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The cross-market information content of stock and bond order flow · Study

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ArticleThe cross-market information content of stock and bond order flow

Shane Underwood2008

OA

Articlegreen2008

The cross-market information content of stock and bond order flow

Shane Underwood

48 citations·0/0 files stored·Journal of Financial Markets

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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 48 citations exist upstream.

References

1985Continuous Auctions and Insider Trading 1991Inferring Trade Direction from Intraday Data 1987Price, trade size, and information in securities markets 1991Measuring the Information Content of Stock Trades 1986Predicting returns in the stock and bond markets 2004Bad Beta, Good Beta 2001Common factors in prices, order flows, and liquidity 2001The Microstructure Approach to Exchange Rates

Cited by

2011The Stock-Bond Return Relation, the Term Structure’s Slope, and Asset-Class Risk Dynamics

Details

Year2008

Typearticle

Published2008-09-22

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations48

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/j.finmar.2008.08.001

openalex_workW3122875532

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