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Volume, Volatility, and New York Stock Exchange Trading Halts
1 references·16 citing·51 second hopsampled
Volume, Volatility, and New York Stock Exchange Trading Halts (1994)Volume, Volatility, and New York Stock Ex…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Information Transfer and Conference Calls (2016)Information Transfer and Conf…News-driven return reversals: Liquidity provision ahead of earnings announcements (2014)News-driven return reversals:…Order Consolidation, Price Efficiency, and Extreme Liquidity Shocks (2008)Order Consolidation, Price Ef…Market structure, fragmentation, and market quality (2006)Market structure, fragmentati…Price limit performance: evidence from transactions data and the limit order book (2005)Price limit performance: evid…The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange (2003)The magnet effect of price li…The complexity of price discovery in an efficient market: the stock market reaction to the Challenger crash (2003)The complexity of price disco…Speculative markets and the effectiveness of price limits (2003)Speculative markets and the e…Market Microstructure (2003)Market MicrostructureHow the Equity Market Responds to Unanticipated Events* (2003)How the Equity Market Respond…Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs (2002)Nasdaq Trading Halts: The Imp…Return predictability following large price changes and information releases (2001)Return predictability followi…Price limits and stock market volatility (2001)Price limits and stock market…Order Flow and Liquidity around NYSE Trading Halts (2000)Order Flow and Liquidity arou…Price Discovery on the NYSE and the NASDAQ: The Case of Overnight and Daytime News Releases (1996)Price Discovery on the NYSE a…Price Formation on Stock Exchanges: The Evolution of Trading within the Day (1994)Price Formation on Stock Exch…A model of investor sentiment /Continuous Auctions and Insider Trading (1985)A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)Are Economically Significant Stock Returns and Trading Volumes Driven by Firm‐specific News Releases? (2004)How Does the Stock Market Absorb Shocks? (2015)An empirical test of signalling theory (2020)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Information Flow and Liquidity around Anticipated and Unanticipated Dividend Announcements* (2006)The Effects of Ambiguous Information on Initial and Subsequent IPO Returns (2010)The Effect of EU Antitrust Investigations and Fines on a Firm's Valuation (2013)American Economic Review (2019)On the Impossibility of Informationally Efficient Markets (1980)Noise Trader Risk in Financial Markets (1990)What Makes Investors Trade? (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Individualism and Momentum around the World (2010)Stock return variances (1986)Inferring Trade Direction from Intraday Data (1991)Emerging equity market volatility (1997)What Makes Circuit Breakers Attractive to Financial Markets? A Survey (2004)RECONSIDERING PRICE LIMIT EFFECTIVENESS (2013)An update on speculation and financialization in commodity markets (2018)Financial analysts' forecasts of earnings (1982)A transaction data study of weekly and intradaily patterns in stock returns (1986)An Analysis of Prices, Bid/Ask Spreads, and Bid and Ask Depths Surrounding Ivan Boesky's Illegal Trading in Carnation's Stock (1997)The Effects of Inflation News on High Frequency Stock Returns (2004)Information Content of Earnings Announcements: Evidence from After-Hours Trading (2012)Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Stock Market Structure and Volatility (1990)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Intraday periodicity and volatility persistence in financial markets (1997)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Statistical Properties and Pre-Hit Dynamics of Price Limit Hits in the Chinese Stock Markets (2015)Retail investor attention and herding behavior (2020)The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)Limited-dependent and qualitative variables in econometrics (1983)Limited-Dependent and Qualitative Variables in Econometrics. (1984)The skinny on the 2008 naked short-sale restrictions (2010)The Impact of Dark Trading and Visible Fragmentation on Market Quality (2011)High frequency trading and comovement in financial markets (2019)Optimal dealer pricing under transactions and return uncertainty (1981)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Price, trade size, and information in securities markets (1987)The impact of illegal insider trading in dealer and specialist markets: evidence from a natural experiment (2003)An Empirical Evaluation of Accounting Income Numbers (1968)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Time-Varying Demand for Lottery: Speculation Ahead of Earnings Announcements (2016)What do measures of real-time corporate sales say about earnings surprises and post-announcement returns? (2017)A Tough Act to Follow: Contrast Effects in Financial Markets (2018)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Differences of Opinion Make a Horse Race1,650 cited

Cited by

  • 2003The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange163 cited
  • 2006Market structure, fragmentation, and market quality160 cited
  • 2000Order Flow and Liquidity around NYSE Trading Halts158 cited
  • 2001Return predictability following large price changes and information releases152 cited
  • 2014News-driven return reversals: Liquidity provision ahead of earnings announcements141 cited
  • 2003How the Equity Market Responds to Unanticipated Events*134 cited
  • 2002Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs125 cited
  • 2005Price limit performance: evidence from transactions data and the limit order book115 cited
  • 1996Price Discovery on the NYSE and the NASDAQ: The Case of Overnight and Daytime News Releases113 cited
  • 2003Speculative markets and the effectiveness of price limits107 cited
  • 2008Order Consolidation, Price Efficiency, and Extreme Liquidity Shocks106 cited
  • 2001Price limits and stock market volatility101 cited
  • 2003The complexity of price discovery in an efficient market: the stock market reaction to the Challenger crash98 cited

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  • 2016Information Transfer and Conference Calls93 cited
  • 2003Market Microstructure92 cited
  • 1994Price Formation on Stock Exchanges: The Evolution of Trading within the Day91 cited