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A note on execution costs for stock index futures: Information versus liquidity effects
16 references·2 citing·36 second hop
A note on execution costs for stock index futures: Information versus liquidity effects (2004)A note on execution costs for stock index…Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges (2001)Automated Versus Floor Tradin…Institutional Equity Trading Costs: NYSE Versus Nasdaq (1997)Institutional Equity Trading …In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets (1997)In Search of Liquidity: Block…A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks (1997)A Comparison of Trade Executi…The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)The Upstairs Market for Large…Stealth trading and volatility (1993)Stealth trading and volatilitySecurity Baskets and Index-Linked Securities (1993)Security Baskets and Index-Li…Market Integration and Price Execution for NYSE-Listed Securities (1993)Market Integration and Price …Institutional trades and intraday stock price behavior (1993)Institutional trades and intr…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…A Theory of Trading in Stock Index Futures (1991)A Theory of Trading in Stock …Large-block transactions, the speed of response, and temporary and permanent stock-price effects (1990)Large-block transactions, the…The effect of large block transactions on security prices: A cross-sectional analysis (1987)The effect of large block tra…The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)The Market for Securities: Su…PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)PRICE IMPACTS OF BLOCK TRADIN…The Components of the Bid‐Ask Spread: the Case of the Athens Stock Exchange (2008)The Components of the Bid‐Ask…Derivative use, fund flows and investment manager performance (2008)Derivative use, fund flows an…The market for corporate control (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Stealth-trading: Which traders' trades move stock prices? (2001)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)Price, trade size, and information in securities markets (1987)A Theory of Intraday Patterns: Volume and Price Variability (1988)Socially Irresponsible and Illegal Behavior and Shareholder Wealth (1997)Price Pressure around Mergers (2004)IQ, trading behavior, and performance (2011)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Insider Trading and the Efficiency of Stock Prices (1992)Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Presidential Address: Friction (2000)Estimating the components of the bid/ask spread (1988)The Behavior of Stock Prices Around Institutional Trades (1995)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Are Momentum Profits Robust to Trading Costs? (2004)Pricing the commonality across alternative measures of liquidity (2007)The Event Study Methodology Since 1969 (1998)Does Arbitrage Flatten Demand Curves for Stocks? (2002)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Intraday Price Formation in U.S. Equity Index Markets (2003)Talk and Action: What Individual Investors Say and What They Do (2005)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Optimal trading strategy and supply/demand dynamics (2012)
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References

  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1993Stealth trading and volatility948 cited
  • 1972The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices886 cited
  • 1972PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE671 cited
  • 1993Institutional trades and intraday stock price behavior626 cited
  • 1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects601 cited
  • 1991A Theory of Trading in Stock Index Futures542 cited
  • 1987The effect of large block transactions on security prices: A cross-sectional analysis464 cited
  • 1990Large-block transactions, the speed of response, and temporary and permanent stock-price effects430 cited
  • 1997In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets318 cited
  • 1997A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks314 cited
  • 1993Security Baskets and Index-Linked Securities246 cited
  • 1993Market Integration and Price Execution for NYSE-Listed Securities246 cited
  • 1997Institutional Equity Trading Costs: NYSE Versus Nasdaq

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201 cited
  • 2001Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges190 cited
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    • 2008Derivative use, fund flows and investment manager performance37 cited
    • 2008The Components of the Bid‐Ask Spread: the Case of the Athens Stock Exchange32 cited