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Do trading rules impact on market efficiency? A comparison of opening procedures on the Australian and Jakarta Stock Exchanges

  • Comerton-Forde, Carole
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    File URL: http://www.sciencedirect.com/science/article/B6VFF-3YJYR5D-6/2/6b761eefa4cc68768bf1f12d7ceb8f31
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    Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

    Volume (Year): 7 (1999)
    Issue (Month): 5 (December)
    Pages: 495-521

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    Handle: RePEc:eee:pacfin:v:7:y:1999:i:5:p:495-521
    Contact details of provider: Web page: http://www.elsevier.com/locate/pacfin

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    1. Roll, Richard, 1984. " A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-39, September.
    2. Schnitzlein, Charles R, 1996. " Call and Continuous Trading Mechanisms under Asymmetric Information: An Experimental Investigation," Journal of Finance, American Finance Association, vol. 51(2), pages 613-36, June.
    3. Madhavan, Ananth, 1992. " Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-41, June.
    4. Amihud, Yakov & Mendelson, Haim, 1987. " Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-53, July.
    5. Chang, Rosita P. & Ghon Rhee, S. & Soedigno, Susatio, 1995. "Price volatility of Indonesian stocks," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 337-355, July.
    6. Amihud, Yakov & Mendelson, Haim, 1991. " Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market," Journal of Finance, American Finance Association, vol. 46(5), pages 1765-89, December.
    7. Rosita P. Chang & Shuh-Tzy Hsu & Nai-Kuan Huang & S. Ghon Rhee, 1999. "The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(1-2), pages 137-170.
    8. Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 37-71.
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