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Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange. (1997). Amihud, Yakov ; Yakov, Amihud ; Haim, Mendelson ; Beni, Lauterbach.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:45:y:1997:i:3:p:365-390.

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  19. Do spot market auction data help price discovery?. (2023). Scott, Ayesha ; Schoen, Tilman ; Miffre, Joelle ; Fernandez-Perez, Adrian.
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  20. The market quality effects of sub-second frequent batch auctions: Evidence from dark trading restrictions. (2023). Ibikunle, Gbenga ; Zhang, Zeyu.
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  24. How is illiquidity priced in the Chinese stock market?. (2023). Shen, Zhiqi ; Jiang, Fuwei ; Wu, Kai ; Liu, Jun.
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  25. Why are the prices of European?style derivatives greater than the prices of American?style derivatives?. (2022). Luo, Xingguo ; Zhao, Jingyu ; Jin, Xuejun.
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  26. Risk?neutral skewness and commodity futures pricing. (2022). Tang, Weiqing ; Liu, Zhenya ; Fuertes, Anamaria.
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  35. Does Gender Diversity on Boards Influence Stock Market Liquidity? Empirical Evidence from the Tunisian Market. (2022). Nsaibi, Mariem ; Abidi, Ilyes.
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  39. How does skewness perform in the Chinese commodity futures market?. (2021). Xu, Yang ; Han, Liyan ; Jiang, Xue.
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  49. The risk premia of energy futures. (2021). Miffre, Joelle ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian.
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  52. A rare move: The effects of switching from a closing call auction to a continuous trading. (2020). Chou, Robin K ; Chang, Yakai ; Yang, Jimmy J.
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  56. Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. (2020). Low, Rand ; Rad, Hossein ; Faff, Robert ; Miffre, Joelle.
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  57. Speculative Pressure. (2020). Fernandez-Perez, Adrian ; Hua, John ; Miffre, Joelle ; Fuertes, Ana-Maria.
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  60. The price effects of liquidity shocks: A study of the SEC’s tick size experiment. (2020). Yao, Chen ; Song, Shiyun ; Albuquerque, Rui.
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  62. Call of duty: Designated market maker participation in call auctions. (2020). Theissen, Erik ; Westheide, Christian.
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  63. Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. (2020). faff, robert ; Miffre, Joelle ; Yew, Rand Kwong ; Rad, Hossein.
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  67. Political connections and firm performance: Evidence from government officials site visits. (2019). Kang, DI ; Yao, Chengxue ; Wang, Yizhong.
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  73. The skewness of commodity futures returns. (2018). Fuertes, Ana-Maria ; Frijns, Bart ; Miffre, Joelle ; Fernandez-Perez, Adrian.
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  74. A High-Frequency Analysis of Bitcoin Markets. (2018). Theissen, Erik ; Mestel, Roland ; Riordan, Ryan ; Brauneis, Alexander.
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  75. What promotes/prevents firm bond issuance in emerging economies: Bank–firm relationship or information asymmetry?. (2018). Nagano, Mamoru.
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  76. Qualitative similarity and stock price comovement. (2018). Box, Travis.
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  77. The skewness of commodity futures returns. (2018). Frijns, Bart ; Fernandez-Perez, Adrian ; Miffre, Joelle ; Fuertes, Ana-Maria.
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  78. Do liquidity proxies measure liquidity accurately in ETFs?. (2018). Marshall, Ben ; Visaltanachoti, Nuttawat ; Nguyen, Nhut H.
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  79. New evidence on asymmetric return–volume dependence and extreme movements. (2018). Wang, Yi-Chiuan ; Lai, Yi-Hao ; Wu, Jyh-Lin.
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  80. Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange. (2018). Wang, Jianxin ; Twu, Mia.
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  81. Implications of High-Frequency Trading for Security Markets. (2018). LINTON, OLIVER ; Mahmoodzadeh, S.
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  82. Call of duty: Designated market maker participation in call auctions. (2017). Theissen, Erik ; Westheide, Christian.
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  83. Asset Mispricing. (2017). Longstaff, Francis ; Lewis, Kurt ; Petrasek, Lubomir .
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  84. M&A negotiations with limited information: how do opaque firms buy and get bought?. (2017). Orlando, Tommaso ; Battigalli, Pierpaolo ; Chiarella, Carlo ; Gatti, Stefano.
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  85. Corporate governance and stock liquidity dimensions: Panel evidence from pure order-driven Australian market. (2017). Ali, Searat ; Je, Jen ; Liu, Benjamin.
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  86. Sukuk issuance and information asymmetry: Why do firms issue sukuk?. (2017). Nagano, Mamoru.
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  87. Boardroom gender diversity and stock liquidity: Evidence from Australia. (2017). Ahmed, Ammad ; Ali, Searat.
    In: Journal of Contemporary Accounting and Economics.
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  88. Liquidity measures throughout the lifetime of the U.S. Treasury bond. (2017). Diaz, Antonio ; Escribano, Ana .
    In: Journal of Financial Markets.
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  89. A causal link between bond liquidity and stock returns. (2017). Anderson, Mike.
    In: Journal of Empirical Finance.
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  90. The Price Effects of Liquidity Shocks: A Study of SECs Tick-Size Experiment. (2017). Albuquerque, Rui ; Yao, Chen ; Song, Shiyun.
    In: CEPR Discussion Papers.
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  91. Impact of the transition to continous trading on emerging financial markets liquidity : Case study of the West Africa Regional Exchange Market (BRVM). (2016). OUATTARA, Aboudou.
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  92. Stock Market Liberalizations and Efficiency: The Case of Latin America. (2016). Wong, Wing-Keung ; Chow, Sheung ; Vieito, Joo Paulo.
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  93. When noise trading fades, volatility rises. (2016). Li, Jinliang.
    In: Review of Quantitative Finance and Accounting.
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  94. Impact of Number of Security Analysts in Liquidity of Brazilian Stocks. (2016). Carrete, Liliam Sanchez ; Tavares, Rosana ; Corona, Vitor .
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    RePEc:ibn:ibrjnl:v:9:y:2016:i:11:p:105-115.

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  95. Why do companies transfer the trading compartment of their common stocks. (2016). Cisse, Abdoul Karim ; Fontaine, Patrice.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:36:y:2016:i:c:p:624-640.

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  96. Trader activities, ownership, and stock price reactions to MSCI standard index changes: Evidence from Taiwan. (2016). Shiu, Cheng-Yi ; Hung, Chung-Wen .
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:36:y:2016:i:c:p:49-63.

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  97. Long-short commodity investing: A review of the literature. (2016). Miffre, Joelle.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:1:y:2016:i:1:p:3-13.

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  98. The predictive performance of commodity futures risk factors. (2016). Ahmed, Shamim ; Tsvetanov, Daniel .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:71:y:2016:i:c:p:20-36.

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  99. Magnitudes of Market Inefficiency: Theory and Application. (2016). Miyakoshi, Tatsuyoshi ; Shimada, Junji ; Tsukuda, Yoshihiko.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:39:y:2016:i:c:p:23-36.

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  100. Liquidity, ownership concentration, corporate governance, and firm value: Evidence from Thailand. (2016). Jiraporn, Pornsit ; Prommin, Panu ; Tong, Shenghui ; Jumreornvong, Seksak .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:31:y:2016:i:c:p:73-87.

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  101. Is idiosyncratic volatility priced in commodity futures markets?. (2016). Fuertes, Ana-Maria ; Miffre, Joelle ; Fernandez-Perez, Adrian.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:46:y:2016:i:c:p:219-226.

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  102. Cost of capital changes, the quality of trading information and market architecture. (2016). Lambertides, Neophytos ; Chelley-Steeley, Patricia L.
    In: The British Accounting Review.
    RePEc:eee:bracre:v:48:y:2016:i:4:p:401-414.

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  103. Understanding FX Liquidity. (2015). Söderlind, Paul ; Ranaldo, Angelo ; Karnaukh, Nina ; Soderlind, Paul .
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  104. Debt, Information Asymmetry and Bankers on Board. (2015). de Matos, Joao Amaro ; Mergulhao, Joao .
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  105. The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension. (2015). Camilleri, Silvio.
    In: MPRA Paper.
    RePEc:pra:mprapa:63240.

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  106. Understanding FX Liquidity. (2015). Söderlind, Paul ; Ranaldo, Angelo ; Karnaukh, Nina ; Soderlind, Paul .
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:28:y:2015:i:11:p:3073-3108..

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  107. Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets. (2015). Switzer, Lorne ; Picard, Alan .
    In: Multinational Finance Journal.
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  108. Yakov Amihud-Haim Mendelson-Lasse Heje Pedersen: Market Liquidity. Asset Pricing, Risk and Crises. Cambridge University Press, Cambridge, 2013, 289 o.. (2015). Hever, Judit.
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
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  109. Unique Dividends for Retail Shareholders: Evidence from Shareholder Perks. (2015). Suzuki, Katsushi.
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  110. Stock manipulation and its effects: pump and dump versus stabilization. (2015). Cheng, Yao ; Huang, YU.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:44:y:2015:i:4:p:791-815.

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  111. The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension. (2015). Camilleri, Silvio.
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:6:y:2015:i:2:p:44-53.

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  112. Are Value, Size and Momentum Premiums in CEE Emerging Markets only Illusionary?. (2015). Zaremba, Adam ; Konieczka, Przemyslaw .
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:65:y:2015:i:1:p:84-104.

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  113. Information revelation in the Greek exchange opening call: Daily and intraday evidence. (2015). Kanas, Angelos ; Papachristou, George ; Anagnostidis, Panagiotis .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:38:y:2015:i:c:p:167-184.

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  114. The effects of non-trading on the illiquidity ratio. (2015). Steeley, James ; Lambertides, Neophytos ; Chelley-Steeley, Patricia L.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:34:y:2015:i:c:p:204-228.

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  115. Mobile Communication and Local Information Flow: Evidence from Distracted Driving Laws. (2015). Brown, Nerissa C ; White, Roger M ; Stice, Han .
    In: Journal of Accounting Research.
    RePEc:bla:joares:v:53:y:2015:i:2:p:275-329.

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  116. Non-Tradable Share Reform, Liquidity, and Stock Returns in China. (2015). Hung, Chi-Hsiou ; Fang, Victor ; Chen, Qiuliang .
    In: International Review of Finance.
    RePEc:bla:irvfin:v:15:y:2015:i:1:p:27-54.

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  117. The Role of Pre†Existing Liquidity in Determining Pricing Efficiency and Liquidity Gains Following the Introduction of SETSmm. (2015). Chelleya, Patricia L.
    In: European Financial Management.
    RePEc:bla:eufman:v:21:y:2015:i:2:p:360-376.

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  118. Liquidity Risk, Speculative Trade, and the Optimal Latency of Financial Markets. (2014). Fricke, Daniel ; Gerig, Austin.
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  119. Pre-open call auction and price discovery: Evidence from India. (2014). Acharya, Rajesh ; Gaikwad, Vishal .
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  120. Local and global illiquidity effects in the Balkans frontier markets. (2014). Milunovich, George ; Jelena Minović, .
    In: Applied Economics.
    RePEc:taf:applec:v:46:y:2014:i:31:p:3861-3873.

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  121. THE LOW PRICE EFFECT ON THE POLISH MARKET. (2014). Zaremba, Adam ; mudziski, Radosaw .
    In: e-Finanse.
    RePEc:rze:efinan:v:10:y:2014:i:1:p:69-85.

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  122. Is the Stock Market Just a Side Show? Evidence from a Structural Reform. (2014). Ribas, Rafael ; Campello, Murillo ; Wang, Albert Y.
    In: Review of Corporate Finance Studies.
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  123. Valuing Thinly-Traded Assets. (2014). Longstaff, Francis.
    In: NBER Working Papers.
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  124. Is the Stock Market Just a Side Show? Evidence from a Structural Reform. (2014). Ribas, Rafael ; Campello, Murillo ; Wang, Yan.
    In: NBER Working Papers.
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  125. A Pricing Theory under a Finite Number of Securities Issued: A Synthesis of Market Microstructure and Mathematical Finance. (2014). Yoshikawa, Daisuke ; Uchida, Yoshihiko .
    In: IMES Discussion Paper Series.
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  126. The effect of corporate governance on stock liquidity: The case of Thailand. (2014). Jiraporn, Pornsit ; Prommin, Panu ; Jumreornvong, Seksak .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:32:y:2014:i:c:p:132-142.

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  127. Measuring liquidity in emerging markets. (2014). Zhang, Huiping ; Kang, Wenjin .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:27:y:2014:i:c:p:49-71.

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  128. Volatility spreads and earnings announcement returns. (2014). Atilgan, Yigit.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:38:y:2014:i:c:p:205-215.

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  129. Industry co-movement and cross-listing: Do home country factors matter?. (2014). Lee, Chien-Chiang ; Chang, Chi-Hung ; Chen, Mei-Ping.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:32:y:2014:i:c:p:96-110.

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  130. Leveling the trading field. (2014). Ramadorai, Tarun ; Easley, David ; Hendershott, Terrence.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:17:y:2014:i:c:p:65-93.

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  131. The Microstructure of Trading Processes on the Singapore Exchange. (2013). Murphy Jun Jie Lee, .
    In: PhD Thesis.
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  132. The Microstructure of Trading Processes on the Singapore Exchange. (2013). Jie, Murphy Jun.
    In: PhD Thesis.
    RePEc:uts:finphd:2-2013.

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  133. Economic Valuation of Liquidity Timing. (2013). van der Wel, Michel ; Sojli, Elvira ; Karstanje, Dennis ; Tham, Wing Wah.
    In: Tinbergen Institute Discussion Papers.
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  134. Identifying Cross-Sided Liquidity Externalities. (2013). Sojli, Elvira ; Tham, Wing Wah ; Skjeltorp, Johannes A..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130154.

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  135. Economic valuation of liquidity timing. (2013). van der Wel, Michel ; Sojli, Elvira ; Karstanje, Dennis ; Tham, Wing Wah.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:12:p:5073-5087.

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  136. How do sovereign credit rating changes affect private investment?. (2013). Chen, Hsien-Yi ; Chang, Chong-Chuo ; Yang, Shu-Ling .
    In: Journal of Banking & Finance.
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  137. Liquidity measurement in frontier markets. (2013). Visaltanachoti, Nuttawat ; Marshall, Ben ; Nguyen, Nhut H..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:27:y:2013:i:c:p:1-12.

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  138. How do designated market makers create value for small-caps?. (2013). Menkveld, Albert ; Wang, Ting.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:3:p:571-603.

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  139. Illiquidity shocks and the comovement between stocks: New evidence using smooth transition. (2013). Savva, Christos ; Lambertides, Neophytos ; Chelley-Steeley, Patricia.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:23:y:2013:i:c:p:1-15.

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  140. Liquidity changes around bonus and rights issue announcements: Evidence from manufacturing and service sectors in India. (2012). Malhotra, Madhuri ; Gopalaswamy, Arun Kumar ; M., Thenmozhi, .
    In: MPRA Paper.
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  141. Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?. (2012). Voronkova, Svitlana .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:13:y:2012:i:1:p:8-25.

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  142. The Value of Control and the Costs of Illiquidity. (2012). Albuquerque, Rui ; Schroth, Enrique.
    In: CEPR Discussion Papers.
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  143. Identifying cross-sided liquidity externalities. (2012). Sojli, Elvira ; Skjeltorp, Johannes ; Tham, Wing Wah.
    In: Working Paper.
    RePEc:bno:worpap:2012_20.

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  144. An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis. (2011). Vo, Xuan Vinh ; Batten, Jonathan.
    In: MPRA Paper.
    RePEc:pra:mprapa:29862.

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  145. Changes in REIT Liquidity 1988–2007: Evidence from Daily Data. (2011). Cole, Rebel ; Cannon, Susanne .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:43:y:2011:i:1:p:258-280.

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  146. Liquidity Measuring of Financial Market in Western Balkan Region: The Case of Serbia. (2011). Minovic, Jelena .
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  147. Liquidity and capital structure: The case of Thailand. (2011). Jiraporn, Pornsit ; Jumreornvong, Seksak ; Udomsirikul, Prasit .
    In: Journal of Multinational Financial Management.
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  148. Share issuance and cash savings. (2011). McLean, R. David.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:3:p:693-715.

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  149. Missing the marks? Dispersion in corporate bond valuations across mutual funds. (2011). Cici, Gjergji ; Gibson, Scott ; Merrick, John J..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:101:y:2011:i:1:p:206-226.

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  150. Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio. (2011). KOSTAKIS, ALEXANDROS ; Florackis, Chris ; Gregoriou, Andros.
    In: Journal of Banking & Finance.
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  151. On the High-Frequency Dynamics of Hedge Fund Risk Exposures. (2011). Ramadorai, Tarun ; Patton, Andrew.
    In: CEPR Discussion Papers.
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  152. The Effect of the 2006 Market Makers Reform on the Liquidity of Local-Currency Unindexed Israeli Government Bonds in the Secondary Market. (2011). Gamrasni, Inon.
    In: Bank of Israel Working Papers.
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  153. Why Do Companies Pay Stock Dividends? The Case of Bonus Distributions in an Inflationary Environment. (2011). Lasfer, Meziane ; Adaoglu, Cahit .
    In: Journal of Business Finance & Accounting.
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  154. Trading Mechanisms and Market Quality: Call Markets versus Continuous Auction Markets. (2011). Kuo, Weiyu ; Li, YuChing .
    In: International Review of Finance.
    RePEc:bla:irvfin:v:11:y:2011:i:4:p:417-444.

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  155. The Impact of Short-Sales Constraints on Liquidity and the Liquidity-Return Relations. (2010). Chuang, Wen-I, ; Lee, Hsiu-Chuan.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:18:y:2010:i:5:p:521-535.

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  156. Inter-temporal variation in the illiquidity premium. (2010). Moorman, Ted ; Jensen, Gerald R..
    In: Journal of Financial Economics.
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  157. Efficiency and the trading system: The case of SETSmm. (2010). Chelley-Steeley, Patricia ; Skvortsov, Leonid .
    In: Journal of International Financial Markets, Institutions and Money.
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  158. On the Dynamics of Hedge Fund Risk Exposures. (2010). Ramadorai, Tarun ; Patton, Andrew.
    In: CEPR Discussion Papers.
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  159. Why Do Price Limits Exist in Stock Markets? A Manipulation†Based Explanation. (2010). Kim, Kenneth A ; Park, Jungsoo.
    In: European Financial Management.
    RePEc:bla:eufman:v:16:y:2010:i:2:p:296-318.

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  160. The impact of the suspension of opening and closing call auctions: Evidence from the National Stock Exchange of India. (2009). Camilleri, Silvio ; Green, Christopher J.
    In: MPRA Paper.
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  161. The impact of the suspension of opening and closing call auctions: Evidence from the National Stock Exchange of India. (2009). Camilleri, Silvio ; Green, Christopher .
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  162. Stock splits in a neutral transaction cost environment: Evidence from the Athens Stock Exchange. (2009). Leledakis, George ; Papaioannou, George J. ; Tsangarakis, Nickolaos V. ; Travlos, Nickolaos G..
    In: Journal of Multinational Financial Management.
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  163. Do liquidity measures measure liquidity?. (2009). Trzcinka, Charles ; Goyenko, Ruslan Y. ; Holden, Craig W..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:92:y:2009:i:2:p:153-181.

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  164. Evaluation periods and asset prices: Myopic loss aversion at the financial marketplace. (2009). Kliger, Doron ; Levit, Boris.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:71:y:2009:i:2:p:361-371.

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  165. Financial reforms and time-varying microstructures in emerging equity markets. (2009). Lagoarde-Segot, Thomas.
    In: Journal of Banking & Finance.
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  166. Price synchronicity: The closing call auction and the London stock market. (2009). Chelley-Steeley, Patricia.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:5:p:777-791.

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  167. Cleaning house: Stock reassignments on the NYSE. (2009). Chakravarty, Sugato ; Anand, Amber ; Chuwonganant, Chairat .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:12:y:2009:i:4:p:727-753.

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  168. Liquidity and capital structure. (2009). Lipson, Marc L. ; Mortal, Sandra .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:12:y:2009:i:4:p:611-644.

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  169. Stock exchange merger and liquidity: The case of Euronext. (2009). Nielsson, Ulf.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:12:y:2009:i:2:p:229-267.

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  170. Determination of stock closing prices and hedging performance with stock indices futures. (2009). Chien, Cheng-Yi ; Liao, Tzu-Hsiang ; Lee, Hsiu-Chuan.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:49:y:2009:i:4:p:827-847.

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  172. Efficiency across Time: Evidence from the Nigerian Stock Exchange. (2008). Kalu O., Emenike.
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  173. Complimentary Tickets, Stock Liquidity, and Stock Prices: Evidence from Japan. (2008). Suzuki, Katsushi ; Yamaguchi, Satoru ; Isagawa, Nobuyuki .
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  174. The euro: Did the markets cheer or jeer?. (2008). Green, Christopher ; Bai, YE.
    In: Journal of Policy Modeling.
    RePEc:eee:jpolmo:v:30:y:2008:i:3:p:431-446.

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  175. A tale of two prices: Liquidity and asset prices in multiple markets. (2008). Chan, Justin S. P., ; Subrahmanyam, Marti G. ; Hong, Dong.
    In: Journal of Banking & Finance.
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  176. Market quality changes in the London Stock Market. (2008). Chelley-Steeley, Patricia.
    In: Journal of Banking & Finance.
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  177. How does the call market method affect price efficiency? Evidence from the Singapore Stock Market. (2008). Rhee, Ghon S. ; Chang, Rosita P. ; Tang, Ning ; Stone, Gregory R..
    In: Journal of Banking & Finance.
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  9. The Impact of the Suspension of Opening and Closing Call. (2004). Green, Christopher ; Camilleri, Silvio.
    In: Finance.
    RePEc:wpa:wuwpfi:0411012.

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  10. A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange. (2004). Ekinci, Cumhur.
    In: Finance.
    RePEc:wpa:wuwpfi:0305006.

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  11. Cancellation and Uncertainty Aversion on Limit Order Books. (2004). Large, Jeremy.
    In: Economics Papers.
    RePEc:nuf:econwp:045.

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  12. Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off. (2004). Kamstra, Mark ; Donaldson, Glen.
    In: FRB Atlanta Working Paper.
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  13. High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market. (2004). Tyurin, Konstantin.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:579.

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  14. Comovements in Trading activity: A Multivariate Autoregressive Model of Time Series Count Data Using Copulas. (2004). Heinen, Andréas ; Rengifo, Erick .
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:755.

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  15. The Effects of Economic News on Bond Market Liquidity. (2004). D'Souza, Chris ; Gaa, Charles.
    In: Staff Working Papers.
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  16. Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media. (2003). Schuster, Thomas.
    In: Finance.
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  17. Futures trading activity and stock price volatility: some extensions. (2003). Song, Frank ; Chatrath, A. ; Adrangi, B..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:9:p:655-664.

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  18. The role of information in Hong Kong individual stock futures trading. (2003). McKenzie, M. D. ; Brooks, R. D..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:2:p:123-131.

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  19. An Information-Based Trade Off Between Foreign Direct Investment and Foreign Portfolio Investment: Volatility, Transparency, and Welfare. (2003). Razin, Assaf ; Goldstein, Itay.
    In: NBER Working Papers.
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  20. Presión sobre los precios en las revisiones del índice IBEX35. (2003). Gomez Sala, Juan ; Yzaguirre, Jorge.
    In: Investigaciones Economicas.
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  21. Limit Order Book as a Market for Liquidity. (2003). Kandel, Eugene ; Foucault, Thierry ; Kadan, Ohad.
    In: Discussion Paper Series.
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  22. Dealer Behavior and Trading Systems in Foreign Exchange Markets. (2003). Rime, Dagfinn ; Bjønnes, Geir ; Bjonnes, Geir Hoidal.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0017.

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  23. The use of flow analysis in foreign exchange: exploratory evidence. (2003). Menkhoff, Lukas ; Gehrig, Thomas.
    In: Hannover Economic Papers (HEP).
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  24. When is inter-transaction time informative?. (2003). Furfine, Craig .
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-03-04.

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  25. Transmission of information across international equity markets. (2003). Wongswan, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:759.

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  26. Nonparametric specification tests for conditional duration models. (2003). Grammig, Joachim ; Fernandes, Marcelo.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:502.

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  27. Time-Varying Arrival Rates of Informed and Uninformed Trades. (2002). Wu, Liuren ; Engle, Robert ; Easley, David.
    In: Finance.
    RePEc:wpa:wuwpfi:0207017.

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  28. Stealth-Trading: Which Traders Trades Move Stock Prices?. (2002). Chakravarty, Sugato.
    In: Finance.
    RePEc:wpa:wuwpfi:0201003.

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  29. Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?. (2002). Chakravarty, Sugato ; Frederick H. deB. Harris, ; Wood, Robert A. ; Frederick H. deB. Harris, .
    In: Econometrics.
    RePEc:wpa:wuwpem:0201003.

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  30. Market Liquidity as a Sentiment Indicator. (2002). Stein, Jeremy ; Baker, Malcolm.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8816.

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  31. The market for ADRs and the quality of the Brazilian stock market. (2001). Sanvicente, Antonio.
    In: Finance Lab Working Papers.
    RePEc:ibm:finlab:flwp_42.

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  32. FX trading ... LIVE! : dealer behavior and trading systems in foreign exchange markets. (2000). Rime, Dagfinn ; Bjonnes, H..
    In: Memorandum.
    RePEc:hhs:osloec:2000_029.

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  33. The role of financial reporting in reducing financial risks in the market. (2000). KOTHARI, S. P..
    In: Conference Series ; [Proceedings].
    RePEc:fip:fedbcp:y:2000:i:jun:p:89-112:n:44.

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  34. Durations, Volume and the Prediction of Financial Returns in Transaction Time. (2000). Hafner, Christian.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0599.

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  35. Private Information and Trade Timing. (2000). Smith, Lones.
    In: American Economic Review.
    RePEc:aea:aecrev:v:90:y:2000:i:4:p:1012-1018.

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  36. Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions. (1999). Hautsch, Nikolaus.
    In: Finance.
    RePEc:wpa:wuwpfi:9904002.

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  37. LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market. (1999). Wong, Woon ; Copeland, Laurence.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:5:y:1999:i:2:p:123-139.

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  38. The Market Microstructure of Central Bank Intervention. (1999). Dominguez, Kathryn.
    In: NBER Working Papers.
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  39. Intervention as information: a survey. (1999). Humpage, Owen ; Baillie, Richard ; Osterberg, William P..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:9918.

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  40. Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model. (1998). Engle, Robert ; Russell, Jeffrey R..
    In: CRSP working papers.
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  41. An analysis of brokers trading with applications to order flow internalization and off-exchange sales. (1998). Sarkar, Asani ; Chakravarty, Sugato.
    In: Research Paper.
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  42. Is There Private Information in the FX Market? The Tokyo Experiment.. (1997). Lyons, Richard ; Ito, Takatoshi ; Melvin, Michael T..
    In: Research Program in Finance Working Papers.
    RePEc:ucb:calbrf:rpf-270.

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  43. Is There Private Information in the FX Market? The Tokyo Experiment. (1997). Melvin, Michael ; Lyons, Richard ; Ito, Takatoshi.
    In: NBER Working Papers.
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  44. Trading Volume and Autocorrelation: Empirical Evidence from the Stockholm Stock Exchange. (1997). Safvenblad, Patrik.
    In: SSE/EFI Working Paper Series in Economics and Finance.
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  45. Is there private information in the FX market? the Tokyo experiment. (1997). Lyons, Richard ; Ito, Takatoshi ; Melvin, Michael T..
    In: Pacific Basin Working Paper Series.
    RePEc:fip:fedfpb:97-04.

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  46. Public Information Arrival, Exchange Rate Volatility, and Quote Frequency. (1996). Melvin, Michael ; Yin, Xixi.
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    RePEc:wop:astewp:9601.

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  47. Dynamic Equilibrium and Volatility in Financial Asset Markets. (1996). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
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  48. Long-Lived Information and Intraday Patterns. (1995). Back, Kerry ; Pedersen, Hal.
    In: Finance.
    RePEc:wpa:wuwpfi:9507009.

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  49. Long-Lived Information and Intraday Patterns. (1995). Back, Kerry ; Pedersen, Hal.
    In: Finance.
    RePEc:wpa:wuwpfi:9507008.

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    In: SSE/EFI Working Paper Series in Economics and Finance.
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