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Overview: market structure issues in market liquidity
16 references·5 citing·40 second hop
Overview: market structure issues in market liquidity (2001)Overview: market structure issues in mark…The Microstructure Approach to Exchange Rates (2001)The Microstructure Approach t…Market microstructure: A survey (2000)Market microstructure: A surv…Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Market Transparency: Who Wins and Who Loses? (1999)Market Transparency: Who Wins…Market microstructure theory (1995)Market microstructure theoryMarket Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…A Model of Competitive Stock Trading Volume (1994)A Model of Competitive Stock …Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Equilibrium Block Trading and Asymmetric Information (1990)Equilibrium Block Trading and…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread (1981)Transaction Costs, Order Plac…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …The Cost of Transacting (1968)The Cost of TransactingSome Hypotheses on Commonality in Liquidity: New Evidence from the Chinese Stock Market (2015)Some Hypotheses on Commonalit…High Frequency Trading and End-of-Day Manipulation (2012)High Frequency Trading and En…Exchange Trading Rules, Surveillance, and Insider Trading (2012)Exchange Trading Rules, Surve…Capital market trading volume: an overview and some preliminary conclusions (2006)Capital market trading volume…Changes in Market Functioning and Central Bank Policy: An Overview of the Issues (2005)Changes in Market Functioning…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)The Relation Between Price Changes and Trading Volume: A Survey (1987)Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)Noise Trader Risk in Financial Markets (1990)What Makes Investors Trade? (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Individualism and Momentum around the World (2010)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Insiders' profits, costs of trading, and market efficiency (1986)Market liquidity as a sentiment indicator (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Common risk factors in the returns on stocks and bonds (1993)Order imbalance, liquidity, and market returns (2002)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Corporate Bond Market Transaction Costs and Transparency (2007)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Realized Variance and Market Microstructure Noise (2006)Information Effects on the Bid-Ask Spread (1983)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1968The Cost of Transacting1,909 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1995Market microstructure theory1,305 cited
  • 2000Market microstructure: A survey1,133 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 2001The Microstructure Approach to Exchange Rates1,043 cited
  • 1994A Model of Competitive Stock Trading Volume913 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 1999Market Transparency: Who Wins and Who Loses?390 cited
  • 1981Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread372 cited
  • 1990Equilibrium Block Trading and Asymmetric Information

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310 cited

Cited by

  • 2015Some Hypotheses on Commonality in Liquidity: New Evidence from the Chinese Stock Market27 cited
  • 2006Capital market trading volume: an overview and some preliminary conclusions22 cited
  • 2012High Frequency Trading and End-of-Day Manipulation21 cited
  • 2012Exchange Trading Rules, Surveillance, and Insider Trading10 cited
  • 2005Changes in Market Functioning and Central Bank Policy: An Overview of the Issues10 cited