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Which trades move prices in emerging markets?: Evidence from China's stock market
7 references·4 citing·43 second hop
Which trades move prices in emerging markets?: Evidence from China's stock market (2006)Which trades move prices in emerging mark…Stealth Trading in Options Markets (2007)Stealth Trading in Options Ma…Stock Market Manipulations* (2006)Stock Market Manipulations*Stealth-trading: Which traders' trades move stock prices? (2001)Stealth-trading: Which trader…Stealth trading and volatility (1993)Stealth trading and volatilityStock-Price Manipulation (1992)Stock-Price ManipulationA Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…The price impact of trade-size clustering: Evidence from an intraday analysis (2019)The price impact of trade-siz…Underpricing of Chinese Initial Public Offerings (2011)Underpricing of Chinese Initi…Intraday Dynamics of Volatility and Duration: Evidence from Chinese Stocks (2011)Intraday Dynamics of Volatili…More on the volatility-trading volume relationship in emerging markets: The Chinese stock market (2009)More on the volatility-tradin…The market for corporate control (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Commonality in liquidity (2000)Initial public offerings: International insights (1994)A Review of IPO Activity, Pricing, and Allocations (2002)Why Has IPO Underpricing Changed Over Time (2004)Offline Oversubscription, Issue Size, and Market Momentum: The Driving Forces for ChiNext IPOs’ Initial Underpricing (2015)The pricing of first day opening price returns for ChiNext IPOs (2015)Does risk disclosure in prospectus matter in ChiNext IPOs’ initial underpricing? (2019)Signaling Games and Stable Equilibria (1987)Market Manipulation, Bubbles, Corners, and Short Squeezes (1992)Using Privileged Information to Manipulate Markets: Insiders, Gurus, and Credibility (1992)Multidimensional Uncertainty and Herd Behavior in Financial Markets (1998)Optimal control of execution costs (1998)Predatory Trading (2005)Price, trade size, and information in securities markets (1987)Credit Default Swaps and the Credit Crisis (2010)Exchange trading rules and stock market liquidity☆ (2010)Price manipulation in the Bitcoin ecosystem (2018)Market structure, information, futures markets, and price formation. (1984)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Inferring Trade Direction from Intraday Data (1991)The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices (2004)Which Shorts Are Informed? (2007)Just How Much Do Individual Investors Lose by Trading? (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Deviations from Put-Call Parity and Stock Return Predictability (2010)Clean Sweep: Informed Trading through Intermarket Sweep Orders (2012)The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives (2013)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)Investigation of a Green Production Inventory Model with Stock-Dependent Production Rate Under Preservation Investment and Artificial Ecosystem-Based Optimizer (2025)The Econometrics of Financial Markets (1997)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)The Econometrics of Financial Markets (2012)Spread and depth adjustment process: an analysis of high-quality microstructure data (2013)INFORMATION CONTENT OF INTER-TRANSACTION TIME: A STRUCTURAL APPROACH (2015)
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
  • 1993Stealth trading and volatility948 cited
  • 2001Stealth-trading: Which traders' trades move stock prices?682 cited
  • 1992Stock-Price Manipulation623 cited
  • 2006Stock Market Manipulations*390 cited
  • 2007Stealth Trading in Options Markets129 cited

Cited by

  • 2011Intraday Dynamics of Volatility and Duration: Evidence from Chinese Stocks26 cited
  • 2011Underpricing of Chinese Initial Public Offerings21 cited
  • 2019The price impact of trade-size clustering: Evidence from an intraday analysis16 cited
  • 2009More on the volatility-trading volume relationship in emerging markets: The Chinese stock market16 cited

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