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Intraday and interday behavior of the TOPIX
16 references·6 citing·39 second hop
Intraday and interday behavior of the TOPIX (1993)Intraday and interday behavior of the TOP…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…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…Private Information, Trading Volume, and Stock-Return Variances (1990)Private Information, Trading …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…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Stock return variances (1986)Stock return variancesDay-of-the-week and intraday effects in stock returns (1986)Day-of-the-week and intraday …A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note (1984)New Findings Regarding Day-of…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market (2004)Modeling discontinuous period…International Price Discovery for Emerging Market Stocks: Evidence from Indian GDRs (2003)International Price Discovery…An empirical investigation of trading volume and return volatility of the Taiwan Stock Market (2001)An empirical investigation of…Inter- and intra-day liquidity patterns on the Stock Exchange of Hong Kong (1998)Inter- and intra-day liquidit…International linkages in Nikkei Stock Index futures markets (1996)International linkages in Nik…The Microstructure of Asian Equity Markets (1992)The Microstructure of Asian E…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)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)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)Statistical properties of the volatility of price fluctuations (1999)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)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Time and the Price Impact of a Trade (2000)Optimal trading strategy and supply/demand dynamics (2012)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)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)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

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1986Stock return variances1,813 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1990Stock Market Structure and Volatility544 cited
  • 1984New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note482 cited
  • 1992Trading Mechanisms in Securities Markets356 cited
  • 1986Day-of-the-week and intraday effects in stock returns341 cited
  • 1990Private Information, Trading Volume, and Stock-Return Variances334 cited

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1991
Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market
306 cited

Cited by

  • 2001An empirical investigation of trading volume and return volatility of the Taiwan Stock Market41 cited
  • 1996International linkages in Nikkei Stock Index futures markets41 cited
  • 1998Inter- and intra-day liquidity patterns on the Stock Exchange of Hong Kong41 cited
  • 2003International Price Discovery for Emerging Market Stocks: Evidence from Indian GDRs33 cited
  • 2004Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market33 cited
  • 1992The Microstructure of Asian Equity Markets32 cited