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An analysis of transactions data for the Toronto Stock Exchange : Return patterns and end-of-the-day effect

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  • McInish, Thomas H.
  • Wood, Robert A.

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  • McInish, Thomas H. & Wood, Robert A., 1990. "An analysis of transactions data for the Toronto Stock Exchange : Return patterns and end-of-the-day effect," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 441-458, August.
  • Handle: RePEc:eee:jbfina:v:14:y:1990:i:2-3:p:441-458
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    References listed on IDEAS

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    1. Frank De Leeuw & Edward M. Gramlich, 1969. "The channels of monetary policy," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Jun, pages 472-491.
    2. Boot, Arnoud & Thakor, Anjan V. & Udell, Gregory F., 1987. "Competition, risk neutrality and loan commitments," Journal of Banking & Finance, Elsevier, vol. 11(3), pages 449-471, September.
    3. Otto Eckstein & Allen Sinai, 1986. "The Mechanisms of the Business Cycle in the Postwar Era," NBER Chapters,in: The American Business Cycle: Continuity and Change, pages 39-122 National Bureau of Economic Research, Inc.
    4. Anjan V. Thakor & Hai Hong & Stuart I. Greenbaum, 2004. "Bank Loan Commitments and Interest Rate Volatility," Finance 0411050, EconWPA.
    5. Ham, John C & Melnik, Arie, 1987. "Loan Demand: An Empirical Analysis Using Micro Data," The Review of Economics and Statistics, MIT Press, vol. 69(4), pages 704-709, November.
    6. Albert M. Wojnilower, 1980. "The Central Role of Credit Crunches in Recent Financial History," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 11(2), pages 277-340.
    7. Cooley, Thomas F. & Leroy, Stephen F., 1985. "Atheoretical macroeconometrics: A critique," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 283-308, November.
    8. King, Robert G & Plosser, Charles I, 1984. "Money, Credit, and Prices in a Real Business Cycle," American Economic Review, American Economic Association, vol. 74(3), pages 363-380, June.
    9. King, Stephen R, 1986. "Monetary Transmission: Through Bank Loans or Bank Liabilities?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(3), pages 290-303, August.
    10. Campbell, Tim S, 1978. "A Model of the Market for Lines of Credit," Journal of Finance, American Finance Association, vol. 33(1), pages 231-244, March.
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    Cited by:

    1. Ligon, James A. & Liu, Hao-Chen, 2013. "The relation of trade size and price contribution in a traditional foreign exchange brokered market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1024-1045.
    2. Yang, Joey Wenling, 2011. "Transaction duration and asymmetric price impact of trades--Evidence from Australia," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 91-102, January.
    3. Liu, Yu-Jane, 1997. "Periodic market closure and order imbalances," Global Finance Journal, Elsevier, vol. 8(1), pages 95-111.
    4. Nguyen, Vanthuan & Phengpis, Chanwit, 2009. "An analysis of the opening mechanisms of Exchange Traded Fund markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 562-577, May.
    5. Nicholas Economides & Robert A. Schwartz,, "undated". "Equity Trading Practices and Market Structure: Assessing Asset Managers' Demand for Immediacy," Financial Networks 9508, Economics of Networks.
    6. Chen, Chun-nan, 2013. "The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 272-281.
    7. IWATSUBO Kentaro & Clinton WATKINS & XU Tao, 2017. "Intraday Seasonality in Efficiency, Liquidity, Volatility, and Volume: Platinum and gold futures in Tokyo and New York," Discussion papers 17120, Research Institute of Economy, Trade and Industry (RIETI).
    8. Köksal, Bülent, 2012. "An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange," MPRA Paper 35968, University Library of Munich, Germany.
    9. Malinova, Katya & Park, Andreas, 2014. "The impact of competition and information on intraday trading," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 55-71.
    10. 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.
    11. Rourke, Thomas, 2014. "The delta- and vega-related information content of near-the-money option market trading activity," Journal of Financial Markets, Elsevier, vol. 20(C), pages 175-193.
    12. Chiao Yi Chang & Fu Shuen Shie, 2011. "The Relation Between Relative Order Imbalance and Intraday Futures Returns: An Application of the Quantile Regression Model to Taiwan," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(3), pages 69-87, May.
    13. Çankaya, Serkan & Ulusoy, Veysel & Eken, Hasan/M., 2011. "The Behavior of Istanbul Stock Exchange Market: An Intraday Volatility/Return Analysis Approach," MPRA Paper 43656, University Library of Munich, Germany.
    14. Kentaro Iwatsubo & Clinton Watkins & Tao Xu, 2017. "Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York," Discussion Papers 1715, Graduate School of Economics, Kobe University.
    15. Deb, Pragyan & Koo, Bonsoo & Liu, Zijun, 2014. "Competition, premature trading and excess volatility," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 178-193.
    16. Chiao Yi Chang & Fu Shuen Shie, 2011. "The Relation Between Relative Order Imbalance and Intraday Futures Returns: An Application of the Quantile Regression Model to Taiwan," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(3), pages 69-87, May.
    17. Lee, Kuan-Hui & Wang, Shu-Feng, 2016. "Short-selling with a short wait: Trade- and account-level analyses in Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 209-222.

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