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Switching to Continuous Trading and its Impact on Return Behavior and Volume of Trade

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  • Beni Lauterbach
  • Meyer Ungar

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  • Beni Lauterbach & Meyer Ungar, 1997. "Switching to Continuous Trading and its Impact on Return Behavior and Volume of Trade," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(1), pages 39-50, August.
    • Handle: RePEc:kap:jfsres:v:12:y:1997:i:1:p:39-50
    DOI: 10.1023/A:1007965627691
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    References listed on IDEAS

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    1. Stoll, Hans R, 1978. "The Supply of Dealer Services in Securities Markets," Journal of Finance, American Finance Association, vol. 33(4), pages 1133-1151, September.
    2. Harris, Lawrence E & Gurel, Eitan, 1986. "Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures," Journal of Finance, American Finance Association, vol. 41(4), pages 815-829, September.
    3. Amihud, Yakov & Mendelson, Haim, 1987. "Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-553, July.
    4. Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 37-71.
    5. Brock, William A. & Kleidon, Allan W., 1992. "Periodic market closure and trading volume : A model of intraday bids and asks," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 451-489.
    6. Amihud, Yakov & Mendelson, Haim, 1991. "Trading mechanisms and value-discovery: Cross-national evidence and policy implications," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 34(1), pages 105-130, January.
    7. 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 1127-1139, September.
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    Cited by:

    1. Silvio John Camilleri & Christopher J. Green, 2004. "The Impact of the Suspension of Opening and Closing Call," Finance 0411012, University Library of Munich, Germany.
    2. Weiyu Kuo & Yu‐Ching Li, 2011. "Trading Mechanisms and Market Quality: Call Markets versus Continuous Auction Markets," International Review of Finance, International Review of Finance Ltd., vol. 11(4), pages 417-444, December.
    3. Jiayi Li & Sumei Luo & Guangyou Zhou, 2021. "Call auction, continuous trading and closing price formation," Quantitative Finance, Taylor & Francis Journals, vol. 21(6), pages 1037-1065, June.

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