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The Effects of Market Reform on Trading Costs of Public Investors: Evidence from the London Stock Exchange
16 references·2 citing·42 second hopsampled
The Effects of Market Reform on Trading Costs of Public Investors: Evidence from the London Stock Exchange (1999)The Effects of Market Reform on Trading C…Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks (1999)Effects of Market Reform on t…Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange (1998)Do Inventories Matter in Deal…Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Transactions costs and invest…One Day in the Life of a Very Common Stock (1997)One Day in the Life of a Very…U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration (1996)U.K. and U.S. Trading of Brit…Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules (1996)Transparency and Liquidity: A…The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)The Upstairs Market for Large…Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy (1996)Market vs. Limit Orders: The …Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Anatomy of the trading process empirical evidence on the behavior of institutional traders (1995)Anatomy of the trading proces…Market Structures and Liquidity: A Transactions Data Study of Exchange Listings (1994)Market Structures and Liquidi…Institutional trades and intraday stock price behavior (1993)Institutional trades and intr…Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market (1991)Volatility, Efficiency, and T…Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Stylized facts of intraday precious metals (2017)Stylized facts of intraday pr…The MiFID: Competition in a New European Equity Market Regulatory Structure (2006)The MiFID: Competition in a N…Estimating the components of the bid/ask spread (1988)The Behavior of Stock Prices Around Institutional Trades (1995)Are Financial Assets Priced Locally or Globally? (2002)Are Momentum Profits Robust to Trading Costs? (2004)Optimal trading strategy and supply/demand dynamics (2012)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)The Behavior of Stock-Market Prices (1965)Asset pricing and the bid-ask spread (1986)The theory and practice of econometrics (1986)The Informational Content of Implied Volatility (1993)Liquidity and Asset Prices (2006)Do ETFs Increase Volatility? (2014)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)Time and the Price Impact of a Trade (2000)Deviations from Put-Call Parity and Stock Return Predictability (2010)Does Public Financial News Resolve Asymmetric Information? (2010)Herd Behavior and Investment (1988)Short Sales Are Almost Instantaneously Bad News: Evidence from the Australian Stock Exchange (1998)Caught on tape: Institutional trading, stock returns, and earnings announcements (2008)Algorithmic Trading and the Market for Liquidity (2013)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Theory of Intraday Patterns: Volume and Price Variability (1988)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Periodic market closure and trading volume (1992)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Price, trade size, and information in securities markets (1987)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)The costs and determinants of order aggressiveness (2000)Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong (2001)Limit order books (2013)The Cross-Section of Expected Stock Returns (1992)Presidential Address: Friction (2000)Advertising, Breadth of Ownership, and Liquidity (2003)The illusory nature of momentum profits (2003)The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)Pricing the commonality across alternative measures of liquidity (2007)
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References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1997One Day in the Life of a Very Common Stock634 cited
  • 1993Institutional trades and intraday stock price behavior626 cited
  • 1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects601 cited
  • 1997Transactions costs and investment style: an inter-exchange analysis of institutional equity trades596 cited
  • 1990Stock Market Structure and Volatility544 cited
  • 1995Anatomy of the trading process empirical evidence on the behavior of institutional traders435 cited
  • 1996Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy388 cited
  • 1999Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks327 cited
  • 1991Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market306 cited
  • 1996U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration253 cited
  • 1996Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules

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222 cited
  • 1998Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange203 cited
  • 1994Market Structures and Liquidity: A Transactions Data Study of Exchange Listings198 cited
  • Cited by

    • 2017Stylized facts of intraday precious metals20 cited
    • 2006The MiFID: Competition in a New European Equity Market Regulatory Structure20 cited