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Citations for "The Effect of Public Information and Competition on Trading Volume and Price Volatility"

by Foster, F Douglas & Viswanathan, S

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  1. Jeyanthi Karuppiah & Cornelis A. Los, 2000. "Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997," School of Economics Working Papers 2000-06, University of Adelaide, School of Economics.
  2. Chuang, Wen-I & Lee, Bong-Soo, 2011. "The informational role of institutional investors and financial analysts in the market," Journal of Financial Markets, Elsevier, Elsevier, vol. 14(3), pages 465-493, August.
  3. 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.
  4. Arie E. Gozluklu & Pietro Perotti & Barbara Rindi & Roberta Fredella, 2013. "Removing the Trade Size Constraint? Evidence from the Italian Market Design," Working Papers 493, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  5. F. Douglas Foster & Charles H. Whiteman, 2006. "Bayesian Prediction, Entropy, and Option Pricingx," Australian Journal of Management, Australian School of Business, Australian School of Business, vol. 31(2), pages 181-205, December.
  6. LOVO, Stefano M. & CALCAGNO, R., 2001. "Market efficiency and Price Formation when Dealers are Asymmetrically Informed," Les Cahiers de Recherche 737, HEC Paris.
  7. Yi Xue & Ramazan Gencay, 2009. "Hierarchical Information and the Rate of Information Diffusion," Working Paper Series, The Rimini Centre for Economic Analysis 29_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
  8. Wassim Daher & Leonard J. Mirman, 2004. "Cournot duopoly and insider trading with two insiders," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1) b04077, Université Panthéon-Sorbonne (Paris 1).
  9. Longin, Francois M, 1997. "The Threshold Effect in Expected Volatility: A Model Based on Asymmetric Information," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 10(3), pages 837-69.
  10. Safvenblad, Patrik, 2000. "Trading volume and autocorrelation: Empirical evidence from the Stockholm Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1275-1287, August.
  11. Spiegel, Matthew & Subrahmanyam, Avanidhar, 2000. "Asymmetric Information and News Disclosure Rules," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 9(4), pages 363-403, October.
  12. 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, Elsevier, vol. 24(C), pages 199-220.
  13. Kyung-Ha CHO & Nicole EL KAROUI, 2000. "Insider Trading and Nonlinear Equilibria: Single Auction Case," Annales d'Economie et de Statistique, ENSAE, issue 60, pages 21-41.
  14. Holden, C.W., 1991. "Risk Aversion, Imperfect Competition,, and Long-Lived Information," Papers fb-_91-06, Columbia - Graduate School of Business.
  15. Morrison, Alan D. & Vulkan, Nir, 2005. "Making money out of publicly available information," Economics Letters, Elsevier, vol. 89(1), pages 31-38, October.
  16. Koski, Jennifer Lynch, 1998. "Measurement Effects and the Variance of Returns after Stock Splits and Stock Dividends," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 11(1), pages 143-62.
  17. Mougoué, Mbodja & Aggarwal, Raj, 2011. "Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2690-2703, October.
  18. Paolo Pasquariello & Clara Vega, 2006. "Informed and strategic order flow in the bond markets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 874, Board of Governors of the Federal Reserve System (U.S.).
  19. Eric Ghysels & Joanna Jasiak, 1995. "Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects," CIRANO Working Papers, CIRANO 95s-31, CIRANO.
  20. Bessembinder, Hendrik & Chan, Kalok & Seguin, Paul J., 1996. "An empirical examination of information, differences of opinion, and trading activity," Journal of Financial Economics, Elsevier, Elsevier, vol. 40(1), pages 105-134, January.
  21. Barlevy, Gadi & Veronesi, Pietro, 2000. "Information Acquisition in Financial Markets," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 67(1), pages 79-90, January.
  22. Chng, Michael T., 2009. "Economic linkages across commodity futures: Hedging and trading implications," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 958-970, May.
  23. Brenner, Menachem & Pasquariello, Paolo & Subrahmanyam, Marti, 2009. "On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(06), pages 1265-1289, December.
  24. Holden, Craig W & Subrahmanyam, Avanidhar, 1996. "Risk Aversion, Liquidity, and Endogenous Short Horizons," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 9(2), pages 691-722.
  25. Petra Fleischer, 2003. "Volatility and Information Linkages Across Markets and Countries," Australian Journal of Management, Australian School of Business, Australian School of Business, vol. 28(3), pages 251-272, December.
  26. Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
  27. Marc-Andreas Muendler, 2005. "Rational Information Choice in Financial Market Equilibrium," CESifo Working Paper Series 1436, CESifo Group Munich.
  28. Daniel Szpiro, 1998. "Informations et vitesse de réaction du marché boursier en continu. Une analyse empirique du marché boursier français," Revue Économique, Programme National Persée, vol. 49(2), pages 487-526.
  29. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-040, New York University, Leonard N. Stern School of Business-.
  30. Kale, Jayant R. & Loon, Yee Cheng, 2011. "Product market power and stock market liquidity," Journal of Financial Markets, Elsevier, Elsevier, vol. 14(2), pages 376-410, May.
  31. Albert Wang, F., 1998. "Strategic trading, asymmetric information and heterogeneous prior beliefs," Journal of Financial Markets, Elsevier, Elsevier, vol. 1(3-4), pages 321-352, September.
  32. Craig W. Holden & Avanidhar Subrahmanyam, 2002. "News Events, Information Acquisition, and Serial Correlation," The Journal of Business, University of Chicago Press, vol. 75(1), pages 1-32, January.
  33. Harvey, Campbell R., 2001. "The specification of conditional expectations," Journal of Empirical Finance, Elsevier, Elsevier, vol. 8(5), pages 573-637, December.
  34. Brennan, Michael J & Jegadeesh, Narasimhan & Swaminathan, Bhaskaran, 1993. "Investment Analysis and the Adjustment of Stock Prices to Common Information," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 6(4), pages 799-824.
  35. Alan Morrison & Nir Vulkan, 2003. "Making Money out of Publicly Available Information," OFRC Working Papers Series, Oxford Financial Research Centre 2003fe07, Oxford Financial Research Centre.
  36. Foster, F Douglas & Viswanathan, S, 1995. "Can Speculative Trading Explain the Volume-Volatility Relation?," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(4), pages 379-96, October.
  37. YalçIn, Atakan, 2008. "Gradual information diffusion and contrarian strategies," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 48(3), pages 579-604, August.
  38. Masahiro Watanabe, 2003. "A Model of Stochastic Liquidity," Yale School of Management Working Papers, Yale School of Management ysm385, Yale School of Management.
  39. 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.
  40. David Walsh, 1999. "Uncertain information release and informed trading," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 9(1), pages 21-30.
  41. George J. Mailath & Georg Noldeke, 2007. "Does Competitive Pricing Cause Market Breakdown under Extreme Adverse Selection?," PIER Working Paper Archive 07-022, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  42. Foster, F Douglas & Viswanathan, S, 1996. " Strategic Trading When Agents Forecast the Forecasts of Others," Journal of Finance, American Finance Association, American Finance Association, vol. 51(4), pages 1437-78, September.
  43. Chen, Carl R. & Su, Yuli & Huang, Ying, 2008. "Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(4), pages 789-798, September.
  44. Karuppiah, Jeyanthi & Los, Cornelis A., 2005. "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 211-246.
  45. Huang, Roger D. & Ting, Christopher, 2008. "A functional approach to the price impact of stock trades and the implied true price," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(1), pages 1-16, January.
  46. Noldeke, Georg & Troger, Thomas, 2001. "Existence of linear equilibria in the Kyle model with multiple informed traders," Economics Letters, Elsevier, vol. 72(2), pages 159-164, August.
  47. Muendler, Marc-Andreas, 2008. "Risk-neutral investors do not acquire information," Finance Research Letters, Elsevier, Elsevier, vol. 5(3), pages 156-161, September.
  48. Grothe, Magdalena, 2010. "Price and trading response to public information," Working Paper Series, European Central Bank 1177, European Central Bank.
  49. Harrison Hong & Jiang Wang, 2000. "Trading and Returns under Periodic Market Closures," Journal of Finance, American Finance Association, American Finance Association, vol. 55(1), pages 297-354, 02.
  50. Zou, Liping & Rose, Lawrence C. & Pinfold, John F., 2006. "Intra-night trading behaviour of Australian treasury-bond futures overnight options," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 415-433.
  51. Georg Nöldeke & Thomas Tröger, 2004. "On the Existence of Linear Equilibria in the Rochet-Vila Model of Market Making," Bonn Econ Discussion Papers, University of Bonn, Germany bgse19_2004, University of Bonn, Germany.
  52. Fournier-Emonet, Caroline, 2004. "L'identification de facteurs communs de la liquidité sur le marché parisien des actions," Economics Papers from University Paris Dauphine 123456789/4018, Paris Dauphine University.
  53. Andreas Krause, 2000. "Microstructure Effects on Daily Return Volatility in Financial Markets," Papers cond-mat/0011295, arXiv.org.
  54. Edelen, Roger M. & Kadlec, Gregory B., 2012. "Delegated trading and the speed of adjustment in security prices," Journal of Financial Economics, Elsevier, Elsevier, vol. 103(2), pages 294-307.
  55. Spyros Pagratis, 2005. "Asset pricing, asymmetric information and rating announcements: does benchmarking on ratings matter?," Bank of England working papers 265, Bank of England.
  56. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 2002. "Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 15(2), pages 655-689, March.
  57. Chen, Carl R. & Mohan, Nancy J. & Steiner, Thomas L., 1999. "Discount rate changes, stock market returns, volatility, and trading volume: Evidence from intraday data and implications for market efficiency," Journal of Banking & Finance, Elsevier, vol. 23(6), pages 897-924, June.
  58. Georg Nöldeke & Thomas Tröger, 2006. "A characterization of the distributions that imply existence of linear equilibria in the Kyle-model," Annals of Finance, Springer, Springer, vol. 2(1), pages 73-85, January.
  59. Holden, Craig W. & Subrahmanyam, Avanidhar, 1994. "Risk aversion, imperfect competition, and long-lived information," Economics Letters, Elsevier, vol. 44(1-2), pages 181-190.
  60. : Arie E. Gozluklu & : Pietro Perotti & : Barbara Rindi & : Roberta Fredella, 2013. "Removing the Trade Size Constraint? Evidence from the Italian Market Design," Working Papers, Warwick Business School, Finance Group wpn13-11, Warwick Business School, Finance Group.
  61. Humphery-Jenner, Mark L., 2011. "Optimal VWAP trading under noisy conditions," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2319-2329, September.
  62. 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.
  63. Chun-Da Chen & Alex YiHou Huang & Chih-Chun Chen, 2011. "The Effects of Abolishing a Foreign Institutional Investment Quota in Taiwan," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 47(2), pages 74-98, March.
  64. Calcagno, R. & Lovo, S.M., 2002. "Market Efficiency and Price Formation When Dealers are Asymmetrically Informed," Discussion Paper, Tilburg University, Center for Economic Research 2002-42, Tilburg University, Center for Economic Research.
  65. Burkart Mönch, 2009. "Liquidating large security positions strategically: a pragmatic and empirical approach," Financial Markets and Portfolio Management, Springer, Springer, vol. 23(2), pages 157-186, June.
  66. Callahan, Tyrone W., 1998. "The Effect of Insider Beliefs on Informed Trade, Market Liquidity, and Price Efficiency"," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt79s2w9hx, Anderson Graduate School of Management, UCLA.
  67. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," NBER Working Papers 7214, National Bureau of Economic Research, Inc.
  68. Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York.
  69. Cho, Jin-Wan, 2007. "Earnings announcements, private information, and strategic informed trading," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 16(1), pages 117-149, January.
  70. Carole Comerton-Forde & Michael A. O'Brien & P. Joakim Westerholm, 2007. "An Empirical Analysis of Strategic Behaviour Models," Australian Journal of Management, Australian School of Business, Australian School of Business, vol. 32(2), pages 181-203, December.
  71. Giovanni Cespa, 2008. "Information Sales and Insider Trading with Long-Lived Information," Journal of Finance, American Finance Association, American Finance Association, vol. 63(2), pages 639-672, 04.
  72. Foster, F. Douglas & Viswanathan, S., 1994. "Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(04), pages 499-518, December.
  73. Nikolaus Hautsch, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Paper 02-05, Center of Finance and Econometrics, University of Konstanz.
  74. Alan D. Morrison, 2004. "Competition and Information Production in Market Maker Models," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7-8), pages 1171-1190.
  75. Pasquariello, Paolo, 2014. "Prospect Theory and market quality," Journal of Economic Theory, Elsevier, vol. 149(C), pages 276-310.