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Endogenous informed trading in the presence of trading costs: Theory and evidence

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  • Cho, Jin-Wan
  • Shin, Jhinyoung
  • Singh, Rajdeep

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  • Cho, Jin-Wan & Shin, Jhinyoung & Singh, Rajdeep, 1999. "Endogenous informed trading in the presence of trading costs: Theory and evidence," Journal of Financial Markets, Elsevier, vol. 2(3), pages 273-305, August.
    • Handle: RePEc:eee:finmar:v:2:y:1999:i:3:p:273-305
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    References listed on IDEAS

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    1. Cho, Jin-Wan & Shin, Jhinyoung & Singh, Rajdeep, 2004. "The generality of spurious predictability," Finance Research Letters, Elsevier, vol. 1(4), pages 203-214, December.
    2. Lo, Andrew W. & Craig MacKinlay, A., 1990. "An econometric analysis of nonsynchronous trading," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 181-211.
    3. Bulow, Jeremy I & Geanakoplos, John D & Klemperer, Paul D, 1985. "Multimarket Oligopoly: Strategic Substitutes and Complements," Journal of Political Economy, University of Chicago Press, vol. 93(3), pages 488-511, June.
    4. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
    5. Subrahmanyam, Avanidhar, 1991. "Risk Aversion, Market Liquidity, and Price Efficiency," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 416-441.
    6. Chan, Kalok, 1992. "A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 123-152.
    7. Subrahmanyam, Avanidhar, 1991. "A Theory of Trading in Stock Index Futures," Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 17-51.
    8. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
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    Cited by:

    1. Drakos, Anastassios A., 2016. "Does the relationship between small and large portfolios’ returns confirm the lead–lag effect? Evidence from the Athens Stock Exchange," Research in International Business and Finance, Elsevier, vol. 36(C), pages 546-561.
    2. Cho, Jin-Wan & Shin, Jhinyoung & Singh, Rajdeep, 2004. "The generality of spurious predictability," Finance Research Letters, Elsevier, vol. 1(4), pages 203-214, December.

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