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Electronic Screen Trading and the Transmission of Information: An Empirical Examination
0 references·16 citing·45 second hopsampled
Electronic Screen Trading and the Transmission of Information: An Empirical Examination (1994)Electronic Screen Trading and the Transmi…Price discovery in spot and futures markets: a reconsideration (2011)Price discovery in spot and f…Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange (2008)Tick sizes and relative rates…A Survey of Emerging Derivatives Markets (2008)A Survey of Emerging Derivati…Information transmission in electronic versus open-outcry trading systems: An analysis of U.S. equity index futures markets (2005)Information transmission in e…The impact of electronic trading on bid‐ask spreads: Evidence from futures markets in Hong Kong, London, and Sydney (2004)The impact of electronic trad…Price Dynamics in the Regular and E-Mini Futures Markets (2004)Price Dynamics in the Regular…Price discovery in floor and screen trading systems (2002)Price discovery in floor and …The lead-lag relationship between equities and stock index futures markets around information releases (2000)The lead-lag relationship bet…Market segmentation and information diffusion in China’s stock markets (2000)Market segmentation and infor…A further investigation of the lead-lag relationship between the spot market and stock index futures: Early evidence from Korea (1999)A further investigation of th…High frequency analysis of lead-lag relationships between financial markets (1997)High frequency analysis of le…Market liquidity and depth on computerized and open outcry trading systems: A comparison of DTB and LIFFE bund contracts (1996)Market liquidity and depth on…Intraday return dynamics between the cash and the futures markets in Japan (1996)Intraday return dynamics betw…A further investigation of the lead-lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France (1996)A further investigation of th…22 Modeling market microstructure time series (1996)22 Modeling market microstruc…Dax index futures: Mispricing and arbitrage in German markets (1995)Dax index futures: Mispricing…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Some Reflections on Analysis of High-Frequency Data (2000)Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models (2003)The Estimation of Leverage Effect With High-Frequency Data (2013)Testing for Common Trends (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Futures Price Dynamics of CO2Emission Allowances:An Empirical Analysis of the Trial Period (2009)Cointegration and price discovery in US corn cash and futures markets (2017)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Lead-Lag relationship between Bitcoin and Ethereum: Evidence from hourly and daily data (2019)Price discovery in bitcoin futures (2019)The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry (2020)The pricing of commodity contracts (1976)Why Does Stock Market Volatility Change Over Time? (1989)The Lead‐Lag Relationship Between Cash and Stock Index Futures in a New Market (2007)Intraday price formation and bid-ask spread components: A new approach using a cross-market model (2011)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Theory of Intraday Patterns: Volume and Price Variability (1988)The Theory of Industrial Organization (1988)Competition among Exchanges (2001)Liquidity, Transaction Costs, and Reintermediation in Electronic Markets (2002)Inferring Trade Direction from Intraday Data (1991)Decimalization, trading costs, and information transmission between ETFs and index futures (2005)Investor sentiment and price discovery: Evidence from the pricing dynamics between the futures and spot markets (2018)Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach (2019)Measuring the Information Content of Stock Trades (1991)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Intraday Price Discovery in the DJIA Index Markets (2006)The determinants of price discovery on bitcoin markets (2020)The Dynamics of Stock Index and Stock Index Futures Returns (1990)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock return variances (1986)The Determinants of Credit Default Swap Premia (2004)Volatility Forecasting (2005)Covariance measurement in the presence of non-synchronous trading and market microstructure noise (2010)Stealth trading and volatility (1993)Price discovery in the foreign exchange futures market (2006)Do futures lead price discovery in electronic foreign exchange markets? 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  • 1997High frequency analysis of lead-lag relationships between financial markets125 cited
  • 1996Market liquidity and depth on computerized and open outcry trading systems: A comparison of DTB and LIFFE bund contracts118 cited
  • 2002Price discovery in floor and screen trading systems109 cited
  • 199622 Modeling market microstructure time series107 cited
  • 2004Price Dynamics in the Regular and E-Mini Futures Markets105 cited
  • 1999A further investigation of the lead-lag relationship between the spot market and stock index futures: Early evidence from Korea93 cited
  • 1996Intraday return dynamics between the cash and the futures markets in Japan89 cited
  • 2011Price discovery in spot and futures markets: a reconsideration89 cited
  • 1996A further investigation of the lead-lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France83 cited
  • 2005Information transmission in electronic versus open-outcry trading systems: An analysis of U.S. equity index futures markets82 cited
  • 2000The lead-lag relationship between equities and stock index futures markets around information releases75 cited
  • 2008A Survey of Emerging Derivatives Markets68 cited
  • 1995Dax index futures: Mispricing and arbitrage in German markets62 cited

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  • 2008Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange60 cited
  • 2000Market segmentation and information diffusion in China’s stock markets59 cited
  • 2004The impact of electronic trading on bid‐ask spreads: Evidence from futures markets in Hong Kong, London, and Sydney58 cited