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Citations for "Order Imbalance, Liquidity, and Market Returns"

by Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar

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  1. Utpal Bhattacharya & Craig W. Holden & Stacey Jacobsen, 2012. "Penny Wise, Dollar Foolish: Buy-Sell Imbalances On and Around Round Numbers," Management Science, INFORMS, vol. 58(2), pages 413-431, February.
  2. He, Yan & Wang, Junbo & Wu, Chunchi, 2013. "Domestic versus foreign equity shares: Which are more costly to trade in the Chinese market?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 465-481.
  3. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2012. "Sell-order liquidity and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 523-541.
  4. Alessandro Girardi & Claudio Impenna, 2013. "Price Discovery In The Italian Sovereign Bonds Market: The Role Of Order Flow," Working Papers LuissLab 13108, Dipartimento di Economia e Finanza, LUISS Guido Carli.
  5. Felipe Zurita, 2003. "Liquidity and Financial Markets - Introduction," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(121), pages 725-727.
  6. Chordia, Tarun & Subrahmanyam, Avanidhar, 2004. "Order imbalance and individual stock returns: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 72(3), pages 485-518, June.
  7. Eleanor Xu, Xiaoqing & Chen, Peter & Wu, Chunchi, 2006. "Time and dynamic volume-volatility relation," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1535-1558, May.
  8. Andersson, Jonas & Moberg, Jan-Magnus, 2007. "Structural breaks in point processes: With an application to reporting delays for trades on the New York stock exchange," Discussion Papers 2007/28, Department of Business and Management Science, Norwegian School of Economics.
  9. Kaul, Aditya & Mehrotra, Vikas & Stefanescu, Carmen, 2016. "Location and excess comovement," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 293-308.
  10. Caporale, Guglielmo Maria & Girardi, Alessandro & Paesani, Paolo, 2012. "Quoted spreads and trade imbalance dynamics in the European Treasury bond market," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 173-182.
  11. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2014. "Trading activity in the equity market and its contingent claims: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 13-35.
  12. 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.
  13. Dagfinn Rime & Hans Jørgen Tranvåg, 2012. "The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence," Working Paper 2012/01, Norges Bank.
  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. Lo, Kevin & Coggins, Richard, 2006. "Effects of order flow imbalance on short-horizon contrarian strategies in the Australian equity market," Pacific-Basin Finance Journal, Elsevier, vol. 14(3), pages 291-310, June.
  16. Willis, Geoff, 2011. "Pricing, liquidity and the control of dynamic systems in finance and economics," MPRA Paper 31137, University Library of Munich, Germany.
  17. Subrahmanyam, Avanidhar, 2009. "The implications of liquidity and order flows for neoclassical finance," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 527-532, November.
  18. Joseph K.W. Fung & Philip Yu, 2007. "Order Imbalance and the Dynamics of Index and Futures Prices," Working Papers 072007, Hong Kong Institute for Monetary Research.
  19. Vinay Patel, 2015. "Price Discovery in US and Australian Stock and Options Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 27.
  20. Abul Shamsuddin & Jae H. Kim, 2010. "Short-Horizon Return Predictability in International Equity Markets," The Financial Review, Eastern Finance Association, vol. 45(2), pages 469-484, 05.
  21. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Discussion Papers 04-07, University of Copenhagen. Department of Economics.
  22. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  23. Guillaume, F., 2015. "The LIX: A model-independent liquidity index," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 214-231.
  24. King, Michael & Sarno, Lucio & Sojli, Elvira, 2010. "Timing exchange rates using order flow: The case of the Loonie," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2917-2928, December.
  25. Kao, Erin H., 2011. "Momentum and reversals in Taiwan index futures returns during periods of extreme trading imbalance," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 459-467, June.
  26. Pukthuanthong-Le, Kuntara & Visaltanachoti, Nuttawat, 2009. "Commonality in liquidity: Evidence from the Stock Exchange of Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 80-99, January.
  27. Maobin Wang & Chun Qiu & Dongmin Kong, 2011. "Corporate Social Responsibility, Investor Behaviors, and Stock Market Returns: Evidence from a Natural Experiment in China," Journal of Business Ethics, Springer, vol. 101(1), pages 127-141, June.
  28. Smimou, K. & Khallouli, W., 2015. "Does the Euro affect the dynamic relation between stock market liquidity and the business cycle?," Emerging Markets Review, Elsevier, vol. 25(C), pages 125-153.
  29. Gutierrez, Jose A. & Martinez, Valeria & Tse, Yiuman, 2009. "Where does return and volatility come from? The case of Asian ETFs," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 671-679, October.
  30. Lu, Chia-Wu & Chen, Tsung-Kang & Liao, Hsien-Hsing, 2010. "Information uncertainty, information asymmetry and corporate bond yield spreads," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2265-2279, September.
  31. Smales, Lee A., 2013. "Bond futures and order imbalance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 113-132.
  32. Krause, Timothy & Tse, Yiuman, 2013. "Volatility and return spillovers in Canadian and U.S. industry ETFs," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 244-259.
  33. Detollenaere, Benoit & Mazza, Paolo, 2014. "Do Japanese candlesticks help solve the trader’s dilemma?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 386-395.
  34. Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang, 2008. "Weather and intraday patterns in stock returns and trading activity," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1754-1766, September.
  35. Chung, Huimin, 2006. "Investor protection and the liquidity of cross-listed securities: Evidence from the ADR market," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1485-1505, May.
  36. Nikhil Rastogi, 2013. "Order imbalance and returns: evidence from India," International Journal of Managerial Finance, Emerald Group Publishing, vol. 9(2), pages 92-109, May.
  37. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2005. "Evidence on the speed of convergence to market efficiency," Journal of Financial Economics, Elsevier, vol. 76(2), pages 271-292, May.
  38. Nyborg, Kjell G & Östberg, Per, 2010. "Money and Liquidity in Financial Markets," CEPR Discussion Papers 7905, C.E.P.R. Discussion Papers.
  39. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004. "Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications," IDEI Working Papers 253, Institut d'Économie Industrielle (IDEI), Toulouse.
  40. Laurence Lescourret, 2012. "Non-fundamental Information and Market-makers' Behavior during the NASDAQ Preopening Session," Post-Print hal-00772798, HAL.
  41. Aktas, Nihat & de Bodt, Eric & Van Oppens, Hervé, 2008. "Legal insider trading and market efficiency," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1379-1392, July.
  42. Underwood, Shane, 2009. "The cross-market information content of stock and bond order flow," Journal of Financial Markets, Elsevier, vol. 12(2), pages 268-289, May.
  43. Lei, Qin & Wu, Guojun, 2005. "Time-varying informed and uninformed trading activities," Journal of Financial Markets, Elsevier, vol. 8(2), pages 153-181, May.
  44. Park, A. & Sgroi, D., 2009. "Herding, Contrarianism and Delay in Financial Market Trading," Cambridge Working Papers in Economics 0941, Faculty of Economics, University of Cambridge.
  45. Chen, Tsung-Kang & Liao, Hsien-Hsing & Chen, Wei-Lun, 2014. "Production efficiency uncertainty and corporate credit risk: Structural form credit model perspectives," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 266-280.
  46. Martínez Sedano, Miguel Angel & Nieto, Belén & Rubio Irigoyen, Gonzalo, 2002. "Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market," DFAEII Working Papers 2002-05, University of the Basque Country - Department of Foundations of Economic Analysis II.
  47. Rösch, Christoph G. & Kaserer, Christoph, 2014. "Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 152-170.
  48. Apergis, Nicholas & Voliotis, Dimitrios, 2015. "Spillover effects between lit and dark stock markets: Evidence from a panel of London Stock Exchange transactions," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 101-106.
  49. Söderberg, Jonas, 2008. "Liquidity on the Scandinavian Order-driven Stock Exchanges," CAFO Working Papers 2009:11, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University.
  50. Chai, Daniel & Faff, Robert & Gharghori, Philip, 2010. "New evidence on the relation between stock liquidity and measures of trading activity," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 181-192, June.
  51. Hu, Jianfeng, 2014. "Does option trading convey stock price information?," Journal of Financial Economics, Elsevier, vol. 111(3), pages 625-645.
  52. Qian, Xiaolin & Tam, Lewis H.K. & Zhang, Bohui, 2014. "Systematic liquidity and the funding liquidity hypothesis," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 304-320.
  53. 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.
  54. Hirshleifer, David & Subrahmanyam, Avanidhar & Titman, Sheridan, 2002. "Feedback and the Success of Irrational Investors," University of California at Los Angeles, Anderson Graduate School of Management qt2b82s539, Anderson Graduate School of Management, UCLA.
  55. 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.
  56. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  57. Lin, Emily & Lee, Cheng-Few & Wang, Kehluh, 2013. "Futures mispricing, order imbalance, and short-selling constraints," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 408-423.
  58. repec:dau:papers:123456789/4430 is not listed on IDEAS
  59. Corò, Filippo & Dufour, Alfonso & Varotto, Simone, 2013. "Credit and liquidity components of corporate CDS spreads," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5511-5525.
  60. OUATTARA, Aboudou, 2016. "Impact of the transition to continous trading on emerging financial market's liquidity : Case study of the West Africa Regional Exchange Market (BRVM)," MPRA Paper 75391, University Library of Munich, Germany.
  61. Rösch, Christoph G. & Kaserer, Christoph, 2013. "Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2284-2302.
  62. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Businesss School.
  63. Andrade, Sandro C. & Chang, Charles & Seasholes, Mark S., 2008. "Trading imbalances, predictable reversals, and cross-stock price pressure," Journal of Financial Economics, Elsevier, vol. 88(2), pages 406-423, May.
  64. Ormos, Mihály & Timotity, Dusán, 2016. "Market microstructure during financial crisis: Dynamics of informed and heuristic-driven trading," Finance Research Letters, Elsevier, vol. 19(C), pages 60-66.
  65. Kaul, Aditya & Mehrotra, Vikas, 2007. "The role of trades in price convergence: A study of dual-listed Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 196-219, March.
  66. Albuquerque, Rui & Schroth, Enrique, 2012. "The Value of Control and the Costs of Illiquidity," CEPR Discussion Papers 9090, C.E.P.R. Discussion Papers.
  67. Bernile, Gennaro & Hu, Jianfeng & Tang, Yuehua, 2016. "Can information be locked up? Informed trading ahead of macro-news announcements," Journal of Financial Economics, Elsevier, vol. 121(3), pages 496-520.
  68. Yoichi Otsubo & Bruce Mizrach, 2012. "The Market Microstructure of the European Climate Exchange," LSF Research Working Paper Series 12-7, Luxembourg School of Finance, University of Luxembourg.
  69. 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.
  70. Boynton, Wentworth & Oppenheimer, Henry R. & Reid, Sean F., 2009. "Japanese day-of-the-week return patterns: New results," Global Finance Journal, Elsevier, vol. 20(1), pages 1-12.
  71. Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012. "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
  72. Lynch, Andrew & Nikolic, Biljana & Yan, Xuemin (Sterling) & Yu, Han, 2014. "Aggregate short selling, commonality, and stock market returns," Journal of Financial Markets, Elsevier, vol. 17(C), pages 199-229.
  73. Helena Beltran & Alain Durré & Pierre Giot, 2004. "How does liquidity react to stress periods in a limit order market?," Working Paper Research 49, National Bank of Belgium.
  74. Narayan, Paresh Kumar & Narayan, Seema & Westerlund, Joakim, 2015. "Do order imbalances predict Chinese stock returns? New evidence from intraday data," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 136-151.
  75. : John A. Doukas & Constantinos Antoniou & Avanidhar Subrahmanyam, 2011. "Sentiment and Momentum," Working Papers wpn11-02, Warwick Business School, Finance Group.
  76. Nikolaou, Kleopatra, 2009. "Liquidity (risk) concepts: definitions and interactions," Working Paper Series 1008, European Central Bank.
  77. Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju & Hsieh, Yu-Ling, 2013. "Suppliers’ and customers’ information asymmetry and corporate bond yield spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3181-3191.
  78. Gökhan Cebiroglu & Ulrich Horst, 2012. "Hidden Liquidity: Determinants and Impact," SFB 649 Discussion Papers SFB649DP2012-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  79. Tóth, Bence & Palit, Imon & Lillo, Fabrizio & Farmer, J. Doyne, 2015. "Why is equity order flow so persistent?," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 218-239.
  80. Asani Sarkar & Robert A. Schwartz, 2009. "Market Sidedness: Insights into Motives for Trade Initiation," Journal of Finance, American Finance Association, vol. 64(1), pages 375-423, 02.
  81. Locke, Peter & Onayev, Zhan, 2007. "Order flow, dealer profitability, and price formation," Journal of Financial Economics, Elsevier, vol. 85(3), pages 857-887, September.
  82. Li, Mingsheng & McCormick, Timothy & Zhao, Xin, 2005. "Order imbalance and liquidity supply: Evidence from the bubble burst of Nasdaq stocks," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 533-555, September.
  83. Tourani-Rad, Alireza & Gilbert, Aaron & Chen, Jun, 2016. "Are foreign IPOs really foreign? Price efficiency and information asymmetry of Chinese foreign IPOs," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 95-106.
  84. Tissaoui, Kais & Ftiti, Zied, 2016. "Liquidity, liquidity risk, and information flow: Lessons from an emerging market," Research in International Business and Finance, Elsevier, vol. 37(C), pages 28-48.
  85. Kalev, Petko S. & Pham, Linh T., 2009. "Intraweek and intraday trade patterns and dynamics," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 547-564, November.
  86. Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2015. "Order imbalance and selling aggression under a shorting ban: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 368-379.
  87. Craig W. Holden & Stacey Jacobsen, 2014. "Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions," Journal of Finance, American Finance Association, vol. 69(4), pages 1747-1785, 08.
  88. Subrahmanyam, Avanidhar, 2008. "Lagged order flows and returns: A longer-term perspective," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 623-640, August.
  89. Ben Omrane, Walid & Welch, Robert, 2016. "Tick test accuracy in foreign exchange ECN markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 135-152.
  90. Narayan, Paresh Kumar & Mishra, Sagarika & Narayan, Seema, 2011. "Do market capitalization and stocks traded converge? New global evidence," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2771-2781, October.
  91. Vasios, Michalis & Payne, Richard & Nolte, Ingmar, 2015. "Profiting from Mimicking Strategies in Non-Anonymous Markets," MPRA Paper 61710, University Library of Munich, Germany.
  92. Bae, Kwangil & Kang, Jangkoo & Lee, Soonhee, 2016. "Bullish/bearish/neutral strategies under short sale restrictions," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 227-239.
  93. Kumar, Kiran & Mamidi, Varsha & Marisetty, Vijaya, 2011. "Global markets exposure and price efficiency: An empirical analysis of order flow dynamics of NYSE-listed Indian firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 686-706.
  94. Mazza, Paolo, 2015. "Price dynamics and market liquidity: An intraday event study on Euronext," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 139-153.
  95. He, Yan & Wu, Chunchi & Chen, Yea-Mow, 2003. "An explanation of the volatility disparity between the domestic and foreign shares in the Chinese stock markets," International Review of Economics & Finance, Elsevier, vol. 12(2), pages 171-186.
  96. Wang, Xiaolin & Ye, Qiang & Zhao, Feng, 2016. "Trading activity and price behavior in Chinese agricultural futures markets," Finance Research Letters, Elsevier, vol. 18(C), pages 52-59.
  97. Eric Girardin & Dijun Tan & Woon K. Wong, 2010. "Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets," Working Papers 022010, Hong Kong Institute for Monetary Research.
  98. Han-Ching Huang & Yong-Chern Su & Chun-Chi Shih, 2013. "Speed of Convergence to Market Efficiency: Example of Top loser Stocks," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 591-601.
  99. Allen, Linda & Gottesman, Aron A. & Peng, Lin, 2012. "The impact of joint participation on liquidity in equity and syndicated bank loan markets," Journal of Financial Intermediation, Elsevier, vol. 21(1), pages 50-78.
  100. Mehmet Umutlu & Levent Akdeniz & Aslihan Altay-Salih, 2013. "Foreign Equity Trading and Average Stock-return Volatility," The World Economy, Wiley Blackwell, vol. 36(9), pages 1209-1228, 09.
  101. Smimou, K., 2014. "Consumer attitudes, stock market liquidity, and the macro economy: A Canadian perspective," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 186-209.
  102. Söderberg, Jonas, 2008. "Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia," CAFO Working Papers 2009:10, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University.
  103. Fishe, Raymond P. H. & Robe, Michel A., 2004. "The impact of illegal insider trading in dealer and specialist markets: evidence from a natural experiment," Journal of Financial Economics, Elsevier, vol. 71(3), pages 461-488, March.
  104. Kamara, Avraham & Lou, Xiaoxia & Sadka, Ronnie, 2008. "The divergence of liquidity commonality in the cross-section of stocks," Journal of Financial Economics, Elsevier, vol. 89(3), pages 444-466, September.
  105. 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.
  106. Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, vol. 13(1), pages 8-25.
  107. Wolfgang Karl Härdle & Andrija Mihoci & Christopher Hian-Ann Ting, 2014. "Adaptive Order Flow Forecasting with Multiplicative Error Models," SFB 649 Discussion Papers SFB649DP2014-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  108. 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.
  109. Schlag, Christian & Stoll, Hans, 2005. "Price impacts of options volume," Journal of Financial Markets, Elsevier, vol. 8(1), pages 69-87, February.
  110. Fuller, Kathleen P., 2003. "The impact of informed trading on dividend signaling: a theoretical and empirical examination," Journal of Corporate Finance, Elsevier, vol. 9(4), pages 385-407, September.
  111. van Kervel, V.L., 2013. "Competition between stock exchanges and optimal trading," Other publications TiSEM 5c608a0f-527d-441d-a910-e, Tilburg University, School of Economics and Management.
  112. Han-Ching Huang & Yong-Chern Su & Tze-Yi Lin, 2016. "Market Efficiency of Commercial Bank in Financial Crisis," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 756-764.
  113. Lei, Xiaoyan & Zhou, Yuegang & Zhu, Xiaoneng, 2013. "Capital gains, illiquidity, and stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 273-293.
  114. Katya Malinova & Andreas Park, 2009. "Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading," Working Papers tecipa-358, University of Toronto, Department of Economics.
  115. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
  116. Choi, Darwin & Getmansky, Mila & Tookes, Heather, 2009. "Convertible bond arbitrage, liquidity externalities, and stock prices," Journal of Financial Economics, Elsevier, vol. 91(2), pages 227-251, February.
  117. Huang, Ying & Jacoby, Gady & Jiang, Christine X., 2016. "The bonding hypothesis and the home market liquidity of Chinese cross-listed stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 146-157.
  118. Lin, William T. & Tsai, Shih-Chuan & Chiu, Peter, 2016. "Do foreign institutions outperform in the Taiwan options market?," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 101-115.
  119. Chung, Dennis & Hrazdil, Karel, 2010. "Liquidity and market efficiency: A large sample study," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2346-2357, October.
  120. Kizilaslan, Recep & Freund, Steven & Iseri, Ali, 2016. "A data analytic approach to forecasting daily stock returns in an emerging marketAuthor-Name: Oztekin, Asil," European Journal of Operational Research, Elsevier, vol. 253(3), pages 697-710.
  121. Bailey, Warren & Cai, Jun & Cheung, Yan Leung & Wang, Fenghua, 2009. "Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China," Journal of Banking & Finance, Elsevier, vol. 33(1), pages 9-19, January.
  122. Bai, Min & Qin, Yafeng, 2015. "Commonality in liquidity in emerging markets: Another supply-side explanation," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 90-106.
  123. Axioglou, Christos & Skouras, Spyros, 2011. "Markets change every day: Evidence from the memory of trade direction," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 423-446, June.
  124. Frieder, Laura, 2008. "Investor and price response to patterns in earnings surprises," Journal of Financial Markets, Elsevier, vol. 11(3), pages 259-283, August.
  125. Boudt, Kris & Petitjean, Mikael, 2014. "Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks," Journal of Financial Markets, Elsevier, vol. 17(C), pages 121-149.
  126. Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern, 2014. "The central bank in market efficiency: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 239-260.
  127. John R. Ezzell & James A. Miles & J. Harold Mulherin, 2001. "Is there Really a When-Issued Premium?," Claremont Colleges Working Papers 2001-34, Claremont Colleges.
  128. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2008. "Liquidity and market efficiency," Journal of Financial Economics, Elsevier, vol. 87(2), pages 249-268, February.
  129. Jinliang Li & Chunchi Wu, 2006. "Daily Return Volatility, Bid-Ask Spreads, and Information Flow: Analyzing the Information Content of Volume," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2697-2740, September.
  130. Xiang, Ju & Zhu, Xiaoneng, 2014. "Intraday asymmetric liquidity and asymmetric volatility in FTSE-100 futures market," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 134-148.
  131. Karan Bhanot & Donald Lien & Margot Quijano, . "Will Pulling Out the Rug Help? Uncertainty about Fannie and Freddie’s Federal Guarantee and the Cost of the Subsidy," Working Papers 0035, College of Business, University of Texas at San Antonio.
  132. 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.
  133. Timothy Krause & Sina Ehsani & Donald Lien, 2014. "Exchange-traded funds, liquidity and volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 24(24), pages 1617-1630, December.
  134. Kim, Sukwon Thomas & Stoll, Hans R., 2014. "Are trading imbalances indicative of private information?," Journal of Financial Markets, Elsevier, vol. 20(C), pages 151-174.
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