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Are Intraday Volume and Volatility U‐Shaped After Accounting for Public Information?
16 references·1 citing·46 second hop
Are Intraday Volume and Volatility U‐Shaped After Accounting for Public Information? (2010)Are Intraday Volume and Volatility U‐Shap…Trade size, order imbalance, and the volatility–volume relation (2000)Trade size, order imbalance, …Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Market microstructure and sec…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…High frequency data in financial markets: Issues and applications (1997)High frequency data in financ…Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Variations in Trading Volume,…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…Periodic market closure and trading volume (1992)Periodic market closure and t…An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…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…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…High-frequency trading and stock liquidity: An intraday analysis (2020)High-frequency trading and st…Stock return variances (1986)Why Does Stock Market Volatility Change Over Time? (1989)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Inferring Trade Direction from Intraday Data (1991)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Liquidity and Market Efficiency (2007)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Time and the Price Impact of a Trade (2000)Optimal trading strategy and supply/demand dynamics (2012)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)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)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)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)The Cost of Transacting (1968)Stock returns and the weekend effect (1980)Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Order flow composition and trading costs in a dynamic limit order market (1999)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Measuring security price performance (1980)Presidential Address: Liquidity and Price Discovery (2003)Market transparency, liquidity externalities, and institutional trading costs in corporate bonds☆ (2006)Deviations from Put-Call Parity and Stock Return Predictability (2010)Statistical aspects of ARCH and stochastic volatility (1996)Order Flow and Exchange Rate Dynamics (1999)
this work references cited by second hop

References

  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 1997Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange652 cited
  • 1993Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models624 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks534 cited
  • 1992Periodic market closure and trading volume426 cited
  • 2000Trade size, order imbalance, and the volatility–volume relation

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416 cited
  • 1997High frequency data in financial markets: Issues and applications411 cited
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    • 2020High-frequency trading and stock liquidity: An intraday analysis21 cited