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Citations for "Multimarket Trading and Market Liquidity"

by Chowdhry, Bhagwan & Nanda, Vikram

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  1. Dirk Schiereck & Christian Voigt, 2010. "With or without you: market quality of floor trading when screen trading closes early," Review of Quantitative Finance and Accounting, Springer, vol. 34(2), pages 179-197, February.
  2. 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.
  3. Bühler, Wolfgang & Kempf, Alexander, 1994. "The value of the early unwind option in futures contracts with an endogenous basis," ZEW Discussion Papers 94-06, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  4. Ellul, Andrew, 2006. "Ripples through markets: Inter-market impacts generated by large trades," Journal of Financial Economics, Elsevier, vol. 82(1), pages 173-196, October.
  5. Karyn L. Williams, 2000. "Price Discovery in Multiple-Dealer Markets: The Case of the Interbank Foreign Exchange Market," Claremont Colleges Working Papers 2000-37, Claremont Colleges.
  6. 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.
  7. Pascual, Roberto & Pascual-Fuster, Bartolome & Climent, Francisco, 2006. "Cross-listing, price discovery and the informativeness of the trading process," Journal of Financial Markets, Elsevier, vol. 9(2), pages 144-161, May.
  8. Menkveld, Albert J., 2006. "Splitting orders in overlapping markets: a study of cross-listed stocks," Serie Research Memoranda 0003, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  9. Krishnamurti, Chandrasekhar & Sevic, Aleksandar & Sevic, Zeljko, 2005. "Voluntary disclosure, transparency, and market quality: Evidence from emerging market ADRs," Journal of Multinational Financial Management, Elsevier, vol. 15(4-5), pages 435-454, October.
  10. Tay, Nicholas S.P. & Oladi, Reza, 2011. "Listings from the emerging economies: An opportunity for reputable stock exchanges," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 388-394, June.
  11. Takatoshi Ito & Wen-Ling Lin, 1993. "Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets," NBER Working Papers 4592, National Bureau of Economic Research, Inc.
  12. Aggarwal, Reena & Dahiya, Sandeep & Klapper, Leora, 2005. "American Depositary Receipts (ADR) holdings of U.S. based emerging market funds," Policy Research Working Paper Series 3538, The World Bank.
  13. Hirshleifer, David & Teoh, Siew Hong, 2008. "Thought and Behavior Contagion in Capital Markets," MPRA Paper 9164, University Library of Munich, Germany.
  14. Ariane Szafarz, 2010. "Financial Crises in Efficient Markets: How Fundamentalists Fuel Volatility," Working Papers CEB 10-052, ULB -- Universite Libre de Bruxelles.
  15. Moulton, Pamela C. & Wei, Li, 2009. "A tale of two time zones: The impact of substitutes on cross-listed stock liquidity," Journal of Financial Markets, Elsevier, vol. 12(4), pages 570-591, November.
  16. Grammig, J. & Schiereck, D. & Theissen, E., 2001. "Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35288, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  17. 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-.
  18. 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.
  19. Devenow, Andrea & Welch, Ivo, 1996. "Rational herding in financial economics," European Economic Review, Elsevier, vol. 40(3-5), pages 603-615, April.
  20. 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.
  21. Bloomfield, Robert & O'Hara, Maureen, 2000. "Can transparent markets survive?," Journal of Financial Economics, Elsevier, vol. 55(3), pages 425-459, March.
  22. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers dp709, Financial Markets Group.
  23. Foucault, Thierry & Gehrig, Thomas, 2006. "Stock price informativeness, cross-listings and investment decisions," Les Cahiers de Recherche 840, HEC Paris.
  24. Otsubo, Yoichi, 2014. "International cross-listing and price discovery under trading concentration in the domestic market: Evidence from Japanese shares," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 36-51.
  25. Wang, Steven Shuye & Meng Rui, Oliver & Firth, Michael, 2002. "Return and volatility behavior of dually-traded stocks: the case of Hong Kong," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 265-293, April.
  26. Levine, Ross & Schmukler, Sergio L., 2003. "Migration, spillovers, and trade diversion : the impact of internationalization on stock market liquidity," Policy Research Working Paper Series 3046, The World Bank.
  27. René M. Stulz, 2008. "Securities Laws, Disclosure, and National Capital Markets in the Age of Financial Globalization," NBER Working Papers 14218, National Bureau of Economic Research, Inc.
  28. Kryzanowski, Lawrence & Lazrak, Skander, 2009. "Liquidity minimization and cross-listing choice: Evidence based on Canadian shares cross-listed on U.S. venues," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 550-564, July.
  29. Andreas Storkenmaier & Martin Wagener & Christof Weinhardt, 2012. "Public information in fragmented markets," Financial Markets and Portfolio Management, Springer, vol. 26(2), pages 179-215, June.
  30. Howe, John S. & Ragan, Kent P., 2002. "Price discovery and the international flow of information," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 201-215, July.
  31. Di Maggio, Marco & Pagano, Marco, 2012. "Financial Disclosure and Market Transparency with Costly Information Processing," CEPR Discussion Papers 9207, C.E.P.R. Discussion Papers.
  32. Gregoire, Philippe & Huang, Hui, 2008. "Informed trading, noise trading and the cost of equity," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 13-32.
  33. Ramiah, Vikash & Cheng, Ka Yeung & Orriols, Julien & Naughton, Tony & Hallahan, Terrence, 2011. "Contrarian investment strategies work better for dually-traded stocks: Evidence from Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 140-156, January.
  34. Marco Pagano & Ailsa A. Röell & Josef Zechner, 2002. "The Geography of Equity Listing: Why Do Companies List Abroad?," Journal of Finance, American Finance Association, vol. 57(6), pages 2651-2694, December.
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  36. Ross Levine & Sergio L. Schmukler, 2005. "Internationalization and the Evolution of Corporate Valuation," NBER Working Papers 11023, National Bureau of Economic Research, Inc.
  37. Richard K. Lyons & Michael J. Moore, 2005. "An Information Approach to International Currencies," NBER Working Papers 11220, National Bureau of Economic Research, Inc.
  38. Wölfle, Marco, 2007. "Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries," ZEW Discussion Papers 07-067, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  39. Thierry Foucault & Albert J. Menkveld, 2008. "Competition for Order Flow and Smart Order Routing Systems," Journal of Finance, American Finance Association, vol. 63(1), pages 119-158, 02.
  40. John S. Hughes & Steven Huddart & Markus K Brunnermeier, 1998. "Disclosure Requirements and Stock Exchange Listing Choice in an International Context," FMG Discussion Papers dp282, Financial Markets Group.
  41. Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici, 2013. "The Joint Cross Section of Stocks and Options," NBER Working Papers 19590, National Bureau of Economic Research, Inc.
  42. Sabrina Buti & Barbara Rindi & Yuanji Wen & Ingrid M. Werner, 2013. "Tick Size Regulation and Sub-Penny Trading," Working Papers 492, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  43. Chen, Haiqiang & Choi, Paul Moon Sub, 2012. "Does information vault Niagara Falls? Cross-listed trading in New York and Toronto," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 175-199.
  44. Ende, Bartholomäus & Lutat, Marco, 2010. "Trade-throughs in European cross-traded equities after transaction costs: Empirical evidence for the EURO STOXX 50," CFS Working Paper Series 2010/15, Center for Financial Studies (CFS).
  45. Gajewski, Jean-François & Gresse, Carole, 2004. "Centralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)," Economics Papers from University Paris Dauphine 123456789/3017, Paris Dauphine University.
  46. William O. Brown, Jr. & J. Harold Mulherin & Marc D. Weidenmier, 2006. "Competing With the NYSE," NBER Working Papers 12343, National Bureau of Economic Research, Inc.
  47. Bert Menkveld, 2001. "Splitting Orders in Fragmented Markets," Tinbergen Institute Discussion Papers 01-059/2, Tinbergen Institute.
  48. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2009. "Options trading activity and firm valuation," Journal of Financial Economics, Elsevier, vol. 94(3), pages 345-360, December.
  49. Hargis, Kent, 2000. "International cross-listing and stock market development in emerging economies," International Review of Economics & Finance, Elsevier, vol. 9(2), pages 101-122.
  50. 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.).
  51. Furuhata, Masabumi & Dessouky, Maged & Ordóñez, Fernando & Brunet, Marc-Etienne & Wang, Xiaoqing & Koenig, Sven, 2013. "Ridesharing: The state-of-the-art and future directions," Transportation Research Part B: Methodological, Elsevier, vol. 57(C), pages 28-46.
  52. Parisi, Franco & Acevedo, Carlos, 2001. "Volume and autocovariance in short-horizon stock returns: Evidence from 1992 to 1998 in Chile," International Review of Financial Analysis, Elsevier, vol. 10(3), pages 275-285.
  53. Bacidore, Jeffrey M. & Sofianos, George, 2002. "Liquidity provision and specialist trading in NYSE-listed non-U.S. stocks," Journal of Financial Economics, Elsevier, vol. 63(1), pages 133-158, January.
  54. Subrahmanyam, Avanidhar, 1997. "Multi-market trading and the informativeness of stock trades: An empirical intraday analysis," Journal of Economics and Business, Elsevier, vol. 49(6), pages 515-531.
  55. Noronha, Gregory M. & Sarin, Atulya & Saudagaran, Shahrokh M., 1996. "Testing for micro-structure effects of international dual listings using intraday data," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 965-983, July.
  56. Karolyi, G. Andrew, 2003. "DaimlerChrysler AG, the first truly global share," Journal of Corporate Finance, Elsevier, vol. 9(4), pages 409-430, September.
  57. Hargis, Kent & Ramanlal, Pradipkumar, 1998. "When Does Internationalization Enhance the Development of Domestic Stock Markets?," Journal of Financial Intermediation, Elsevier, vol. 7(3), pages 263-292, July.
  58. Gehrig, Thomas & Menkhoff, Lukas, 2004. "The use of flow analysis in foreign exchange: exploratory evidence," Journal of International Money and Finance, Elsevier, vol. 23(4), pages 573-594, June.
  59. Goldstein, Michael A. & Shkilko, Andriy V. & Van Ness, Bonnie F. & Van Ness, Robert A., 2008. "Competition in the market for NASDAQ securities," Journal of Financial Markets, Elsevier, vol. 11(2), pages 113-143, May.
  60. Amira, Khaled & Muzere, Mark L., 2011. "Competition among stock exchanges for equity," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2355-2373, September.
  61. Daniëls, Tijmen R. & Dönges, Jutta & Heinemann, Frank, 2013. "Crossing network versus dealer market: Unique equilibrium in the allocation of order flow," European Economic Review, Elsevier, vol. 62(C), pages 41-57.
  62. Hans Degryse, 2009. "Competition between financial markets in Europe: what can be expected from MiFID?," Financial Markets and Portfolio Management, Springer, vol. 23(1), pages 93-103, March.
  63. O'Hara, Maureen & Ye, Mao, 2011. "Is market fragmentation harming market quality?," Journal of Financial Economics, Elsevier, vol. 100(3), pages 459-474, June.
  64. Fariz Huseynov, 2010. "Review of CIS Stock Markets: Future Perspectives," Transition Studies Review, Springer, vol. 17(1), pages 63-79, May.
  65. 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.
  66. Ramchand, Latha & Sethapakdi, Pricha, 2000. "Changes in systematic risk following global equity issuance," Journal of Banking & Finance, Elsevier, vol. 24(9), pages 1491-1514, September.
  67. Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, vol. 92(1), pages 1-24, April.
  68. Eduardo Engel & Alexander Galetovic, 1998. "¿Qué hacer con los impuestos que pagan las ganancias de capital en Chile?," Documentos de Trabajo 46, Centro de Economía Aplicada, Universidad de Chile.
  69. Pham, Thu Phuong & Westerholm, P. Joakim, 2013. "A survey of research into broker identity and limit order book," Working Papers 17212, University of Tasmania, School of Economics and Finance, revised 16 Oct 2013.
  70. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2013. "Competition/fragmentation in equities markets: A literature survey," SAFE Working Paper Series 35, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  71. Bacidore, Jeffrey M. & Battalio, Robert & Galpin, Neal & Jennings, Robert, 2005. "Sources of liquidity for NYSE-listed non-US stocks," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3075-3098, December.
  72. 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.
  73. Degryse, H.A., 1996. "Competition between auction and dealerships markets: Brussels versus London," Open Access publications from Tilburg University urn:nbn:nl:ui:12-72563, Tilburg University.
  74. Nielsson, Ulf, 2009. "Stock exchange merger and liquidity: The case of Euronext," Journal of Financial Markets, Elsevier, vol. 12(2), pages 229-267, May.
  75. Helder Sebastião, 2012. "The Relative Contemporaneous Information Response. A New Cointegration-Based Measure of Price Discovery," GEMF Working Papers 2012-04, GEMF - Faculdade de Economia, Universidade de Coimbra.
  76. Gresse, Carole & Gajewski, Jean-François, 2007. "Centralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)," Economics Papers from University Paris Dauphine 123456789/295, Paris Dauphine University.
  77. Alaganar, V. T. & Bhar, Ramaprasad, 2001. "Diversification gains from American depositary receipts and foreign equities: evidence from Australian stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(1), pages 97-113, March.
  78. 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.
  79. Berkman, Henk & Nguyen, Nhut H., 2010. "Domestic liquidity and cross-listing in the United States," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1139-1151, June.
  80. Gomber, Peter & Jäger, Benedikt, 2014. "MiFID: Eine systematische Analyse der Zielerreichung," SAFE White Paper Series 14, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  81. Gresse, Carole, 2011. "Effects of the Competition between Multiple Trading Platforms on Market Liquidity : Evidence from the MiFID Experience," Economics Papers from University Paris Dauphine 123456789/7685, Paris Dauphine University.
  82. Booth, G. Geoffrey & Gurun, Umit G. & Zhang, Harold, 2014. "Financial networks and trading in bond markets," Journal of Financial Markets, Elsevier, vol. 18(C), pages 126-157.
  83. Jaiswal-Dale, Ameeta & Jithendranathan, Thadavillil, 2009. "Transmission of shocks from cross-listed markets to the return and volatility of domestic stocks," Journal of Multinational Financial Management, Elsevier, vol. 19(5), pages 395-408, December.
  84. Parisi, Franco & Nail, Lance & Soto, Catherine, 2002. "Evidence of a leadership role in the Chilean stock exchanges," Journal of Multinational Financial Management, Elsevier, vol. 12(3), pages 191-205, July.
  85. Albert J. Menkveld & Siem Jan Koopman & Andr� Lucas, 2003. "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers 03-037/2, Tinbergen Institute, revised 13 Oct 2003.
  86. Mehmet Dicle & John Levendis, 2014. "The day-of-the-week effect revisited: international evidence," Journal of Economics and Finance, Springer, vol. 38(3), pages 407-437, July.
  87. Halling, Michael & Pagano, Marco & Randl, Otto & Zechner, Josef, 2005. "Where is the Market? Evidence from Cross-Listings," CEPR Discussion Papers 4987, C.E.P.R. Discussion Papers.
  88. Degryse, H.A. & Jong, F.C.J.M. de & Kervel, V.L. van, 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.
  89. Mittoo, Usha R., 2003. "Globalization and the value of US listing: Revisiting Canadian evidence," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1629-1661, September.