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Competition For Order Flow, Market Quality, And Price Discovery In The Nasdaq 100 Index Tracking Stock
16 references·4 citing·45 second hop
Competition For Order Flow, Market Quality, And Price Discovery In The Nasdaq 100 Index Tracking Stock (2003)Competition For Order Flow, Market Qualit…Intraday Price Formation in U.S. Equity Index Markets (2003)Intraday Price Formation in U…Security price adjustment across exchanges: an investigation of common factor components for Dow stocks (2002)Security price adjustment acr…Price discovery and common factor models (2002)Price discovery and common fa…Price discovery in the German equity index derivatives markets (1999)Price discovery in the German…The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)The Upstairs Market for Large…Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow (1996)Cream-Skimming or Profit-Shar…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets (1995)Cointegration, Error Correcti…Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement (1993)Assessing the Quality of a Se…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Testing for Common Trends (1988)Testing for Common TrendsLiquidity and Market Structure (1988)Liquidity and Market StructureOn the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Price discovery in the S&P 500 index derivatives markets (2016)Price discovery in the S&P 50…Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs? (2011)Has the introduction of S&P 5…Canonical valuation of options in the presence of stochastic volatility (2004)Canonical valuation of option…International Price Discovery for Emerging Market Stocks: Evidence from Indian GDRs (2003)International Price Discovery…Variable Trends in Economic Time Series (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps (2004)The crude oil market and the gold market: Evidence for cointegration, causality and price discovery (2010)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption (2004)Realized Variance and Market Microstructure Noise (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter™ (2013)Price, trade size, and information in securities markets (1987)Inferring investor behavior: Evidence from TORQ data (2000)Price Discovery and Trading After Hours (2003)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Cointegration and Tests of Present Value Models (1987)Market microstructure: A survey (2000)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Volatility forecast comparison using imperfect volatility proxies (2010)The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)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? 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References

  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1988Testing for Common Trends1,894 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects601 cited
  • 2002Price discovery and common factor models546 cited
  • 1996Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow537 cited
  • 1993Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement506 cited
  • 2003Intraday Price Formation in U.S. Equity Index Markets502 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems426 cited
  • 1995Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets366 cited
  • 2002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks

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305 cited
  • 1999Price discovery in the German equity index derivatives markets298 cited
  • Cited by

    • 2016Price discovery in the S&P 500 index derivatives markets36 cited
    • 2003International Price Discovery for Emerging Market Stocks: Evidence from Indian GDRs33 cited
    • 2011Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs?32 cited
    • 2004Canonical valuation of options in the presence of stochastic volatility29 cited