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Citations for "Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours"

by Michael J. Barclay & Terrence Hendershott

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  1. Jan G. De Gooijer & Cees G. H. Diks & Łukasz T. Gątarek, 2012. "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 4(1), pages 23-44, March.
  2. Dirk Schiereck & Christian Voigt, 2010. "With or without you: market quality of floor trading when screen trading closes early," Review of Quantitative Finance and Accounting, Springer, vol. 34(2), pages 179-197, February.
  3. Angeles de Frutos, M. & Manzano, Carolina, 2005. "Trade disclosure and price dispersion," Journal of Financial Markets, Elsevier, vol. 8(2), pages 183-216, May.
  4. He, Yan & Lin, Hai & Wang, Junbo & Wu, Chunchi, 2009. "Price discovery in the round-the-clock U.S. Treasury market," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 464-490, July.
  5. Boulatov, Alex & Hatch, Brian C. & Johnson, Shane A. & Lei, Adam Y.C., 2009. "Dealer attention, the speed of quote adjustment to information, and net dealer revenue," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1531-1542, August.
  6. Park, Jong-Ho & Binh, Ki Beom & Eom, Kyong Shik, 2016. "The effect of listing switches from a growth market to a main board: An alternative perspective," Emerging Markets Review, Elsevier, vol. 29(C), pages 246-273.
  7. Jeff Madura & Nivine Richie, 2010. "Overreaction of Exchange-Traded Funds During the Bubble of 1998–2002," Chapters,in: Handbook of Behavioral Finance, chapter 5 Edward Elgar Publishing.
  8. Ibikunle, Gbenga, 2015. "Opening and closing price efficiency: Do financial markets need the call auction?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 208-227.
  9. Wang, Jianxin & Yang, Minxian, 2015. "How well does the weighted price contribution measure price discovery?," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 113-129.
  10. Chen, Tao & Cai, Jun & Ho, Richard Y.K., 2009. "Intraday information efficiency on the Chinese equity market," China Economic Review, Elsevier, vol. 20(3), pages 527-541, September.
  11. Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2012. "Identifying cross-sided liquidity externalities," Working Paper 2012/20, Norges Bank.
  12. Wang, Anxing & Zhou, Jimei & Chen, Tao, 2011. "Which institutions matter to short-term market efficiency in Japan?," Research in Economics, Elsevier, vol. 65(3), pages 164-179, September.
  13. Lescourret, Laurence, 2012. "Non-Fundamental Information and Market-Makers' Behavior during the NASDAQ Preopening Session," ESSEC Working Papers WP1212, ESSEC Research Center, ESSEC Business School.
  14. Wai-Ming Fong & Giorgio Valente & Joseph K.W. Fung, 2008. "FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value," Working Papers 082008, Hong Kong Institute for Monetary Research.
  15. Johnson, Timothy C., 2008. "Volume, liquidity, and liquidity risk," Journal of Financial Economics, Elsevier, vol. 87(2), pages 388-417, February.
  16. Pierre Collin-Dufresne & Vyacheslav Fos, 2012. "Do prices reveal the presence of informed trading?," NBER Working Papers 18452, National Bureau of Economic Research, Inc.
  17. Bortolotti, Bernardo & de Jong, Frank & Nicodano, Giovanna & Schindele, Ibolya, 2007. "Privatization and stock market liquidity," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 297-316, February.
  18. Hua, Renhai & Liu, Qingfu & Tse, Yiuman, 2016. "Extended trading in Chinese index markets: Informed or uninformed?," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 112-122.
  19. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2011. "Recent trends in trading activity and market quality," Journal of Financial Economics, Elsevier, vol. 101(2), pages 243-263, August.
  20. Zhao, Yan & Cheng, Lee-Young & Chang, Chong-Chuo & Ni, Cih-Ying, 2013. "Short sales, margin purchases and bid–ask spreads," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 199-220.
  21. Jiang, Christine X. & Likitapiwat, Tanakorn & McInish, Thomas H., 2012. "Information Content of Earnings Announcements: Evidence from After-Hours Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(06), pages 1303-1330, December.
  22. Chen, Chun-Hung & Yu, Wei-Choun & Zivot, Eric, 2012. "Predicting stock volatility using after-hours information: Evidence from the NASDAQ actively traded stocks," International Journal of Forecasting, Elsevier, vol. 28(2), pages 366-383.
  23. Benhami, Kheira & Bisière, Christophe, 2005. "Does Order Flow Fragmentation Impact Market Quality? The Case of Nasdaq SuperMontage," IDEI Working Papers 470, Institut d'Économie Industrielle (IDEI), Toulouse.
  24. Liu, Qingfu & Hua, Renhai & An, Yunbi, 2016. "Determinants and information content of intraday bid-ask spreads: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 135-148.
  25. Sadka, Ronnie, 2006. "Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk," Journal of Financial Economics, Elsevier, vol. 80(2), pages 309-349, May.
  26. Sait R. Ozturk & Michel van der Wel & Dick van Dijk, 2015. "Why do Pit-Hours outlive the Pit?," Tinbergen Institute Discussion Papers 15-082/III, Tinbergen Institute.
  27. Rubin, Amir & Smith, Daniel R., 2009. "Institutional ownership, volatility and dividends," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 627-639, April.
  28. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
  29. Bennett, Paul & Wei, Li, 2006. "Market structure, fragmentation, and market quality," Journal of Financial Markets, Elsevier, vol. 9(1), pages 49-78, February.
  30. Moulton, Pamela C. & Wei, Li, 2009. "A tale of two time zones: The impact of substitutes on cross-listed stock liquidity," Journal of Financial Markets, Elsevier, vol. 12(4), pages 570-591, November.
  31. Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, vol. 87(1), pages 45-72, January.
  32. Qianyun Huang & Terrance R. Skantz, 2016. "The informativeness of pro forma and street earnings: an examination of information asymmetry around earnings announcements," Review of Accounting Studies, Springer, vol. 21(1), pages 198-250, March.
  33. Ende, Bartholomäus & Lutat, Marco, 2010. "Trade-throughs in European cross-traded equities after transaction costs: Empirical evidence for the EURO STOXX 50," CFS Working Paper Series 2010/15, Center for Financial Studies (CFS).
  34. Barclay, Michael J. & Hendershott, Terrence, 2008. "A comparison of trading and non-trading mechanisms for price discovery," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 839-849, December.
  35. Jos, van Bommel, 2011. "Measuring price discovery: The variance ratio, the R2, and the weighted price contribution," Finance Research Letters, Elsevier, vol. 8(3), pages 112-119, September.
  36. Benston, George J. & Wood, Robert A., 2008. "Why effective spreads on NASDAQ were higher than on the New York stock exchange in the 1990s," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 17-40, January.
  37. Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je, 2016. "Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange," Economic Modelling, Elsevier, vol. 52(PB), pages 592-608.
  38. Bank for International Settlements, 2016. "Regulatory change and monetary policy," CGFS Papers, Bank for International Settlements, number 55.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.