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Citations for "Securities Trading in the Absence of Dealers: Trade and Quotes on the Tokyo Stock Exchange"

by Hamao, Y. & Hasbrouck, J.

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  1. Ahn, Hee-Joon & Cheung, Yan-Leung, 1999. "The intraday patterns of the spread and depth in a market without market makers: The Stock Exchange of Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 539-556, December.
  2. Domowitz, Ian & Hansch, Oliver & Wang, Xiaoxin, 2005. "Liquidity commonality and return co-movement," Journal of Financial Markets, Elsevier, vol. 8(4), pages 351-376, November.
  3. Valenzuela, Marcela & Zer, Ilknur, 2013. "Competition, signaling and non-walking through the book: Effects on order choice," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5421-5435.
  4. Hearn, Bruce, 2011. "Size and liquidity effects in Japanese regional stock markets," Journal of the Japanese and International Economies, Elsevier, vol. 25(2), pages 157-181, June.
  5. 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.
  6. Jun-Koo Kang & Rene M. Stulz, 1994. "How Different is Japanese Corporate Finance? An Investigation of the Information Content of New Security Issues," NBER Working Papers 4908, National Bureau of Economic Research, Inc.
  7. Eric Ghysels & Junghoon Seon, 2000. "The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors," CIRANO Working Papers 2000s-11, CIRANO.
  8. Adam Blazejewski & Richard Coggins, 2004. "A local non-parametric model for trade sign inference," Finance 0408009, EconWPA.
  9. Ascioglu, Asli & Comerton-Forde, Carole & McInish, Thomas H., 2010. "An examination of minimum tick sizes on the Tokyo Stock Exchange," Japan and the World Economy, Elsevier, vol. 22(1), pages 40-48, January.
  10. Konstantin Tyurin, 2004. "High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market," Econometric Society 2004 North American Summer Meetings 579, Econometric Society.
  11. Angel Pardo & Roberto Pascual, 2012. "On the hidden side of liquidity," The European Journal of Finance, Taylor & Francis Journals, vol. 18(10), pages 949-967, November.
  12. Andersen, Torben G. & Bollerslev, Tim & Cai, Jun, 2000. "Intraday and interday volatility in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 107-130, June.
  13. Ingrid Lo & Stephen G. Sapp, 2007. "Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?," Staff Working Papers 07-23, Bank of Canada.
  14. Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.
  15. Chan, Soon Huat & Kim, Kenneth A. & Rhee, S. Ghon, 2005. "Price limit performance: evidence from transactions data and the limit order book," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 269-290, March.
  16. Brockman, Paul & Chung, Dennis Y., 1999. "An analysis of depth behavior in an electronic, order-driven environment," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1861-1886, December.
  17. Silva, Ana Cristina & Chavez, Gonzalo, 2002. "Components of execution costs: evidence of asymmetric information at the Mexican Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 253-278, July.
  18. Dan Ladley & Klaus Reiner Schenk-Hoppe, 2007. "Do Stylised Facts of Order Book Markets Need Strategic Behaviour?," Swiss Finance Institute Research Paper Series 07-20, Swiss Finance Institute.
  19. Ghysels, Eric & Seon, Junghoon, 2005. "The Asian financial crisis: The role of derivative securities trading and foreign investors in Korea," Journal of International Money and Finance, Elsevier, vol. 24(4), pages 607-630, June.
  20. Bayar, Onur, 2013. "Liquidity provision in a limit order book without adverse selection," Journal of Economics and Business, Elsevier, vol. 66(C), pages 98-124.
  21. Obizhaeva, Anna A. & Wang, Jiang, 2013. "Optimal trading strategy and supply/demand dynamics," Journal of Financial Markets, Elsevier, vol. 16(1), pages 1-32.
  22. Brockman, Paul & Chung, Dennis Y., 1998. "Inter- and intra-day liquidity patterns on the Stock Exchange of Hong Kong," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 277-298, December.
  23. Kim, Yong H. & Yang, J. Jimmy, 2008. "The effect of price limits on intraday volatility and information asymmetry," Pacific-Basin Finance Journal, Elsevier, vol. 16(5), pages 522-538, November.
  24. Matthew J. Clayton & Bjorn N. Jorgensen & Kenneth A. Kavajecz, 1999. "On the Formation and Structure of International Exchanges," Tinbergen Institute Discussion Papers 99-079/2, Tinbergen Institute.
  25. BELTRAN, Helena & DURRE, Alain & GIOT, Pierre, 2005. "Volatility regimes and the provision of liquidity in order book markets," CORE Discussion Papers 2005012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  26. Adam Blazejewski & Richard Coggins, 2004. "A piecewise linear model for trade sign inference," Finance 0412012, EconWPA.
  27. Allan W. Kleidon & Ingrid M. Werner, 1993. "Round-the-clock Trading: Evidence from U.K. Cross-Listed Securities," NBER Working Papers 4410, National Bureau of Economic Research, Inc.
  28. Martens, Martin & Steenbeek, Onno W., 2001. "Intraday trading halts in the Nikkei futures market," Pacific-Basin Finance Journal, Elsevier, vol. 9(5), pages 535-561, November.
  29. Hasbrouck, Joel & Saar, Gideon, 2009. "Technology and liquidity provision: The blurring of traditional definitions," Journal of Financial Markets, Elsevier, vol. 12(2), pages 143-172, May.
  30. Fan, Yu-Ju & Lai, Hung-Neng, 2006. "The intraday effect and the extension of trading hours for Taiwanese securities," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 328-347.
  31. Ito, Akitoshi, 1999. "Profits on technical trading rules and time-varying expected returns: evidence from Pacific-Basin equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 283-330, August.
  32. Chen, Tao & Li, Jie & Cai, Jun, 2008. "Information content of inter-trade time on the Chinese market," Emerging Markets Review, Elsevier, vol. 9(3), pages 174-193, September.
  33. Bae, Kee-Hong & Yamada, Takeshi & Ito, Keiichi, 2008. "Interaction of investor trades and market volatility: Evidence from the Tokyo Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 16(4), pages 370-388, September.
  34. Bremer, Marc & Hiraki, Takato, 1999. "Volume and individual security returns on the Tokyo Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 351-370, August.
  35. Ingrid Lo & Stephen Sapp, 2011. "Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market," Staff Working Papers 11-8, Bank of Canada.
  36. Clayton, Matthew J. & Jorgensen, Bjorn N. & Kavajecz, Kenneth A., 2006. "On the presence and market-structure of exchanges around the world," Journal of Financial Markets, Elsevier, vol. 9(1), pages 27-48, February.
  37. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y. K., 2002. "The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 399-430, November.
  38. Yu Chuan Huang, 2004. "The components of bid‐ask spread and their determinants: TAIFEX versus SGX‐DT," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(9), pages 835-860, 09.
  39. Vo, Minh T., 2007. "Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange," Global Finance Journal, Elsevier, vol. 17(3), pages 379-396, 03.
  40. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-89, December.
  41. Tapia, Mikel & Rubio, Gonzalo, 1996. "The liquidity premiun in equity pricing under a continuous auction system," DEE - Working Papers. Business Economics. WB 7014, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  42. Chang, Yuk Ying & Faff, Robert & Hwang, Chuan-Yang, 2010. "Liquidity and stock returns in Japan: New evidence," Pacific-Basin Finance Journal, Elsevier, vol. 18(1), pages 90-115, January.
  43. Verhoeven, Peter & Ching, Simon & Guan Ng, Hock, 2004. "Determinants of the decision to submit market or limit orders on the ASX," Pacific-Basin Finance Journal, Elsevier, vol. 12(1), pages 1-18, January.
  44. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y.K., 2005. "Adverse selection, brokerage coverage, and trading activity on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1483-1508, June.
  45. Gau, Yin-Feng & Wu, Zhen-Xing, 2014. "Order choices under information asymmetry in foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 106-118.
  46. Payne, Richard, 2003. "Informed trade in spot foreign exchange markets: an empirical investigation," Journal of International Economics, Elsevier, vol. 61(2), pages 307-329, December.
  47. Ohta, Wataru, 2006. "An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 1023-1039, March.
  48. Comerton-Forde, Carole & Frino, Alex & Mollica, Vito, 2005. "The impact of limit order anonymity on liquidity: Evidence from Paris, Tokyo and Korea," Journal of Economics and Business, Elsevier, vol. 57(6), pages 528-540.
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