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Liquidity, Volatility, and Exchange Automation
16 references·8 citing·44 second hop
Liquidity, Volatility, and Exchange Automation (1988)Liquidity, Volatility, and Exchange Autom…Liquidity and Asset Prices: Financial Management Implications (1988)Liquidity and Asset Prices: F…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Liquidity, Stock Markets, and Market Makers (1987)Liquidity, Stock Markets, and…Consolidation, Fragmentation, and Market Performance (1987)Consolidation, Fragmentation,…Stock return variances (1986)Stock return variancesNoise (1986)NoiseLiquidity and Stock Returns (1986)Liquidity and Stock ReturnsAsset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Marketmaker Behavior in an Auction Market: An Analysis of Scalpers in Futures Markets (1984)Marketmaker Behavior in an Au…The Dynamics of Dealer Markets Under Competition (1983)The Dynamics of Dealer Market…Market Behavior in a Clearing House (1982)Market Behavior in a Clearing…Asset Price Behavior in a Dealership Market (1982)Asset Price Behavior in a Dea…Allocation Mechanisms and the Design of Auctions (1981)Allocation Mechanisms and the…Dealership market (1980)Dealership marketStructural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk (1979)Structural Organization of Se…Enterprise digital transformation’s impact on stock liquidity: A corporate governance perspective (2024)Enterprise digital transforma…Media coverage and stock liquidity: Evidence from China (2023)Media coverage and stock liqu…Does ESG performance promote vitality of capital market? Analysis from the perspective of stock liquidity (2023)Does ESG performance promote …The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market (2019)The impact of short-selling a…Market Efficiency in Specialist Markets Before and After Automation (2000)Market Efficiency in Speciali…Restructuring Institutional Block Trading an Overview of the OptiMark System (1998)Restructuring Institutional B…PRICE LIMITS AND STOCK MARKET EFFICIENCY (1996)PRICE LIMITS AND STOCK MARKET…Index and Index-Futures Returns (1989)Index and Index-Futures Retur…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The Cost of Transacting (1968)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Liquidity and Market Efficiency (2007)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)The theory and practice of econometrics (1986)The Informational Content of Implied Volatility (1993)Liquidity and Asset Prices (2006)Do ETFs Increase Volatility? (2014)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Separation of Ownership and Control (1983)The liquidity effects of revisions to the S&P 500 index: an empirical analysis (2003)The timing of initial public offerings (2004)Exchange trading rules and stock market liquidity☆ (2010)COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)Optimal Auction Design (1981)Asymmetric Information, Incentives and Intrafirm Resource Allocation (1982)Auctions with entry (1987)Modeling Competitive Bidding: A Critical Essay (1994)Collusion Under Asymmetric Information (1997)Information Effects on the Bid-Ask Spread (1983)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Asset Prices and Trading Volume under Fixed Transactions Costs (2004)The Cross-Section of Expected Trading Activity (2006)Impact of the Institutional Macro Context on the Voluntary Disclosure of CSR Information (2015)Bulls, bears and market sheep (1990)Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Synchronization risk and delayed arbitrage (2002)
this work references cited by second hop

References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1986Stock return variances1,813 cited
  • 1980Dealership market965 cited
  • 1983The Dynamics of Dealer Markets Under Competition783 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1986Noise600 cited
  • 1986Liquidity and Stock Returns391 cited
  • 1988Liquidity and Asset Prices: Financial Management Implications354 cited
  • 1981Allocation Mechanisms and the Design of Auctions310 cited
  • 1987Consolidation, Fragmentation, and Market Performance216 cited
  • 1982Market Behavior in a Clearing House184 cited
  • 1979Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk174 cited
  • 1987Liquidity, Stock Markets, and Market Makers134 cited
  • 1984Marketmaker Behavior in an Auction Market: An Analysis of Scalpers in Futures Markets115 cited
  • 1982Asset Price Behavior in a Dealership Market

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83 cited

Cited by

  • 2023Does ESG performance promote vitality of capital market? Analysis from the perspective of stock liquidity34 cited
  • 1989Index and Index-Futures Returns30 cited
  • 2019The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market29 cited
  • 1998Restructuring Institutional Block Trading an Overview of the OptiMark System27 cited
  • 2023Media coverage and stock liquidity: Evidence from China26 cited
  • 2000Market Efficiency in Specialist Markets Before and After Automation25 cited
  • 2024Enterprise digital transformation’s impact on stock liquidity: A corporate governance perspective23 cited
  • 1996PRICE LIMITS AND STOCK MARKET EFFICIENCY22 cited