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Information, trading, and volatility

16 references·16 citing·36 second hopsampled

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References

1985Continuous Auctions and Insider Trading9,626 cited
1965The Behavior of Stock-Market Prices8,707 cited
1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 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
1980Stock returns and the weekend effect1,997 cited
1986Stock return variances1,813 cited
1993Differences of Opinion Make a Horse Race1,650 cited
1990Alternative models for conditional stock volatility1,272 cited
1992Time and the Process of Security Price Adjustment1,225 cited
1989Stock Volatility and the Crash of '871,045 cited
1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
1994Transactions, Volume, and Volatility870 cited
1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
1983

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Biases in computed returns

771 cited

Cited by

2006Market structure, fragmentation, and market quality160 cited
1997Public information releases, private information arrival and volatility in the foreign exchange market160 cited
2001The Price Impact of Institutional Trading134 cited
2001Time-Varying Arrival Rates of Informed and Uninformed Trades129 cited
2007Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods117 cited
2000Market Evidence on the Opaqueness of Banking Firms' Assets114 cited
2018Fake News: Evidence from Financial Markets114 cited
2001Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns106 cited
2002The Valuation and Market Rationality of Internet Stock Prices104 cited
2008Return Differences between Trading and Non-Trading Hours: Like Night and Day100 cited
2004Futures trading, spot market volatility, and market efficiency: The case of the Korean index futures markets95 cited
2014Dispersion in beliefs among active mutual funds and the cross-section of stock returns78 cited
1999Discount rate changes, stock market returns, volatility, and trading volume: Evidence from intraday data and implications for market efficiency69 cited
2007Information Efficiency and Firm-Specific Return Variation67 cited
2023Cryptocurrency regulation and market quality66 cited
2006Information, Trading, and Volatility: Evidence from Weather‐Sensitive Markets65 cited