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Information, trading, and volatility · Study

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ArticleInformation, trading, and volatility

Charles M. Jones1994

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Articlebronze1994

Information, trading, and volatility

Charles M. Jones · Gautam Kaul · Marc Lars Lipson

176 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1985Continuous Auctions and Insider Trading 1965The Behavior of Stock-Market Prices 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1988A Theory of Intraday Patterns: Volume and Price Variability 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1980Stock returns and the weekend effect 1986Stock return variances 1993Differences of Opinion Make a Horse Race

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1997Public information releases, private information arrival and volatility in the foreign exchange market 2006Market structure, fragmentation, and market quality 2001The Price Impact of Institutional Trading 2001Time-Varying Arrival Rates of Informed and Uninformed Trades 2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods 2018Fake News: Evidence from Financial Markets

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Year1994

Typearticle

Published1994-08-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations176

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0304-405x(94)90032-9

openalex_workW2120963140

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2000

Market Evidence on the Opaqueness of Banking Firms' Assets

2001Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns