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Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data
16 references·0 citing·44 second hop
Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data (2005)Availability and settlement of individual…A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility (2002)A Comparison of Seasonal Adju…Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns (2001)Variance‐ratio Statistics and…Forecasting daily exchange rate volatility using intraday returns (2001)Forecasting daily exchange ra…Intraday and interday volatility in the Japanese stock market (2000)Intraday and interday volatil…The Impact of Trader Type on the Futures Volatility‐Volume Relation (1999)The Impact of Trader Type on …Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Information, trading and stock returns: Lessons from dually-listed securities (1996)Information, trading and stoc…Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…Stock Prices and Volume (1992)Stock Prices and VolumeExpiration-Day Effects: What Has Changed? (1991)Expiration-Day Effects: What …A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Program Trading and Expiration-Day Effects (1987)Program Trading and Expiratio…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)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)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)Liquidity or Credit Risk? The Determinants of Very Short‐Term Corporate Yield Spreads (2007)Measuring Investors' Opinion Divergence (2009)How investible is Bitcoin? Analyzing the liquidity and transaction costs of Bitcoin markets (2018)The econometrics of ultra-high frequency data /Stock returns and the weekend effect (1980)Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)The Dependence between Hourly Prices and Trading Volume (1988)Statistical properties of the volatility of price fluctuations (1999)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Bayesian Analysis of Stochastic Volatility Models (2002)Risks and Portfolio Decisions Involving Hedge Funds (2003)Market liquidity as a sentiment indicator (2004)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)The behavior of the volatility implicit in the prices of stock index options (1988)Stock price clustering on option expiration dates (2005)Measuring Closing Price Manipulation (2009)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Statistical aspects of ARCH and stochastic volatility (1996)Order Flow and Exchange Rate Dynamics (1999)Stock Market Structure and Volatility (1990)Predicting stock market volatility: A new measure (1995)Trade Size and Components of the Bid-Ask Spread (1995)
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References

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  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
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  • 1992Stock Prices and Volume1,295 cited
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  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
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  • 2002A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility121 cited
  • 1991Expiration-Day Effects: What Has Changed?110 cited
  • 2001Forecasting daily exchange rate volatility using intraday returns108 cited
  • 1996Information, trading and stock returns: Lessons from dually-listed securities

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108 cited
  • 2001Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns106 cited
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