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Informed trading and liquidity in the Shanghai Stock Exchange
16 references·1 citing·35 second hop
Informed trading and liquidity in the Shanghai Stock Exchange (2008)Informed trading and liquidity in the Sha…Price Informativeness and Investment Sensitivity to Stock Price (2006)Price Informativeness and Inv…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…Market Microstructure Theory. (1996)Market Microstructure Theory.Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Market microstructure theory (1995)Market microstructure theoryTime and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…Liquidity and Market Structure (1988)Liquidity and Market StructureLiquidity and Market Structure (1988)Liquidity and Market StructureA 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…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Measuring liquidity in Indian stock market: A dimensional perspective (2020)Measuring liquidity in Indian…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Using daily stock returns (1985)Illiquidity and stock returns: cross-section and time-series effects (2002)In Search of Attention (2011)Market structure, information, futures markets, and price formation. (1984)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Asset pricing and the bid-ask spread (1986)Liquidity and stock returns: An alternative test (1998)Is Information Risk a Determinant of Asset Returns? (2002)Information and the Cost of Capital (2004)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Asset pricing with liquidity risk (2005)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)The Cost of Transacting (1968)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)The Limits of Arbitrage (1995)Market Liquidity and Funding Liquidity (2008)Financing Constraints and Corporate Investment (1988)The Cross-Section of Expected Stock Returns (1992)Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)The Information Role of Conservatism (2008)Intangible capital and the investment-q relation (2016)The impact of environmental, social, and governance disclosure on firm value: The role of CEO power (2017)A New Estimate of Transaction Costs (1999)Commonality in liquidity (2000)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1988Liquidity and Market Structure1,573 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 2006Price Informativeness and Investment Sensitivity to Stock Price1,492 cited
  • 1995Market microstructure theory1,307 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1996Market Microstructure Theory.1,204 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1996

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Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
1,021 cited

Cited by

  • 2020Measuring liquidity in Indian stock market: A dimensional perspective17 cited