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The price impact of futures trades and their intraday seasonality
16 references·16 citing·37 second hopsampled
The price impact of futures trades and their intraday seasonality (2016)The price impact of futures trades and th…The Information in Option Volume for Future Stock Prices (2006)The Information in Option Vol…The portfolio flows of international investors (2001)The portfolio flows of intern…The investment behavior and performance of various investor types: a study of Finland's unique data set (2000)The investment behavior and p…Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan (1997)Why is there a home bias? An …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…International Portfolio Investment Flows (1997)International Portfolio Inves…Stealth trading and volatility (1993)Stealth trading and volatilityAn Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…The Cost of Transacting (1968)The Cost of TransactingInsider trading and information asymmetry: Evidence from the Korea Exchange (2021)Insider trading and informati…Informed options trading around holidays (2021)Informed options trading arou…Does vega-neutral options trading contain information? (2021)Does vega-neutral options tra…The impact of net buying pressure on index options prices (2020)The impact of net buying pres…Time‐series momentum in China's commodity futures market (2019)Time‐series momentum in China…The impacts of public news announcements on intraday implied volatility dynamics (2019)The impacts of public news an…Noise traders, mispricing, and price adjustments in derivatives markets (2019)Noise traders, mispricing, an…How does FX liquidity affect the relationship between foreign ownership and stock liquidity? (2019)How does FX liquidity affect …Derivatives pricing with liquidity risk (2019)Derivatives pricing with liqu…Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach (2018)Volatility dynamics under an …The impacts of overseas market shocks on the CDS-option basis (2018)The impacts of overseas marke…The directional information content of options volumes (2018)The directional information c…The Behavior of an Institutional Investor with Arbitrage Opportunities and Liquidity Risk (2018)The Behavior of an Institutio…Information asymmetry and investor trading behavior around bond rating change announcements (2017)Information asymmetry and inv…Monetary Policy Announcements, Communication, and Stock Market Liquidity (2016)Monetary Policy Announcements…Foreign investor trading and information asymmetry: evidence from a leading emerging market (2016)Foreign investor trading and …Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Market microstructure: A survey (2000)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Investor Diversification and International Equity Markets (1991)Time‐Varying World Market Integration (1995)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The Pricing of Options and Corporate Liabilities (1973)Inferring Trade Direction from Intraday Data (1991)The High‐Volume Return Premium (2001)Demand-Based Option Pricing (2005)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)A model of investor sentiment /Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)How Distance, Language, and Culture Influence Stockholdings and Trades (2001)What Makes Investors Trade? (2001)Individual Investor Trading and Stock Returns (2008)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)The Cross-Section of Expected Stock Returns (1992)The determinants of cross-border equity flows (2004)Information Effects on the Bid-Ask Spread (1983)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Noise Trader Risk in Financial Markets (1990)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1985Continuous Auctions and Insider Trading9,626 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
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1968The Cost of Transacting1,909 cited
  • 2000The investment behavior and performance of various investor types: a study of Finland's unique data set1,639 cited
  • 1997Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan1,542 cited
  • 1997International Portfolio Investment Flows1,284 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 2001The portfolio flows of international investors956 cited
  • 1993Stealth trading and volatility948 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 2006The Information in Option Volume for Future Stock Prices847 cited

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  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • Cited by

    • 2018Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach50 cited
    • 2017Information asymmetry and investor trading behavior around bond rating change announcements49 cited
    • 2019The impacts of public news announcements on intraday implied volatility dynamics45 cited
    • 2018The directional information content of options volumes42 cited
    • 2021Does vega-neutral options trading contain information?41 cited
    • 2019Noise traders, mispricing, and price adjustments in derivatives markets38 cited
    • 2020The impact of net buying pressure on index options prices38 cited
    • 2019Time‐series momentum in China's commodity futures market37 cited
    • 2016Foreign investor trading and information asymmetry: evidence from a leading emerging market35 cited
    • 2019Derivatives pricing with liquidity risk35 cited
    • 2016Monetary Policy Announcements, Communication, and Stock Market Liquidity32 cited
    • 2019How does FX liquidity affect the relationship between foreign ownership and stock liquidity?30 cited
    • 2021Insider trading and information asymmetry: Evidence from the Korea Exchange30 cited
    • 2018The impacts of overseas market shocks on the CDS-option basis28 cited
    • 2018The Behavior of an Institutional Investor with Arbitrage Opportunities and Liquidity Risk28 cited
    • 2021Informed options trading around holidays28 cited