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An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds
16 references·0 citing·47 second hop
An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds (2021)An Empirical Analysis of Liquidity and Or…Reactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency (2021)Reactions of Canadian Interes…Positive Feedback Trading Under Stress: Evidence from the US Treasury Securities Market (2013)Positive Feedback Trading Und…Economic News and the Impact of Trading on Bond Prices (2004)Economic News and the Impact …An Empirical Analysis of Stock and Bond Market Liquidity (2004)An Empirical Analysis of Stoc…Expandable limit order markets (2003)Expandable limit order marketsAre Larger Treasury Issues More Liquid? Evidence from Bill Reopenings (2002)Are Larger Treasury Issues Mo…Many Faces of Liquidity and Asset Pricing: Evidence from the U.S. Treasury Securities Market (2001)Many Faces of Liquidity and A…Order Flow and Exchange Rate Dynamics (1999)Order Flow and Exchange Rate …Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Market microstructure and sec…Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…Market microstructure theory (1995)Market microstructure theoryDifferential Information and Dynamic Behavior of Stock Trading Volume (1995)Differential Information and …An Analysis of Changes in Specialist Inventories and Quotations (1993)An Analysis of Changes in Spe…Estimating the components of the bid/ask spread (1988)Estimating the components of …The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Statistical aspects of ARCH and stochastic volatility (1996)The Economic Value of Volatility Timing (2001)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Anatomy of the trading process empirical evidence on the behavior of institutional traders (1995)High frequency data in financial markets: Issues and applications (1997)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Institutional Investors and Stock Market Volatility (2006)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)International Liquidity and Exchange Rate Dynamics * (2015)Optimum consumption and portfolio rules in a continuous-time model (1971)On the Impossibility of Informationally Efficient Markets (1980)Asset Pricing under Asymmetric Information (2001)The economic consequences of increased disclosure: Evidence from international cross-listings☆ (2006)Traders' Expectations in Asset Markets: Experimental Evidence (2007)Generalized impulse response analysis in linear multivariate models (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Market Liquidity and Funding Liquidity (2005)A liquidity-augmented capital asset pricing model (2006)Understanding commonality in liquidity around the world (2011)Measuring security price performance (1980)Asset pricing and the bid-ask spread (1986)A Theory of Intraday Patterns: Volume and Price Variability (1988)Presidential Address: Liquidity and Price Discovery (2003)Market transparency, liquidity externalities, and institutional trading costs in corporate bonds☆ (2006)Deviations from Put-Call Parity and Stock Return Predictability (2010)Market microstructure: A survey (2000)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Realized Variance and Market Microstructure Noise (2006)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1995Market microstructure theory1,305 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
  • 1999Order Flow and Exchange Rate Dynamics790 cited
  • 1997Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange652 cited
  • 1995Differential Information and Dynamic Behavior of Stock Trading Volume447 cited
  • 1993An Analysis of Changes in Specialist Inventories and Quotations431 cited
  • 2004Economic News and the Impact of Trading on Bond Prices413 cited
  • 2002Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings118 cited
  • 2013Positive Feedback Trading Under Stress: Evidence from the US Treasury Securities Market65 cited
  • 2021Reactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency50 cited
  • 2003Expandable limit order markets

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50 cited
  • 2001Many Faces of Liquidity and Asset Pricing: Evidence from the U.S. Treasury Securities Market37 cited
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