SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

The price impact of futures trades and their intraday seasonality · Study

ArticleShelves

ArticleThe price impact of futures trades and their intraday seasonality

Robert I. Webb2016

Article2016

The price impact of futures trades and their intraday seasonality

Robert I. Webb · Doojin Ryu · Doowon Ryu · JoongHo Han

52 citations·0/0 files stored·Emerging Markets Review

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 52 citations exist upstream.

References

1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1988A Theory of Intraday Patterns: Volume and Price Variability 1987Price, trade size, and information in securities markets 1968The Cost of Transacting 2000The investment behavior and performance of various investor types: a study of Finland's unique data set 1997Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan 1997International Portfolio Investment Flows

Cited by

2018Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach 2017Information asymmetry and investor trading behavior around bond rating change announcements 2019The impacts of public news announcements on intraday implied volatility dynamics 2018The directional information content of options volumes 2021Does vega-neutral options trading contain information?2020

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2015Trade Duration, Informed Trading, and Option Moneynessarticle · 25 shared references 2021Does vega-neutral options trading contain information?article · 23 shared references 2010Information Effects of Trade Size and Trade Direction: Evidence from the KOSPI 200 Index Options Market*article · 22 shared references 1999Symposium on Market Microstructure: A Review of Empirical Researcharticle · 21 shared references 2021Informed options trading around holidaysarticle · 21 shared references 2008Informed trading in the index option market: The case of KOSPI 200 optionsarticle · 18 shared references

Details

Year2016

Typearticle

Published2016-01-13

VenueEmerging Markets Review

ISSN-L1566-0141

Languageen

Citations52

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/j.ememar.2016.01.002

openalex_workW2285169722

Links

Imported from OpenAlex (CC0) — nothing here is generated.

The impact of net buying pressure on index options prices

2019Noise traders, mispricing, and price adjustments in derivatives markets

2019Time‐series momentum in China's commodity futures market