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An analysis of interday and intraday return volatility - evidence from the Korea Stock Exchange
11 references·3 citing·40 second hop
An analysis of interday and intraday return volatility - evidence from the Korea Stock Exchange (1993)An analysis of interday and intraday retu…Long-Lived Private Information and Imperfect Competition (1992)Long-Lived Private Informatio…Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market (1991)Volatility, Efficiency, and T…Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…Private Information, Trading Volume, and Stock-Return Variances (1990)Private Information, Trading …An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964-1989 (1990)An Examination of Stock Marke…Equity Markets: Structure, Trading, and Performance (1988)Equity Markets: Structure, Tr…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Stock return variances (1986)Stock return variancesA transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…Dealership market (1980)Dealership marketThe Intraday Pattern of Trading Activity, Return Volatility and Liquidity: Evidence from the Emerging Tunisian Stock Exchange (2012)The Intraday Pattern of Tradi…Overnight information and intraday trading behavior: evidence from NYSE cross-listed stocks and their local market information (2000)Overnight information and int…Do trading rules impact on market efficiency? A comparison of opening procedures on the Australian and Jakarta Stock Exchanges (1999)Do trading rules impact on ma…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The Cost of Transacting (1968)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Liquidity and Market Efficiency (2007)Continuous Auctions and Insider Trading (1985)Investment analysis and price formation in securities markets (1995)Presidential Address: Liquidity and Price Discovery (2003)Institutional Investors and the Informational Efficiency of Prices (2009)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)The econometrics of ultra-high frequency data /Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)The Dependence between Hourly Prices and Trading Volume (1988)Statistical properties of the volatility of price fluctuations (1999)A Theory of Intraday Patterns: Volume and Price Variability (1988)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Periodic market closure and trading volume (1992)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Volatility in the Foreign Currency Futures Market (1991)Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close (1992)Trading and Returns under Periodic Market Closures (2000)Asset pricing and ambiguity: Empirical evidence (2018)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)Predicting stock market volatility: A new measure (1995)Trade Size and Components of the Bid-Ask Spread (1995)
this work references cited by second hop

References

  • 1986Stock return variances1,813 cited
  • 1980Dealership market965 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1992Long-Lived Private Information and Imperfect Competition802 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1990Stock Market Structure and Volatility544 cited
  • 1990Private Information, Trading Volume, and Stock-Return Variances334 cited
  • 1991Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market306 cited
  • 1990An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964-1989262 cited
  • 1988Equity Markets: Structure, Trading, and Performance84 cited

Cited by

  • 2000Overnight information and intraday trading behavior: evidence from NYSE cross-listed stocks and their local market information34 cited
  • 1999Do trading rules impact on market efficiency? A comparison of opening procedures on the Australian and Jakarta Stock Exchanges31 cited
  • 2012The Intraday Pattern of Trading Activity, Return Volatility and Liquidity: Evidence from the Emerging Tunisian Stock Exchange26 cited

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