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Overnight information and intraday trading behavior: evidence from NYSE cross-listed stocks and their local market information
16 references·0 citing·42 second hop
Overnight information and intraday trading behavior: evidence from NYSE cross-listed stocks and their local market information (2000)Overnight information and intraday tradin…Transactions, Volume, and Volatility (1994)Transactions, Volume, and Vol…The Impact of Public Information on the Stock Market (1994)The Impact of Public Informat…Public Information Arrival (1994)Public Information ArrivalVariations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Variations in Trading Volume,…Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets (1993)Price Formation and Equilibri…Stock Prices and Volume (1992)Stock Prices and VolumePeriodic market closure and trading volume (1992)Periodic market closure and t…Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…Private Information, Trading Volume, and Stock-Return Variances (1990)Private Information, Trading …A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…Trade and the Revelation of Information through Prices and Direct Disclosure (1989)Trade and the Revelation of I…The Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…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…A 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…The Behavior of Stock-Market Prices (1965)Stock return variances (1986)Market liquidity and volume around earnings announcements (1994)Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market (2002)Information demand and stock market volatility (2012)COVID-19: Media coverage and financial markets behavior—A sectoral inquiry (2020)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 /Stock returns and the weekend effect (1980)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)Continuous Auctions and Insider Trading (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Why Does Stock Market Volatility Change Over Time? (1989)Order Flow and Exchange Rate Dynamics (1999)Order imbalance, liquidity, and market returns (2002)An Empirical Analysis of Stock and Bond Market Liquidity (2004)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)Time and the Price Impact of a Trade (2000)Optimal trading strategy and supply/demand dynamics (2012)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)Bayesian Analysis of Stochastic Volatility Models (2002)Risks and Portfolio Decisions Involving Hedge Funds (2003)Market liquidity as a sentiment indicator (2004)The Information Content of Annual Earnings Announcements (1968)Differences of Opinion Make a Horse Race (1993)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Inferring Trade Direction from Intraday Data (1991)Trade Size and Components of the Bid-Ask Spread (1995)Pricing the commonality across alternative measures of liquidity (2007)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Statistical aspects of ARCH and stochastic volatility (1996)Predicting stock market volatility: A new measure (1995)
this work references cited by second hop

References

  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1994Transactions, Volume, and Volatility870 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
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 1993Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models624 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1994The Impact of Public Information on the Stock Market549 cited
  • 1990Stock Market Structure and Volatility544 cited
  • 1992Periodic market closure and trading volume426 cited
  • 1989Trade and the Revelation of Information through Prices and Direct Disclosure422 cited
  • 1993Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets358 cited
  • 1994Public Information Arrival337 cited

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  • 1990Private Information, Trading Volume, and Stock-Return Variances334 cited
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