraweek and intraday trade patterns and dynamics," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 547-564, November.
  32. Robert F. Engle & Martin Klint Hansen & Asger Lunde, 2012. "And Now, The Rest of the News: Volatility and Firm Specific News Arrival," CREATES Research Papers 2012-56, School of Economics and Management, University of Aarhus.
  33. Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005. "Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange," Cahiers de recherche 0533, CIRPEE.
  34. 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.
  35. Boccard, N. & Calcagno, R., 1999. "Asymmetries of information in centralized order-driven markets," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1999016, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  36. Dimitri Vayanos, 2001. "Strategic Trading in a Dynamic Noisy Market," Journal of Finance, American Finance Association, vol. 56(1), pages 131-171, 02.
  37. Pierre Collin-Dufresne & Vyacheslav Fos, 2012. "Insider Trading, Stochastic Liquidity and Equilibrium Prices," NBER Working Papers 18451, National Bureau of Economic Research, Inc.
  38. Yiuman Tse & Paramita Bandyopadhyay, 2006. "Multi-market trading in the Eurodollar futures market," Review of Quantitative Finance and Accounting, Springer, vol. 26(3), pages 321-341, May.
  39. Chang, Eric C. & Michael Pinegar, J. & Ravichandran, R., 1998. "US day-of-the-week effects and asymmetric responses to macroeconomic news," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 513-534, May.
  40. Â Leif Brandes & Â Egon Franck & Â Erwin Verbeek, . "Â The Validity of Models on the Information Content of Trades," Working Papers 00120, University of Zurich, Institute for Strategy and Business Economics (ISU), revised 2010.
  41. Raman Kumar & Marius Popescu, 2014. "The implied intra-day probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 42(2), pages 357-371, February.
  42. Alt, Raimund & Fortin, Ines & Weinberger, Simon, 2011. "The Monday effect revisited: An alternative testing approach," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 447-460, June.
  43. Berrada, Tony & Hugonnier, Julien & Rindisbacher, Marcel, 2007. "Heterogeneous preferences and equilibrium trading volume," Journal of Financial Economics, Elsevier, vol. 83(3), pages 719-750, March.
  44. Deb, Pragyan & Koo, Bonsoo & Liu, Zijun, 2014. "Competition, premature trading and excess volatility," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 178-193.
  45. Alex Boulatov & Dmitry Livdan, 2006. "Strategic Trading with Market Closures," 2006 Meeting Papers 44, Society for Economic Dynamics.
  46. Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April.
  47. Jon Wongswan, 2003. "Transmission of information across international equity markets," International Finance Discussion Papers 759, Board of Governors of the Federal Reserve System (U.S.).
  48. Chen, Tao & Li, Jie & Cai, Jun, 2008. "Information content of inter-trade time on the Chinese market," Emerging Markets Review, Elsevier, vol. 9(3), pages 174-193, September.
  49. Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctumd, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Working Papers 2013-027, Department of Research, Ipag Business School.
  50. Jon Danielsson & Richard Payne, 1999. "Real Trading Patterns and Prices in Spot Foreign Exchange Markets," FMG Discussion Papers dp320, Financial Markets Group.
  51. Cornett, Marcia Millon & Schwarz, Thomas V. & Szakmary, Andrew C., 1995. "Seasonalities and intraday return patterns in the foreign currency futures market," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 843-869, August.
  52. Hasbrouck, Joel & Seppi, Duane J., 2001. "Common factors in prices, order flows, and liquidity," Journal of Financial Economics, Elsevier, vol. 59(3), pages 383-411, March.
  53. Jiang Wang, 2002. "Trading Volume and Asset Prices," Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 299-359, November.
  54. Itay Goldstein & Assaf Razin, 2005. "Foreign Direct Investment vs. Foreiegn Portfolio Investment," NBER Working Papers 11047, National Bureau of Economic Research, Inc.
  55. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2004. "Market Impact Costs of Institutional Equity Trades," DNB Working Papers 001, Netherlands Central Bank, Research Department.
  56. Manganelli, Simone, 2005. "Duration, volume and volatility impact of trades," Journal of Financial Markets, Elsevier, vol. 8(4), pages 377-399, November.
  57. Josep Garcia Blandón, 2001. "New findings regarding return autocorrelation anomalies and the importance of non-trading periods," Economics Working Papers 585, Department of Economics and Business, Universitat Pompeu Fabra.
  58. repec:ipg:wpaper:27 is not listed on IDEAS
  59. Alexander, Gordon J. & Edwards, Amy K. & Ferri, Michael G., 2000. "The determinants of trading volume of high-yield corporate bonds," Journal of Financial Markets, Elsevier, vol. 3(2), pages 177-204, May.
  60. Palombini, Edgardo, 2003. "Volatility and liquidity in the Italian money market," MPRA Paper 42699, University Library of Munich, Germany.
  61. Albert Wang, F., 1998. "Strategic trading, asymmetric information and heterogeneous prior beliefs," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 321-352, September.
  62. 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.
  63. Rhee, S. Ghon & Wang, Chi-Jeng, 1997. "The bid-ask bounce effect and the spread size effect: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 5(2), pages 231-258, June.
  64. Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February.
  65. Ke, Mei-Chu & Jiang, Ching-Hai & Huang, Yen-Sheng, 2004. "The impact of tick size on intraday stock price behavior: evidence from the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 12(1), pages 19-39, January.
  66. Block, Stanley B. & French, Dan W. & Maberly, Edwin D., 2000. "The Pattern of Intraday Portfolio Management Decisions: A Case Study of Intraday Security Return Patterns," Journal of Business Research, Elsevier, vol. 50(3), pages 321-326, December.
  67. Giovanni Cespa, 2007. "Information Sales and Insider Trading with Long-lived Information," CSEF Working Papers 174, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  68. Maria Pacurar, 2008. "Autoregressive Conditional Duration Models In Finance: A Survey Of The Theoretical And Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 711-751, 09.
  69. Frieder, Laura, 2008. "Investor and price response to patterns in earnings surprises," Journal of Financial Markets, Elsevier, vol. 11(3), pages 259-283, August.
  70. Campbell R. Harvey & Roger D. Huang, 1994. "The Impact of the Federal Reserve Bank's Open Market Operations," NBER Working Papers 4663, National Bureau of Economic Research, Inc.
  71. Susan Sunila Sharma & Paresh Kumar Narayan, 2011. "Firm heterogeneity and calendar anomalies," Financial Econometics Series 2011_12, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  72. Lars Norden, 1994. "Daily distribution of Swedish OMX-index returns over intraday-to-intraday time intervals," Finnish Economic Papers, Finnish Economic Association, vol. 7(1), pages 3-16, Spring.
  73. Gallego, Oscar D, 2005. "The Day �of� The� Week Effect in the Colombia Stock Exchange," MPRA Paper 43112, University Library of Munich, Germany.
  74. Allan W. Kleidon & Ingrid M. Werner, 1993. "Round-the-clock Trading: Evidence from U.K. Cross-Listed Securities," NBER Working Papers 4410, National Bureau of Economic Research, Inc.
  75. Wong, Woon K. & Tan, Dijun & Tian, Yixiang, 2009. "Informed trading and liquidity in the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 66-73, March.
  76. 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.
  77. 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.
  78. Smales, Lee A., 2013. "Bond futures and order imbalance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 113-132.
  79. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
  80. Sabiruzzaman, Md. & Monimul Huq, Md. & Beg, Rabiul Alam & Anwar, Sajid, 2010. "Modeling and forecasting trading volume index: GARCH versus TGARCH approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 141-145, May.
  81. Chanwoo Noh & Sungsub Choi, 2009. "Strategic Trading of Informed Trader with Monopoly on Short- and Long-Lived Information," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 351-365, November.
  82. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2008. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(2), pages 171-207, Spring.
  83. 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.
  84. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
  85. Goldstein, Itay & Razin, Assaf, 2006. "An information-based trade off between foreign direct investment and foreign portfolio investment," Journal of International Economics, Elsevier, vol. 70(1), pages 271-295, September.
  86. Chow, Edward H. & Lee, Jie-Haun & Shyy, Gang, 1996. "Trading mechanisms and trading preferences on a 24-hour futures market: A case study of the Floor/GLOBEX switch on MATIF," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1695-1713, December.
  87. 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.
  88. Chris D'Souza & Ingrid Lo & Stephen Sapp, 2007. "Price Formation and Liquidity Provision in Short-Term Fixed Income Markets," Working Papers 07-27, Bank of Canada.
  89. Back, Kerry & Pedersen, Hal, 1998. "Long-lived information and intraday patterns," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 385-402, September.
  90. Michael Batuo Enowbi & Francesco Guidi & Kupukile Mlambo, 2010. "Testing the Weak-form Market Efficiency and the Day of the Week Effects of some African Countries," The African Finance Journal, Africagrowth Institute, vol. 12(Conferenc), pages 1-26.
  91. Johnson, Timothy C., 2008. "Volume, liquidity, and liquidity risk," Journal of Financial Economics, Elsevier, vol. 87(2), pages 388-417, February.
  92. Joel Hasbrouck & Duane J. Seppi, 1998. "Common Factors in Prices, Order Flows and Liquidity," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-011, New York University, Leonard N. Stern School of Business-.
  93. Ingrid Lo & Stephen G. Sapp, 2005. "Order Submission: The Choice between Limit and Market Orders," Working Papers 05-42, Bank of Canada.
  94. Brockman, Paul & Chung, Dennis Y., 1998. "Inter- and intra-day liquidity patterns on the Stock Exchange of Hong Kong," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 277-298, December.
  95. Pagano, Michael S. & Peng, Lin & Schwartz, Robert A., 2013. "A call auction's impact on price formation and order routing: Evidence from the NASDAQ stock market," Journal of Financial Markets, Elsevier, vol. 16(2), pages 331-361.
  96. Geir Hoidal Bjonnes & Dagfinn Rime & Haakon O. Aa. Solheim, 2003. "Volume and Volatility in the FX Market: Does it matter who you are?," Working Paper 2003/7, Norges Bank.
  97. Andersen, Torben G. & Bollerslev, Tim & Cai, Jun, 2000. "Intraday and interday volatility in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 107-130, June.
  98. Giovanni Cespa, 2000. "Short-term investment and equilibrium multiplicity," Economics Working Papers 520, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 2002.
  99. Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc.
  100. Maddala, G. S. & Nimalendran, M., 1995. "An unobserved component panel data model to study the effect of earnings surprises on stock prices, trading volumes, and spreads," Journal of Econometrics, Elsevier, vol. 68(1), pages 229-242, July.
  101. Giovanni Cespa, 2007. "Information Sales and Insider Trading with Long-lived Information," Working Papers 613, Queen Mary, University of London, School of Economics and Finance.
  102. Rubin, Amir & Smith, Daniel R., 2011. "Comparing different explanations of the volatility trend," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1581-1597, June.
  103. Hwang, Keunho & Kang, Jangkoo & Ryu, Doojin, 2010. "Phase-transition behavior in the emerging market: Evidence from the KOSPI200 futures market," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 35-46, January.
  104. Chou, Pin-Huang & Huang, Tsung-Yu & Yang, Hung-Jeh, 2013. "Arbitrage risk and the turnover anomaly," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4172-4182.
  105. 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.
  106. Hillion, Pierre & Suominen, Matti, 2004. "The manipulation of closing prices," Journal of Financial Markets, Elsevier, vol. 7(4), pages 351-375, October.
  107. Ali, Ashiq & Hwang, Lee-Seok & Trombley, Mark A., 2003. "Arbitrage risk and the book-to-market anomaly," Journal of Financial Economics, Elsevier, vol. 69(2), pages 355-373, August.
  108. Benson, Earl D. & Rystrom, David S. & Smersh, Greg T., 1995. "Commission-motivated trading patterns of brokers across the production month," Financial Services Review, Elsevier, vol. 4(2), pages 81-95.
  109. Malik, Ali Khalil, 2005. "European exchange rate volatility dynamics: an empirical investigation," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 187-215, January.
  110. Gary Tian & Mingyuan Guo, 2007. "Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 28(3), pages 287-306, April.
  111. Wongchoti, Udomsak & Wu, Fei & Young, Martin, 2009. "Buy and sell dynamics following high market returns: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 12-20, March.
  112. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Hannover Economic Papers (HEP) dp-331, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  113. Katya Malinova & Andreas Park, 2009. "Intraday Trading Patterns: The Role of Timing," Working Papers tecipa-365, University of Toronto, Department of Economics.
  114. Pereira, João Pedro & Zhang, Harold H., 2010. "Stock Returns and the Volatility of Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(04), pages 1077-1110, August.
  115. Chan, Yue-cheong, 2005. "Who trades in the stock index futures market when the underlying cash market is not trading?," Pacific-Basin Finance Journal, Elsevier, vol. 13(5), pages 547-561, November.
  116. Xiafei Li & Chris Brooks & Joelle Miffre, 2009. "Transaction Costs, Trading Volume and Momentum Strategies," ICMA Centre Discussion Papers in Finance icma-dp2009-04, Henley Business School, Reading University.
  117. Covrig, Vicentiu & Ng, Lilian, 2004. "Volume autocorrelation, information, and investor trading," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2155-2174, September.
  118. Boulatov, Alex & Hatch, Brian C. & Johnson, Shane A. & Lei, Adam Y.C., 2009. "Dealer attention, the speed of quote adjustment to information, and net dealer revenue," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1531-1542, August.
  119. Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2008. "Determinants of bid and ask quotes and implications for the cost of trading," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 656-678, September.
  120. Bessembinder, Hendrik & Chan, Kalok & Seguin, Paul J., 1996. "An empirical examination of information, differences of opinion, and trading activity," Journal of Financial Economics, Elsevier, vol. 40(1), pages 105-134, January.
  121. M. A. Martinez & M. Tapia & J. Yzaguirre, 2005. "Information transmission around block trades on the Spanish stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 15(3), pages 173-186.
  122. Kempf, Alexander & Mayston, Daniel, 2006. "Liquidity commonality beyond best prices," CFR Working Papers 06-04, University of Cologne, Centre for Financial Research (CFR).
  123. Christie-David, Rohan & Chaudhry, Mukesh, 2000. "Currency futures, news releases, and uncertainty resolution," Global Finance Journal, Elsevier, vol. 11(1-2), pages 109-127.
  124. Pukthuanthong-Le, Kuntara & Visaltanachoti, Nuttawat, 2009. "Commonality in liquidity: Evidence from the Stock Exchange of Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 80-99, January.
  125. Bohl, Martin T. & Goodfellow, Christiane & Bialkowski, Jedrzej, 2010. "Individual investors surpass their reputation: Trading behaviour on the Polish futures market," Economic Systems, Elsevier, vol. 34(4), pages 480-492, December.
  126. Shafiqur Rahman & Chandrasekhar Krishnamurti & Alice Lee, 2005. "The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 91-124, September.
  127. Maureen O'Hara, 2001. "Overview: market structure issues in market liquidity," BIS Papers chapters, in: Bank for International Settlements (ed.), Market liquidity: proceedings of a workshop held at the BIS, volume 2, pages 1-8 Bank for International Settlements.
  128. Lien, Donald & Yang, Li, 2005. "Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 730-747, September.
  129. Moulton, Pamela C., 2005. "You can't always get what you want: Trade-size clustering and quantity choice in liquidity," Journal of Financial Economics, Elsevier, vol. 78(1), pages 89-119, October.
  130. 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.
  131. Konishi, Hizuru, 2002. "Optimal slice of a VWAP trade," Journal of Financial Markets, Elsevier, vol. 5(2), pages 197-221, April.