SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Trading Mechanisms and Market Quality: Call Markets versus Continuous Auction Markets
16 references·0 citing·33 second hop
Trading Mechanisms and Market Quality: Call Markets versus Continuous Auction Markets (2011)Trading Mechanisms and Market Quality: Ca…Time and the Price Impact of a Trade (2000)Time and the Price Impact of …Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Market microstructure and sec…Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Transparency and Liquidity: A…Trade Size and Components of the Bid-Ask Spread (1995)Trade Size and Components of …Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement (1993)Assessing the Quality of a Se…Trading Mechanisms in Securities Markets (1992)Trading Mechanisms in Securit…An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Estimation of the Bid–Ask Spread and Its Components: A New Approach (1991)Estimation of the Bid–Ask Spr…Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Inferring the Components of t…Estimating the components of the bid/ask spread (1988)Estimating the components of …Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…The Behavior of Stock-Market Prices (1965)Asset pricing and the bid-ask spread (1986)The theory and practice of econometrics (1986)Differences of Opinion Make a Horse Race (1993)Realized Variance and Market Microstructure Noise (2006)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Price, trade size, and information in securities markets (1987)Illiquidity and stock returns: cross-section and time-series effects (2002)Do liquidity measures measure liquidity?☆ (2009)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Measuring the Information Content of Stock Trades (1991)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Market structure, information, futures markets, and price formation. (1984)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure: A survey (2000)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Market microstructure (1976)The effect of large block transactions on security prices: A cross-sectional analysis (1987)Trades, quotes, inventories, and information (1988)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The Cost of Transacting (1968)Stock returns and the weekend effect (1980)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Measuring security price performance (1980)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)A New Estimate of Transaction Costs (1999)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1997Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange652 cited
  • 1991Estimation of the Bid–Ask Spread and Its Components: A New Approach594 cited
  • 2000Time and the Price Impact of a Trade592 cited
  • 1992Trading Mechanisms in Securities Markets572 cited
  • 1995Trade Size and Components of the Bid-Ask Spread553 cited
  • 1996Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading545 cited
  • 1990Stock Market Structure and Volatility544 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1993
Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement
506 cited

Cited by

No citing works inside the corpus for this window.