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Trading mechanisms and return volatility: An empirical analysis of the stock exchange of Thailand

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  • Shastri, Karen A.
  • Shastri, Kuldeep
  • Sirodom, Kulpatra

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Suggested Citation

  • Shastri, Karen A. & Shastri, Kuldeep & Sirodom, Kulpatra, 1995. "Trading mechanisms and return volatility: An empirical analysis of the stock exchange of Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 357-370, July.
    • Handle: RePEc:eee:pacfin:v:3:y:1995:i:2-3:p:357-370
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    References listed on IDEAS

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    1. Amihud, Yakov & Mendelson, Haim, 1991. "Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market," Journal of Finance, American Finance Association, vol. 46(5), pages 1765-1789, December.
    2. Amihud, Yakov & Mendelson, Haim, 1987. "Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-553, July.
    3. Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 37-71.
    4. Amihud, Yakov & Mendelson, Haim, 1989. "Market microstructure and price discovery on the Tokyo Stock Exchange," Japan and the World Economy, Elsevier, vol. 1(4), pages 341-370, November.
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    Cited by:

    1. Silvio John Camilleri & Christopher J. Green, 2004. "The Impact of the Suspension of Opening and Closing Call," Finance 0411012, University Library of Munich, Germany.
    2. Camilleri, Silvio John, 2015. "Do call auctions curtail price volatility? Evidence from the National Stock Exchange of India," MPRA Paper 95301, University Library of Munich, Germany.
    3. Silvio John Camilleri & Christopher J. Green, 2009. "The impact of the suspension of opening and closing call auctions: evidence from the National Stock Exchange of India," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(3), pages 257-284.

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