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Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market
16 references·0 citing·43 second hop
Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market (2013)Expiration‐Day Effects and the Impact of …Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Heterogeneous Information Arr…Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities (1995)Market Structure and the Intr…The Effect of Public Information and Competition on Trading Volume and Price Volatility (1993)The Effect of Public Informat…Periodic market closure and trading volume (1992)Periodic market closure and t…Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)Statistical study of foreign …A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Program Trading and Expiration-Day Effects (1987)Program Trading and Expiratio…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…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…On the bias in flexible functional forms and an essentially unbiased form (1981)On the bias in flexible funct…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? 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An Empirical Exploration of Idiosyncratic Risk (2001)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)Continuous Auctions and Insider Trading (1985)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Transcendental Logarithmic Utility Functions (1975)Bank Ownership and Efficiency (2001)Public-private partnerships investment in energy as new determinant of CO2 emissions: The role of technological innovations in China (2020)Linking renewable energy, globalization, agriculture, CO2 emissions and ecological footprint in BRIC countries: A sustainability perspective (2021)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)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)Investor Psychology and Security Market Under‐ and Overreactions (1998)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Fractional Brownian Motions, Fractional Noises and Applications (1968)The arbitrage theory of capital asset pricing (1976)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Separating microstructure noise from volatility (2005)Parametric and Nonparametric Volatility Measurement (2010)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Statistical aspects of ARCH and stochastic volatility (1996)Order Flow and Exchange Rate Dynamics (1999)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

  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1986Stock return variances1,813 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 1981On the bias in flexible functional forms and an essentially unbiased form977 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns649 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1990Stock Market Structure and Volatility544 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks534 cited
  • 1990Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis482 cited
  • 1992Periodic market closure and trading volume426 cited
  • 1995Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities325 cited

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1993
The Effect of Public Information and Competition on Trading Volume and Price Volatility
244 cited
  • 1987Program Trading and Expiration-Day Effects207 cited
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