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ArticleStock market microstructure and return volatility

Yakov Amihud A1990

Article1990

Stock market microstructure and return volatility

Yakov Amihud A · Haim Mendelson · Maurizio Murgia

97 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1986Asset pricing and the bid-ask spread 1977Estimating betas from nonsynchronous data 1980Dealership market 1987Trading Mechanisms and Stock Returns: An Empirical Investigation 1986Noise 1990Stock Market Structure and Volatility 1989The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns 1987Consolidation, Fragmentation, and Market Performance

Cited by

1995The Effect of Tax Heterogeneity on Prices and Volume around the Ex-Dividend Day: Evidence from the Milan Stock Exchange 1994Price Formation on Stock Exchanges: The Evolution of Trading within the Day 2001Market microstructure and securities values:1992Principles of trading market structure 2007Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange 2005The current state of Asia-Pacific stock exchanges: A critical review of market design

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Year1990

Typearticle

Published1990-08-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations97

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0378-4266(90)90057-9

openalex_workW1535072088

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