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Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close
16 references·16 citing·44 second hopsampled
Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close (1992)Trading Halts and Market Activity: An Ana…An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…Alternative models for conditional stock volatility (1990)Alternative models for condit…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…The Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Expected stock returns and volatility (1987)Expected stock returns and vo…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…The General Theory of Employment, Interest and Money. (1936)The General Theory of Employm…The cross-section of intraday and overnight returns (2021)The cross-section of intraday…Hedging demand and market intraday momentum (2021)Hedging demand and market int…The Role of Newswires in Screening and Disseminating Value-Relevant Information in Periodic SEC Reports (2010)The Role of Newswires in Scre…The magnet effect of price limits: A logit approach (2009)The magnet effect of price li…ARE PRICE LIMITS EFFECTIVE? EVIDENCE FROM THE ISTANBUL STOCK EXCHANGE (2006)ARE PRICE LIMITS EFFECTIVE? E…Price limit performance: evidence from transactions data and the limit order book (2005)Price limit performance: evid…Optimal Trading Strategy and Supply/Demand Dynamics (2005)Optimal Trading Strategy and …What Makes Circuit Breakers Attractive to Financial Markets? A Survey (2004)What Makes Circuit Breakers A…Intra Day Bid‐Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange (2004)Intra Day Bid‐Ask Spreads, Tr…An exploratory analysis of the order book, and order flow and execution on the Saudi stock market (2000)An exploratory analysis of th…Discount rate changes, stock market returns, volatility, and trading volume: Evidence from intraday data and implications for market efficiency (1999)Discount rate changes, stock …Strategic trading, asymmetric information and heterogeneous prior beliefs (1998)Strategic trading, asymmetric…Do Daily Price Limits Act as Magnets? The Case of Treasury Bond Futures (1997)Do Daily Price Limits Act as …Bid‐ask Spreads, Trading Volume and Volatility: Intra‐day Evidence from the London Stock Exchange (1997)Bid‐ask Spreads, Trading Volu…Transitory Price Changes and Price-Limit Rules: Evidence from the Tokyo Stock Exchange (1995)Transitory Price Changes and …Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View (1994)Trading and Liquidity on the …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? 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(1980)The Cross‐Section of Volatility and Expected Returns (2006)Does the Stock Market Overreact? (1985)Introduction: epistemic communities and international policy coordination (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Competition and Financial Stability (2004)
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References

  • 1936The General Theory of Employment, Interest and Money.14,486 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited

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1988
The Dependence between Hourly Prices and Trading Volume
671 cited

Cited by

  • 1998Strategic trading, asymmetric information and heterogeneous prior beliefs164 cited
  • 2021The cross-section of intraday and overnight returns146 cited
  • 1994Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View144 cited
  • 2005Price limit performance: evidence from transactions data and the limit order book115 cited
  • 1997Bid‐ask Spreads, Trading Volume and Volatility: Intra‐day Evidence from the London Stock Exchange113 cited
  • 2005Optimal Trading Strategy and Supply/Demand Dynamics108 cited
  • 2010The Role of Newswires in Screening and Disseminating Value-Relevant Information in Periodic SEC Reports102 cited
  • 2021Hedging demand and market intraday momentum98 cited
  • 2004What Makes Circuit Breakers Attractive to Financial Markets? A Survey86 cited
  • 2000An exploratory analysis of the order book, and order flow and execution on the Saudi stock market73 cited
  • 1999Discount rate changes, stock market returns, volatility, and trading volume: Evidence from intraday data and implications for market efficiency69 cited
  • 1995Transitory Price Changes and Price-Limit Rules: Evidence from the Tokyo Stock Exchange68 cited
  • 1997Do Daily Price Limits Act as Magnets? The Case of Treasury Bond Futures67 cited
  • 2009The magnet effect of price limits: A logit approach65 cited
  • 2004Intra Day Bid‐Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange61 cited
  • 2006ARE PRICE LIMITS EFFECTIVE? EVIDENCE FROM THE ISTANBUL STOCK EXCHANGE57 cited