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Night trading and market quality: Evidence from Chinese and US precious metal futures markets
16 references·4 citing·43 second hop
Night trading and market quality: Evidence from Chinese and US precious metal futures markets (2020)Night trading and market quality: Evidenc…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Market liquidity as a sentiment indicator (2004)Market liquidity as a sentime…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …A New Estimate of Transaction Costs (1999)A New Estimate of Transaction…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Stock Prices and Volume (1992)Stock Prices and VolumeTesting for Common Trends (1988)Testing for Common TrendsThe Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX (2024)Contagion effects of permissi…Dynamic volatility connectedness between industrial metal markets (2022)Dynamic volatility connectedn…Volatility spillovers in commodity futures markets: A network approach (2021)Volatility spillovers in comm…Night trading with futures in China: The case of Aluminum and Copper (2021)Night trading with futures in…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)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)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)
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References

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  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
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  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
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  • 1992Stock Prices and Volume

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1,295 cited
  • 2004Market liquidity as a sentiment indicator1,245 cited
  • Cited by

    • 2021Volatility spillovers in commodity futures markets: A network approach62 cited
    • 2024Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX24 cited
    • 2022Dynamic volatility connectedness between industrial metal markets20 cited
    • 2021Night trading with futures in China: The case of Aluminum and Copper20 cited