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Citations for "Liquidity, Volatility and Equity Trading Costs across Countries and over Time"

by Domowitz, Ian & Glen, Jack & Madhavan, Ananth

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  1. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2004. "Market Impact Costs of Institutional Equity Trades," DNB Staff Reports (discontinued) 125, Netherlands Central Bank.
  2. van der Hart, Jaap & Slagter, Erica & van Dijk, Dick, 2003. "Stock selection strategies in emerging markets," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 105-132, February.
  3. Sarkissian, Sergei & Schill, Michael J., 2004. "Are There Permanent Valuation Gains to Overseas Listing? Evidence from Market Sequencing and Selection," Working Papers 05-4, University of Pennsylvania, Wharton School, Weiss Center.
  4. Jack Glen & Ajit Singh, 2003. "Capital Structure, Rates of Return and Financing Corporate Growth: Comparing Developed and Emerging Markets, 1994-00," ESRC Centre for Business Research - Working Papers wp265, ESRC Centre for Business Research.
  5. Sorensen, Bent E. & Wu, Yi-Tsung & Yosha, Oved & Zhu, Yu, 2007. "Home bias and international risk sharing: Twin puzzles separated at birth," Journal of International Money and Finance, Elsevier, vol. 26(4), pages 587-605, June.
  6. Claessens, Stijn & Kingebiel, Daniela & Schmukler, Sergio L., 2002. "Explaining the Migration of Stocks from Exchanges in Emerging Economies to International Centres," Working Paper Series UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
  7. Harald Hau, 2006. "The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse," Journal of the European Economic Association, MIT Press, vol. 4(4), pages 862-890, 06.
  8. Sugato Chakravarty & Chiraphol N. Chiyachantana & Christine Jiang, 2012. "The Choice of Trading Venue and Relative Price Impact of Institutional Trading: ADRs versus the Underlying Securities in their Local Markets," Working Papers 1012, Purdue University, Department of Consumer Sciences.
  9. Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wang, George H.K., 2012. "Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2660-2671.
  10. Beck, Thorsten & Fuchs, Michael & Uy, Marilou, 2009. "Finance in Africa - Achievements and Challenges," Policy Research Working Paper Series 5020, The World Bank.
  11. Agarwalla, Sobhesh Kumar & Jacob, Joshy & Pandey, Ajay, 2015. "Impact of the introduction of call auction on price discovery: Evidence from the Indian stock market using high-frequency data," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 167-178.
  12. Hasman, Augusto & Samartín, Margarita & van Bommel, Jos, 2014. "Financial intermediation in an overlapping generations model with transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 111-125.
  13. Beugelsdijk, Sjoerd & Frijns, Bart, 2010. "A cultural explanation of the foreign bias in international asset allocation," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2121-2131, September.
  14. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2007. "Liquidity and Expected Returns: Lessons from Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1783-1831, November.
  15. Emine Boz, 2006. "Can Miracles Lead to Crises? An Informational Frictions Explanation of Emerging Markets Crises," Computing in Economics and Finance 2006 19, Society for Computational Economics.
  16. Cécile Carpentier & Jean-François L'Her & Jean-Marc Suret, 2004. "Competition Among Securities Markets: Can the Canadian Market Survive?," CIRANO Working Papers 2004s-50, CIRANO.
  17. Ramos, Sofia B. & von Thadden, Ernst-Ludwig, 2008. "Stock exchange competition in a simple model of capital market equilibrium," Journal of Financial Markets, Elsevier, vol. 11(3), pages 284-307, August.
  18. Su, Yongyang, 2010. "The impact of the securities transaction taxes on the Chinese stock market," MPRA Paper 22695, University Library of Munich, Germany, revised 13 May 2010.
  19. Hu, Gang, 2009. "Measures of implicit trading costs and buy-sell asymmetry," Journal of Financial Markets, Elsevier, vol. 12(3), pages 418-437, August.
  20. Dey, Malay K., 2005. "Turnover and return in global stock markets," Emerging Markets Review, Elsevier, vol. 6(1), pages 45-67, April.
  21. Rhee, S. Ghon & Wang, Jianxin, 2009. "Foreign institutional ownership and stock market liquidity: Evidence from Indonesia," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1312-1324, July.
  22. Vo, Xuan Vinh, 2008. "The determinants of home bias puzzle in equity portfolio investment in Australia," MPRA Paper 26982, University Library of Munich, Germany, revised 26 Jul 2009.
  23. Kadiyala, Padma & Kadiyala, Prasad, 2004. "ADRs as leading indicators of exchange rates," Emerging Markets Review, Elsevier, vol. 5(1), pages 83-107, March.
  24. Emine Boz, 2009. "Can Miracles Lead to Crises? The Role of Optimism in Emerging Markets Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(6), pages 1189-1215, 09.
  25. Alan G. Ahearne & William L. Griever & Francis E. Warnock, 2000. "Information costs and home bias: an analysis of U.S. holdings of foreign equities," International Finance Discussion Papers 691, Board of Governors of the Federal Reserve System (U.S.).
  26. Chiyachantana, Chiraphol N. & Jain, Pankaj K. & Jiang, Christine & Wood, Robert A., 2006. "Volatility effects of institutional trading in foreign stocks," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2199-2214, August.
  27. Claessens, Stijn & Klingebiel, Daniela & Schmukler, Sergio L., 2006. "Stock market development and internationalization: Do economic fundamentals spur both similarly?," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 316-350, June.
  28. Marco Cipriani & Antonio Guarino, 2006. "Transaction Costs and Informational Cascades in Financial Markets: Theory and Experimental Evidence," WEF Working Papers 0008, ESRC World Economy and Finance Research Programme, Birkbeck, University of London.
  29. Jotikasthira, Chotibhak & Lundblad, Christian T & Ramadorai, Tarun, 2009. "Asset fire sales and purchases and the international transmission of financial shocks," CEPR Discussion Papers 7595, C.E.P.R. Discussion Papers.
  30. Maria Kasch-Haroutounian & Erik Theissen, 2009. "Competition between Exchanges: Euronext versus Xetra," European Financial Management, European Financial Management Association, vol. 15(1), pages 181-207.
  31. Craig Ellis & Patrick J. Wilson & Ralf Zurbruegg, 2007. "Real Estate ‘Value’ Stocks and International Diversification," Journal of Property Research, Taylor & Francis Journals, vol. 24(3), pages 265-287, September.
  32. Donadelli, Michael & Prosperi, Lorenzo, 2012. "On the role of liquidity in emerging markets stock prices," Research in Economics, Elsevier, vol. 66(4), pages 320-348.
  33. Sofia B. Ramos, 2003. "Competition Between Stock Exchanges: A Survey," FAME Research Paper Series rp77, International Center for Financial Asset Management and Engineering.
  34. Dicle, Mehmet F. & Levendis, John, 2011. "Greek market efficiency and its international integration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 229-246, April.
  35. Nicola Cetorelli & Stavros Peristiani, 2015. "Firm Value and Cross Listings: The Impact of Stock Market Prestige," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 8(1), pages 150-180, March.
  36. Cipriani, Marco & Guarino, Antonio, 2008. "Transaction costs and informational cascades in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 68(3-4), pages 581-592, December.
  37. Javier Gil-Bazo & David Moreno & Mikel Tapia, 2005. "Price Dynamics, Informational Efficiency And Wealth Distribution In Continuous Double Auction Markets," Business Economics Working Papers wb057819, Universidad Carlos III, Departamento de Economía de la Empresa.
  38. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4, October.
  39. Dubofsky, David A., 2010. "Mutual fund portfolio trading and investor flow," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 802-812, April.
  40. Gonzalo Chavez, 2004. "Trading Costs for Emerging Market Stocks," Working Papers Economia wp04-04, Instituto de Empresa, Area of Economic Environment.
  41. Gresse, Carole & Gajewski, Jean-François, 2007. "Centralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)," Economics Papers from University Paris Dauphine 123456789/295, Paris Dauphine University.
  42. Karl Friedrich Habermeier & Andrei Kirilenko, 2001. "Securities Transaction Taxes and Financial Markets," IMF Working Papers 01/51, International Monetary Fund.
  43. Silva, Ana Cristina & Chávez, Gonzalo A., 2008. "Cross-listing and liquidity in emerging market stocks," Journal of Banking & Finance, Elsevier, vol. 32(3), pages 420-433, March.
  44. Blitz, David & Huij, Joop, 2012. "Evaluating the performance of global emerging markets equity exchange-traded funds," Emerging Markets Review, Elsevier, vol. 13(2), pages 149-158.
  45. Balli, Faruk & Osman, Mohammad & Louis, Rosmy J., 2008. "International Portfolio Inflows to GCC Markets. Are There any General Patterns?," MPRA Paper 10158, University Library of Munich, Germany.
  46. Udomsirikul, Prasit & Jumreornvong, Seksak & Jiraporn, Pornsit, 2011. "Liquidity and capital structure: The case of Thailand," Journal of Multinational Financial Management, Elsevier, vol. 21(2), pages 106-117, April.
  47. Lim, Kian-Ping & Kim, Jae H., 2011. "Trade openness and the informational efficiency of emerging stock markets," Economic Modelling, Elsevier, vol. 28(5), pages 2228-2238, September.
  48. Lucio Vinhas de Souza, 2004. "Financial Liberalization and Business Cycles: The Experience of Future EU Member States in the Baltics and Central Eastern Europe," International Finance 0403009, EconWPA.
  49. Metghalchi, Massoud & Chen, Chien-Ping & Hayes, Linda A., 2015. "History of share prices and market efficiency of the Madrid general stock index," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 178-184.
  50. Fan, Longzhen & Hu, Bill & Jiang, Christine, 2012. "Pricing and information content of block trades on the Shanghai Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 378-397.
  51. Junmao Chiu & Huimin Chung & Keng-Yu Ho, 2014. "Fear Sentiment, Liquidity, and Trading Behavior: Evidence from the Index ETF Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1450017-1-1.
  52. Robert Pollin & James Heintz, 2003. "Evaluation of a Proposal to Reinstate the New York Stock Transfer Tax," Research Reports rr7, Political Economy Research Institute, University of Massachusetts at Amherst.
  53. Massimo Guidolin, 2005. "Home bias and high turnover in an overlapping generations model with learning," Working Papers 2005-012, Federal Reserve Bank of St. Louis.
  54. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," CORE Discussion Papers 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  55. Gajewski, Jean-Francois & Gresse, Carole, 2007. "Centralised order books versus hybrid order books: A paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2906-2924, September.
  56. Suleyman Cetintas & Luo Si & Sugato Chakravarty & Hans Aagard & Kyle Bowen, 2011. "Learning to Identify Students’ Relevant and IrrelevantQuestions in a Micro-blogging Supported Classroom," Working Papers 1010, Purdue University, Department of Consumer Sciences.
  57. Warnock, Francis E., 2002. "Home bias and high turnover reconsidered," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 795-805, November.
  58. Aktas, Osman Ulas & Kryzanowski, Lawrence, 2014. "Market impacts of trades for stocks listed on the Borsa Istanbul," Emerging Markets Review, Elsevier, vol. 20(C), pages 152-175.
  59. James Heintz & Robert Pollin, 2003. "Confronting the New York Fiscal Crisis: Raising Revenue Through Taxing Stock Market Transactions," Research Briefs rb2003-4, Political Economy Research Institute, University of Massachusetts at Amherst.
  60. Faruk, Balli, 2006. "New Patterns in International Portfolio Allocation and Income Smoothing," MPRA Paper 10121, University Library of Munich, Germany, revised 14 Aug 2008.
  61. Gajewski, Jean-François & Gresse, Carole, 2004. "Centralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)," Economics Papers from University Paris Dauphine 123456789/3017, Paris Dauphine University.
  62. Kaniel, Ron & Ozoguz, Arzu & Starks, Laura, 2012. "The high volume return premium: Cross-country evidence," Journal of Financial Economics, Elsevier, vol. 103(2), pages 255-279.
  63. Helen Allen & John Hawkins & Setsuya Sato, 2001. "Electronic trading and its implications for financial systems," BIS Papers chapters, in: Bank for International Settlements (ed.), Electronic finance: a new perspective and challenges, volume 7, pages 30-52 Bank for International Settlements.
  64. Kutas, Gábor & Végh, Richárd, 2005. "A Budapest Likviditási Mérték bevezetéséről. A magyar részvények likviditásának összehasonlító elemzése a budapesti, a varsói és a londoni értéktőzsdéken
    [Introduction of the Budapest Liquidity Mea
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 686-711.
  65. Chan, Kalok & Covrig, Vicentiu, 2012. "What determines mutual fund trading in foreign stocks?," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 793-817.
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