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High frequency trading and comovement in financial markets
16 references·7 citing·40 second hop
High frequency trading and comovement in financial markets (2019)High frequency trading and comovement in …High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data (2009)Trading Costs and Returns for…Opaque financial reports, R2, and crash risk☆ (2009)Opaque financial reports, R2,…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …R2 around the world: New theory and new tests☆ (2005)R2 around the world: New theo…Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Market Frictions, Price Delay…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The information content of st…Commonality in liquidity (2000)Commonality in liquidityAsset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Tick Size Wars: The Market Quality Effects of Pricing Grid Competition (2022)Tick Size Wars: The Market Qu…Stock liquidity and algorithmic market making during the COVID-19 crisis (2022)Stock liquidity and algorithm…Intraday time series momentum: Global evidence and links to market characteristics (2021)Intraday time series momentum…High‐frequency trading: Definition, implications, and controversies (2021)High‐frequency trading: Defin…Bitcoin intraday time series momentum (2021)Bitcoin intraday time series …Microstructure in the Machine Age (2020)Microstructure in the Machine…High-Frequency Trading Strategies (2017)High-Frequency Trading Strate…Risk, Return, and Equilibrium: Empirical Tests (1973)Earnings Management During Import Relief Investigations (1991)The economic implications of corporate financial reporting (2005)CFOs versus CEOs: Equity incentives and crashes (2011)Corporate tax avoidance and stock price crash risk: Firm-level analysis (2011)Corporate social responsibility and stock price crash risk (2014)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Law and Finance (1998)Does board gender diversity improve the informativeness of stock prices? (2011)Understanding commonality in liquidity around the world (2011)Stock price synchronicity, crash risk, and institutional investors (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)Using daily stock returns (1985)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The distribution of realized stock return volatility (2001)Asymmetric correlations of equity portfolios (2002)Default Risk in Equity Returns (2004)The Econometrics of Financial Markets (2012)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)A Contribution to the Theory of Economic Growth (1956)Increasing Returns and Long-Run Growth (1986)Liquidity and leverage (2008)
this work references cited by second hop

References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?3,332 cited
  • 2005R2 around the world: New theory and new tests☆2,833 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2009Opaque financial reports, R2, and crash risk☆2,796 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 2000Commonality in liquidity1,748 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2009Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data1,098 cited
  • 2005

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Market Frictions, Price Delay, and the Cross-Section of Expected Returns
1,088 cited

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  • 2017High-Frequency Trading Strategies53 cited
  • 2022Tick Size Wars: The Market Quality Effects of Pricing Grid Competition42 cited
  • 2021High‐frequency trading: Definition, implications, and controversies42 cited
  • 2021Bitcoin intraday time series momentum37 cited
  • 2021Intraday time series momentum: Global evidence and links to market characteristics36 cited
  • 2022Stock liquidity and algorithmic market making during the COVID-19 crisis31 cited