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The ex ante effects of trade halting rules on informed trading strategies and market liquidity
12 references·5 citing·39 second hop
The ex ante effects of trade halting rules on informed trading strategies and market liquidity (1997)The ex ante effects of trade halting rule…Volume, Volatility, and New York Stock Exchange Trading Halts (1994)Volume, Volatility, and New Y…Volume, Volatility, and New York Stock Exchange Trading Halts (1994)Volume, Volatility, and New Y…Circuit Breakers and Market Volatility: A Theoretical Perspective (1994)Circuit Breakers and Market V…A Theory of the Dynamics of Security Returns around Market Closures (1994)A Theory of the Dynamics of S…Transactional risk, market crashes, and the role of circuit breakers (1993)Transactional risk, market cr…Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close (1992)Trading Halts and Market Acti…Transactional Risk, Market Crashes, and the Role of Circuit Breakers (1991)Transactional Risk, Market Cr…Stock Market Volatility (1990)Stock Market VolatilityA 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…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…The Efficacy of Trading Suspensions: A Regulatory Action Designed to Prevent the Exploitation of Monopoly Information (1979)The Efficacy of Trading Suspe…The impacts of circuit breakers on China's stock market (2020)The impacts of circuit breake…Circuit breakers as market stability levers: A survey of research, praxis, and challenges (2018)Circuit breakers as market st…Intraday Rallies and Crashes: Spillovers of Trading Halts (2016)Intraday Rallies and Crashes:…Algorithmic trading, the Flash Crash, and coordinated circuit breakers (2013)Algorithmic trading, the Flas…SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY (2010)SWITCHING TO A TEMPORARY CALL…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (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)The General Theory of Employment, Interest and Money. (1936)Expected stock returns and volatility (1987)Why Does Stock Market Volatility Change Over Time? (1989)Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View (1994)Strategic trading, asymmetric information and heterogeneous prior beliefs (1998)The cross-section of intraday and overnight returns (2021)The Microstructure of Securities Markets. (1986)Liquidity and Market Structure (1988)Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs (2002)Speculative markets and the effectiveness of price limits (2003)Retail investor attention and herding behavior (2020)The Relation Between Price Changes and Trading Volume: A Survey (1987)Inferring Trade Direction from Intraday Data (1991)Time and the Process of Security Price Adjustment (1992)Order Flow and Liquidity around NYSE Trading Halts (2000)Religion, Ethics and Stock Trading: The Case of an Islamic Equities Market (2000)News-driven return reversals: Liquidity provision ahead of earnings announcements (2014)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Generalized autoregressive conditional heteroskedasticity (1986)Noise Trader Risk in Financial Markets (1990)Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon (1999)The Impact of Jumps in Volatility and Returns (2001)The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets (2012)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Differences of Opinion Make a Horse Race (1993)Market structure, fragmentation, and market quality (2006)The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange (2003)Trading strategies during circuit breakers and extreme market movements (2004)Liquidity and Financial Market Stability (2010)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence (1993)Institutional Investors and Stock Market Volatility (2005)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1990Stock Market Volatility384 cited
  • 1994Circuit Breakers and Market Volatility: A Theoretical Perspective259 cited
  • 1994Volume, Volatility, and New York Stock Exchange Trading Halts208 cited
  • 1992Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close187 cited
  • 1994Volume, Volatility, and New York Stock Exchange Trading Halts178 cited
  • 1991Transactional Risk, Market Crashes, and the Role of Circuit Breakers157 cited
  • 1993Transactional risk, market crashes, and the role of circuit breakers142 cited
  • 1994A Theory of the Dynamics of Security Returns around Market Closures64 cited
  • 1979The Efficacy of Trading Suspensions: A Regulatory Action Designed to Prevent the Exploitation of Monopoly Information48 cited

Cited by

  • 2013Algorithmic trading, the Flash Crash, and coordinated circuit breakers31 cited
  • 2010SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY31 cited
  • 2018Circuit breakers as market stability levers: A survey of research, praxis, and challenges

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27 cited
  • 2020The impacts of circuit breakers on China's stock market21 cited
  • 2016Intraday Rallies and Crashes: Spillovers of Trading Halts19 cited