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Stock market microstructure and return volatility
9 references·16 citing·44 second hop
Stock market microstructure and return volatility (1990)Stock market microstructure and return vo…Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)The Effects of Beta, Bid-Ask …Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Consolidation, Fragmentation, and Market Performance (1987)Consolidation, Fragmentation,…Noise (1986)NoiseAsset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Market Making and the Changing Structure of the Securities Industry (1985)Market Making and the Changin…Dealership market (1980)Dealership marketEstimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Opening and closing price efficiency: Do financial markets need the call auction? (2014)Opening and closing price eff…Market Microstructure and Securities Values Evidence from the Tel Aviv Stock Exchange* (2012)Market Microstructure and Sec…Market quality changes in the London Stock Market (2008)Market quality changes in the…Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange (2007)Interday and intraday volatil…The influence of call auction algorithm rules on market efficiency (2006)The influence of call auction…The current state of Asia-Pacific stock exchanges: A critical review of market design (2005)The current state of Asia-Pac…Closing call auctions and liquidity (2005)Closing call auctions and liq…Call auction algorithm design and market manipulation (2005)Call auction algorithm design…The Microstructure of Stock Markets (2002)The Microstructure of Stock M…Market microstructure and securities values: (2001)Market microstructure and sec…The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange (1999)The Effects of Trading Method…Tests and Properties of Variance Ratios in Microstructure Studies (1997)Tests and Properties of Varia…The Effect of Tax Heterogeneity on Prices and Volume around the Ex-Dividend Day: Evidence from the Milan Stock Exchange (1995)The Effect of Tax Heterogenei…Price Formation on Stock Exchanges: The Evolution of Trading within the Day (1994)Price Formation on Stock Exch…Intraday stock return volatility: The Hong Kong evidence (1994)Intraday stock return volatil…Principles of trading market structure (1992)Principles of trading market …The Cost of Transacting (1968)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Liquidity and Market Efficiency (2007)The Behavior of Stock-Market Prices (1965)The theory and practice of econometrics (1986)The Informational Content of Implied Volatility (1993)Liquidity and Asset Prices (2006)Do ETFs Increase Volatility? (2014)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)Quotes, Order Flow, and Price Discovery (1997)Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours (2004)High-Frequency Trading and Market Performance (2015)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Using daily stock returns (1985)Chapter 25 Dividend policy (1995)Ex-dividend day trading: Who, how, and why? (2008)Institutional stakeholdings and better-informed traders at earnings announcements (2008)Continuous Auctions and Insider Trading (1985)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)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Liquidity, Maturity, and the Yields on U.S. Treasury Securities (1991)Valuation in Over-the-Counter Markets (2007)Information Asymmetry, Information Precision, and the Cost of Capital (2011)Bulls, bears and market sheep (1990)Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Synchronization risk and delayed arbitrage (2002)Price discovery in securities markets (1986)Impacts of the Electronic Marketplace on Transaction Cost and Market Structure (1996)The Double Auction Market Institution: A Survey (2018)
this work references cited by second hop

References

  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1980Dealership market965 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1986Noise600 cited
  • 1990Stock Market Structure and Volatility544 cited
  • 1989The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns522 cited
  • 1987Consolidation, Fragmentation, and Market Performance216 cited
  • 1985Market Making and the Changing Structure of the Securities Industry139 cited

Cited by

  • 1995The Effect of Tax Heterogeneity on Prices and Volume around the Ex-Dividend Day: Evidence from the Milan Stock Exchange94 cited
  • 1994Price Formation on Stock Exchanges: The Evolution of Trading within the Day91 cited
  • 2001Market microstructure and securities values:89 cited
  • 1992Principles of trading market structure80 cited
  • 2007Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange73 cited
  • 2005The current state of Asia-Pacific stock exchanges: A critical review of market design71 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2006The influence of call auction algorithm rules on market efficiency69 cited
  • 2012Market Microstructure and Securities Values Evidence from the Tel Aviv Stock Exchange*61 cited
  • 2005Call auction algorithm design and market manipulation57 cited
  • 1997Tests and Properties of Variance Ratios in Microstructure Studies56 cited
  • 2005Closing call auctions and liquidity55 cited
  • 2014Opening and closing price efficiency: Do financial markets need the call auction?54 cited
  • 2008Market quality changes in the London Stock Market50 cited
  • 1999The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange48 cited
  • 1994Intraday stock return volatility: The Hong Kong evidence45 cited
  • 2002The Microstructure of Stock Markets30 cited