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Trade-throughs in European cross-traded equities after transaction costs – empirical evidence for the EURO STOXX 50
16 references·0 citing·51 second hop
Trade-throughs in European cross-traded equities after transaction costs – empirical evidence for the EURO STOXX 50 (2010)Trade-throughs in European cross-traded e…Multi-market trading and arbitrage☆ (2010)Multi-market trading and arbi…Competition for Order Flow and Smart Order Routing Systems (2006)Competition for Order Flow an…Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects (2004)Internationally cross-listed …Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks (2003)Cross‐Border Listings and Pri…The Accuracy of Trade Classification Rules: Evidence from Nasdaq (2000)The Accuracy of Trade Classif…Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison (1999)Trade Execution Costs on NASD…How are stock prices affected by the location of trade? (1999)How are stock prices affected…Multimarket trading and liquidity: a transaction data analysis of Canada–US interlistings (1998)Multimarket trading and liqui…International Cross‐Listing and Order Flow Migration: Evidence from an Emerging Market (1998)International Cross‐Listing a…A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks (1997)A cross-exchange comparison o…A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks (1997)A Comparison of Trade Executi…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Consolidation, Fragmentation, and the Disclosure of Trading Information (1995)Consolidation, Fragmentation,…Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets (1993)Price Formation and Equilibri…Multimarket Trading and Market Liquidity (1991)Multimarket Trading and Marke…Consolidation, Fragmentation, and Market Performance (1987)Consolidation, Fragmentation,…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Inferring Trade Direction from Intraday Data (1991)Liquidity, Information, and Infrequently Traded Stocks (1996)Sixteenths: direct evidence on institutional execution costs (2001)Earnings expectations, investor trade size, and anomalous returns around earnings announcements (2005)Very fast money: High-frequency trading on the NASDAQ (2013)Installed base and compatibility : innovation, product preannouncements and predation (1986)A Theory of Intraday Patterns: Volume and Price Variability (1988)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Bank Bias in Europe: Effects on Systemic Risk and Growth (2015)The Economics of High-Frequency Trading: Taking Stock (2016)Price Discovery without Trading: Evidence from Limit Orders (2019)Reexamination of the perfectness concept for equilibrium points in extensive games (1975)Disclosure, Liquidity, and the Cost of Capital (1991)An Empirical Study of Bond Market Transactions (2000)The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis (2002)Should securities markets be transparent? (2005)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Estimation of the Bid–Ask Spread and Its Components: A New Approach (1991)Globalization of Equity Markets and the Cost of Capital (1999)The economic consequences of increased disclosure: Evidence from international cross-listings☆ (2006)Does international cross-listing improve the information environment (2008)Continuous Auctions and Insider Trading (1985)Transmission of Volatility between Stock Markets (1990)Intraday Price Formation in U.S. Equity Index Markets (2003)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Is market fragmentation harming market quality? (2011)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)When the Underwriter Is the Market Maker: An Examination of Trading in the IPO Aftermarket (2000)Evidence on the speed of convergence to market efficiency (2005)Stock price reaction to public and private information (2006)Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions (2012)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom (2004)Stock price informativeness, cross-listings, and investment decisions (2008)Investor Sentiment and the Closed-End Fund Puzzle (1991)The End of Behavioral Finance (1999)Behavioral finance (2003)Limits of Arbitrage (2010)COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)The Theory of Industrial Organization (1988)Auctioning divisible goods (2002)Regulatory Uncertainty and Market Liquidity: The 2008 Short Sale Ban's Impact on Equity Option Markets (2011)The value of trading relations in turbulent times (2017)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Cointegration and Tests of Present Value Models (1987)Market microstructure: A survey (2000)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Realized Variance and Market Microstructure Noise (2006)
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References

  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1991Multimarket Trading and Market Liquidity597 cited
  • 1999How are stock prices affected by the location of trade?550 cited
  • 2000The Accuracy of Trade Classification Rules: Evidence from Nasdaq454 cited
  • 1998International Cross‐Listing and Order Flow Migration: Evidence from an Emerging Market444 cited
  • 2003Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks399 cited
  • 1993Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets358 cited
  • 1995Consolidation, Fragmentation, and the Disclosure of Trading Information345 cited
  • 2006Competition for Order Flow and Smart Order Routing Systems332 cited
  • 1997A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks314 cited
  • 1997A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks279 cited
  • 2010Multi-market trading and arbitrage☆271 cited
  • 1999Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison263 cited
  • 1998Multimarket trading and liquidity: a transaction data analysis of Canada–US interlistings232 cited
  • 2004

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Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects
231 cited
  • 1987Consolidation, Fragmentation, and Market Performance216 cited
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