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Citations for "Market Microstructure and Stock Return Predictions"

by Huang, Roger D & Stoll, Hans R

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  1. Roger Huang & H. Weingartner, 2000. "Do Market Makers Suffer from Splitting Headaches?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 17(2), pages 105-126, August.
  2. Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, vol. 41(3), pages 313-357, July.
  3. Brown, Philip & Walsh, David & Yuen, Andrea, 1997. "The interaction between order imbalance and stock price," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 539-557, December.
  4. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
  5. Taylor, Nicholas, 2002. "The economic and statistical significance of spread forecasts: Evidence from the London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 26(4), pages 795-818, April.
  6. J. Doyne Farmer & Shareen Joshi, 2000. "The price dynamics of common trading strategies," Papers cond-mat/0012419, arXiv.org.
  7. Krishnamurti, Chandrasekhar & Sevic, Aleksandar & Sevic, Zeljko, 2005. "Voluntary disclosure, transparency, and market quality: Evidence from emerging market ADRs," Journal of Multinational Financial Management, Elsevier, vol. 15(4-5), pages 435-454, October.
  8. Nowak, Sylwia & Anderson, Heather M., 2014. "How does public information affect the frequency of trading in airline stocks?," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 26-38.
  9. Wang, Huaiqing & Wang, Chen, 2002. "Visibility of the compass rose in financial asset returns: A quantitative study," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1099-1111, June.
  10. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
  11. Flannery, Mark J. & Kwan, Simon H. & Nimalendran, M., 2004. "Market evidence on the opaqueness of banking firms' assets," Journal of Financial Economics, Elsevier, vol. 71(3), pages 419-460, March.
  12. Hasbrouck, Joel, 1996. "Order characteristics and stock price evolution An application to program trading," Journal of Financial Economics, Elsevier, vol. 41(1), pages 129-149, May.
  13. Climent, Francisco & Pascual, Roberto & Pascual Fuste, Bartolomé, 2001. "Cross-listing, price discovery and the informativeness of the trading process," DEE - Working Papers. Business Economics. WB wb014511, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  14. 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.
  15. An-Sing Chen, 1997. "The square compass rose: the evidence from Taiwan," Journal of Multinational Financial Management, Elsevier, vol. 7(2), pages 127-144, June.
  16. Menyah, Kojo & Paudyal, Krishna, 2000. "The components of bid-ask spreads on the London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(11), pages 1767-1785, November.
  17. Flannery, Mark J. & Kwan, Simon H. & Nimalendran, Mahendrarajah, 2013. "The 2007–2009 financial crisis and bank opaqueness," Journal of Financial Intermediation, Elsevier, vol. 22(1), pages 55-84.
  18. Harris, Lawrence E. & Panchapagesan, Venkatesh, 2005. "The information content of the limit order book: evidence from NYSE specialist trading decisions," Journal of Financial Markets, Elsevier, vol. 8(1), pages 25-67, February.
  19. Thomas Gehrig & Caroline Fohlin, 2006. "Trading Costs in Early Securities Markets: The Case of the Berlin Stock Exchange 1880–1910," Review of Finance, European Finance Association, vol. 10(4), pages 587-612, December.
  20. 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.
  21. Chakravarty, Sugato, 2001. "Stealth-trading: Which traders' trades move stock prices?," Journal of Financial Economics, Elsevier, vol. 61(2), pages 289-307, August.
  22. 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.
  23. 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.
  24. PASCUAL, Roberto & VEREDAS, David, 2004. "What pieces of limit order book information are informative ?," CORE Discussion Papers 2004033, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  25. George, Thomas J. & Hwang, Chuan-Yang, 1998. "Endogenous market statistics and security pricing:: An empirical investigation," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 285-319, September.
  26. 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.
  27. Lee, Charles M. C. & Radhakrishna, Balkrishna, 2000. "Inferring investor behavior: Evidence from TORQ data," Journal of Financial Markets, Elsevier, vol. 3(2), pages 83-111, May.
  28. Shafiqur Rahman & Chandrasekhar Krishnamurti & Alice Lee, 2005. "The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 91-124, September.
  29. Engle, Robert F & Patton, Andrew J, 2000. "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series qt6dm6093f, Department of Economics, UC San Diego.
  30. 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.
  31. repec:knz:cofedp:0704 is not listed on IDEAS
  32. 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.
  33. Carol Osler, 2016. "Dealer Trading at the Fix," Working Papers 101, Brandeis University, Department of Economics and International Businesss School.
  34. Lee, Jie-Haun & Chou, Robin K., 2004. "The intraday stock return characteristics surrounding price limit hits," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 485-501.
  35. : Roman Kozhan & Mark Salmon, 2010. "The information Content of a Limit Order Book:the Case of an FX Market," Working Papers wpn10-05, Warwick Business School, Finance Group.
  36. Qi Zhang & Charlie X Cai & Kevin Keasey, 2009. "Forecasting using high-frequency data: a comparison of asymmetric financial duration models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(5), pages 371-386.
  37. J. Doyne Farmer, 1999. "Market Force, Ecology, and Evolution," Computing in Economics and Finance 1999 651, Society for Computational Economics.
  38. Nowak, Sylwia & Andritzky, Jochen & Jobst, Andreas & Tamirisa, Natalia, 2011. "Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2584-2597, October.
  39. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2008. "Liquidity and market efficiency," Journal of Financial Economics, Elsevier, vol. 87(2), pages 249-268, February.
  40. Lin, Ji-Chai & Sanger, Gary C. & Geoffrey Booth, G., 1998. "External information costs and the adverse selection problem: A comparison of NASDAQ and NYSE stocks," International Review of Financial Analysis, Elsevier, vol. 7(2), pages 113-136.
  41. 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.
  42. Pascual, Roberto & Escribano, Alvaro & Tapia, Mikel, 2004. "Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 107-128, January.
  43. Bollen, Nicolas P. B. & Smith, Tom & Whaley, Robert E., 2004. "Modeling the bid/ask spread: measuring the inventory-holding premium," Journal of Financial Economics, Elsevier, vol. 72(1), pages 97-141, April.
  44. repec:acb:camaaa:2008-38 is not listed on IDEAS
  45. David Abad & Antonio Rubia, 2005. "Modelos De Estimacion De La Probabilidad De Negociacion Informada: Una Comparacion Metodologica En El Mercado Español," Working Papers. Serie EC 2005-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  46. Bartley R. Danielsen & David M. Harrison, 2000. "The Impact of Potential Private Information on REIT Liquidity," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 49-71.
  47. Kramer, Walter & Runde, Ralf, 1997. "Chaos and the compass rose," Economics Letters, Elsevier, vol. 54(2), pages 113-118, February.
  48. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  49. Wing Lon Ng, 2006. "Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose," SFB 649 Discussion Papers SFB649DP2006-086, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  50. Charoenwong, Charlie & Ding, David K. & Siraprapasiri, Vasan, 2011. "Adverse selection and corporate governance," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 406-420, June.
  51. Stoll, Hans R. & Schenzler, Christoph, 2006. "Trades outside the quotes: Reporting delay, trading option, or trade size?," Journal of Financial Economics, Elsevier, vol. 79(3), pages 615-653, March.
  52. Zebedee, Allan A. & Kasch-Haroutounian, Maria, 2009. "A closer look at co-movements among stock returns," Journal of Economics and Business, Elsevier, vol. 61(4), pages 279-294, July.
  53. 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.
  54. 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.
  55. Chan, Yue-Cheong, 2000. "The price impact of trading on the stock exchange of Hong Kong," Journal of Financial Markets, Elsevier, vol. 3(1), pages 1-16, February.
  56. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  57. Dubofsky, David, 1997. "Limit orders and ex-dividend day return distributions," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 47-65, January.
  58. Chow, Edward H. & Lee, Jie-Haun & Shyy, Gang, 1996. "Trading mechanisms and trading preferences on a 24-hour futures market: A case study of the Floor/GLOBEX switch on MATIF," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1695-1713, December.
  59. Chordia, Tarun & Subrahmanyam, Avanidhar, 2000. "Order Imbalance and Individual Stock Returns," University of California at Los Angeles, Anderson Graduate School of Management qt34k8f3pv, Anderson Graduate School of Management, UCLA.
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