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The influence of call auction algorithm rules on market efficiency
16 references·6 citing·47 second hop
The influence of call auction algorithm rules on market efficiency (2006)The influence of call auction algorithm r…The manipulation of closing prices (2004)The manipulation of closing p…A closing call's impact on market quality at Euronext Paris (2003)A closing call's impact on ma…Stock returns and trading at the close (2000)Stock returns and trading at …Price Discovery in Auction Markets: A Look Inside the Black Box (2000)Price Discovery in Auction Ma…Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets (2000)Market structure, information…Quote Disclosure and Price Discovery in Multiple-Dealer Financial Markets (1999)Quote Disclosure and Price Di…Price Discovery and Learning during the Preopening Period in the Paris Bourse (1999)Price Discovery and Learning …Market Transparency: Who Wins and Who Loses? (1999)Market Transparency: Who Wins…Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Transparency and Liquidity: A…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Electronic Call Market Trading (1995)Electronic Call Market TradingConvergence to Efficiency in a Simple Market with Incomplete Information (1994)Convergence to Efficiency in …Trading Mechanisms in Securities Markets (1992)Trading Mechanisms in Securit…Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market (1991)Volatility, Efficiency, and T…Stock market microstructure and return volatility (1990)Stock market microstructure a…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …GIMS—Software for asset market experiments (2015)GIMS—Software for asset marke…A Worldwide Examination of Exchange Market Quality: Greater Integrity Increases Market Efficiency (2014)A Worldwide Examination of Ex…Equilibrium Discovery and Preopening Mechanisms in an Experimental Market (2013)Equilibrium Discovery and Pre…Overnight public information, order placement, and price discovery during the pre-opening period (2012)Overnight public information,…The Effect of a Closing Call Auction on Market Quality and Trading Strategies (2010)The Effect of a Closing Call …Closing call auctions and liquidity (2005)Closing call auctions and liq…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Can transparent markets survive? (2000)Trading Costs in Three U.S. Bond Markets (2003)Who Benefits from an Open Limit‐Order Book? (2005)Econometric Analysis of Panel Data (2021)The Behavior of Stock-Market Prices (1965)Asset pricing and the bid-ask spread (1986)The theory and practice of econometrics (1986)The Informational Content of Implied Volatility (1993)Liquidity and Asset Prices (2006)Do ETFs Increase Volatility? (2014)Price, trade size, and information in securities markets (1987)The Handbook of experimental economics (1995)Coordination of Expectations in Asset Pricing Experiments (2004)Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE (2005)How Noise Trading Affects Markets: An Experimental Analysis (2009)Stock Market Structure and Volatility (1990)Is the Electronic Open Limit Order Book Inevitable? (1994)Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges (2001)Does Anonymity Matter in Electronic Limit Order Markets? (2007)Permanent and Temporary Components of Stock Prices (1988)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Finite-Sample Properties of Some Alternative GMM Estimators (1996)User Heterogeneity and its Impact on Electronic Auction Market Design: An Empirical Exploration1 (2004)What Have We Learned from Market Design? (2008)Limit order books (2013)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration (1996)Is There Private Information in the FX Market? The Tokyo Experiment (1998)The Cross-Section of Expected Trading Activity (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity and stock returns: An alternative test (1998)Commonality in liquidity (2000)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities (1995)Internet-Based Virtual Stock Markets for Business Forecasting (2003)Price Discovery without Trading: Evidence from Limit Orders (2019)The Demand for Stocks: An Analysis of IPO Auctions (1999)Price Formation in Double Auctions (2007)Matching with Couples: Stability and Incentives in Large Markets* (2013)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Transparency and Liquidity: A Controlled Experiment on Corporate Bonds (2006)Information Disclosure in Financial Markets (2017)
this work references cited by second hop

References

  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1996Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading545 cited
  • 1999Market Transparency: Who Wins and Who Loses?390 cited
  • 1999Price Discovery and Learning during the Preopening Period in the Paris Bourse379 cited
  • 1992Trading Mechanisms in Securities Markets356 cited
  • 1991Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market306 cited
  • 1994Convergence to Efficiency in a Simple Market with Incomplete Information293 cited
  • 2000Price Discovery in Auction Markets: A Look Inside the Black Box225 cited
  • 1999Quote Disclosure and Price Discovery in Multiple-Dealer Financial Markets205 cited
  • 2003A closing call's impact on market quality at Euronext Paris199 cited
  • 2004The manipulation of closing prices175 cited
  • 1995Electronic Call Market Trading149 cited
  • 2000Stock returns and trading at the close135 cited
  • 2000Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets

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117 cited
  • 1990Stock market microstructure and return volatility97 cited
  • Cited by

    • 2010The Effect of a Closing Call Auction on Market Quality and Trading Strategies62 cited
    • 2005Closing call auctions and liquidity55 cited
    • 2015GIMS—Software for asset market experiments45 cited
    • 2013Equilibrium Discovery and Preopening Mechanisms in an Experimental Market41 cited
    • 2012Overnight public information, order placement, and price discovery during the pre-opening period37 cited
    • 2014A Worldwide Examination of Exchange Market Quality: Greater Integrity Increases Market Efficiency27 cited