An Examination of the Role of Time and its Impact on Price Revision
Author
Abstract
Suggested Citation
DOI: 10.1177/031289620503000206
Download full text from publisher
References listed on IDEAS
- Fletcher, Roy A, 1995. "The Role of Information and the Time between Trades: An Empirical Investigation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 239-260, Summer.
- Glosten, Lawrence R. & Milgrom, Paul R., 1985.
"Bid, ask and transaction prices in a specialist market with heterogeneously informed traders,"
Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
- Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Engle, Robert F. & Lange, Joe, 2001. "Predicting VNET: A model of the dynamics of market depth," Journal of Financial Markets, Elsevier, vol. 4(2), pages 113-142, April.
- Roy A. Fletcher, 1995. "The Role Of Information And The Time Between Trades: An Empirical Investigation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 239-260, June.
- Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, vol. 18(2), pages 277-311, June.
- Chan, K C & Christie, William G & Schultz, Paul H, 1995. "Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities," The Journal of Business, University of Chicago Press, vol. 68(1), pages 35-60, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- repec:bla:jecsur:v:22:y:2008:i:4:p:711-751 is not listed on IDEAS
- Zhao, Yan & Cheng, Lee-Young & Chang, Chong-Chuo & Ni, Cih-Ying, 2013. "Short sales, margin purchases and bid–ask spreads," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 199-220.
- Baruch, Shmuel & Panayides, Marios & Venkataraman, Kumar, 2017. "Informed trading and price discovery before corporate events," Journal of Financial Economics, Elsevier, vol. 125(3), pages 561-588.
- Hong Liu & Yajun Wang, 2019. "Asset Pricing Implications of Short-Sale Constraints in Imperfectly Competitive Markets," Management Science, INFORMS, vol. 65(9), pages 4422-4439, September.
- Alessandro Beber & Marco Pagano, 2013.
"Short-Selling Bans Around the World: Evidence from the 2007–09 Crisis,"
Journal of Finance, American Finance Association, vol. 68(1), pages 343-381, February.
- Pagano, Marco & Beber, Alessandro, 2009. "Short-Selling Bans around the World: Evidence from the 2007-09 Crisis," CEPR Discussion Papers 7557, C.E.P.R. Discussion Papers.
- Alessandro Beber & Marco Pagano, 2010. "Short-Selling Bans around the World: Evidence from the 2007-09 Crisis," Tinbergen Institute Discussion Papers 10-106/2/DSF 1, Tinbergen Institute.
- Alessandro Beber & Marco Pagano, 2009. "Short-Selling Bans around the World: Evidence from the 2007-09 Crisis," CSEF Working Papers 241, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 03 Sep 2011.
- Jun Muranaga, 1999. "Dynamics of Market Liquidity of Japanese Stocks: An Analysis of Tick-by-Tick Data of the Tokyo Stock Exchange," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-25, Bank for International Settlements.
- Shai Levi & Xiao-Jun Zhang, 2015. "Do Temporary Increases in Information Asymmetry Affect the Cost of Equity?," Management Science, INFORMS, vol. 61(2), pages 354-371, February.
- Malinova, Katya & Park, Andreas, 2014. "The impact of competition and information on intraday trading," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 55-71.
- Patrick J. Kelly, 2014.
"Information Efficiency and Firm-Specific Return Variation,"
Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(04), pages 1-44.
- Patrick J. Kelly, 2014. "Information Efficiency and Firm-Specific Return Variation," Working Papers w0208, New Economic School (NES).
- Patrick J. Kelly, 2014. "Information Efficiency and Firm-Specific Return Variation," Working Papers w0208, Center for Economic and Financial Research (CEFIR).
- LOVO, Stefano & DECAMPS, Jean-Paul, 2002.
"Risk aversion and herd behavior in financial markets,"
HEC Research Papers Series
758, HEC Paris.
- Jean-Paul Decamps & Stefano Lovo, 2002. "Risk Aversion and Herd Behavior in Financial Markets," Working Papers hal-00593657, HAL.
- Décamps, Jean-Paul & Lovo, Stefano, 2003. "Risk Aversion and Herd Behavior in Financial Markets," IDEI Working Papers 246, Institut d'Économie Industrielle (IDEI), Toulouse.
- Décamps, Jean-Paul & Lovo, Stefano, 2003.
"Market Informational Inefficiency, Risk Aversion and Quantity Grid,"
IDEI Working Papers
177, Institut d'Économie Industrielle (IDEI), Toulouse.
- Jean-Paul Decamps & Stefano Lovo, 2003. "Market Informational Inefficiency, Risk Aversion and Quantity Grid," Working Papers hal-00592016, HAL.
- LOVO, Stefano & DECAMPS, Jean-Paul, 2003. "Market informational inefficiency, risk aversion and quantity grid," HEC Research Papers Series 770, HEC Paris.
- Chung, Kee H. & Van Ness, Robert A., 2001. "Order handling rules, tick size, and the intraday pattern of bid-ask spreads for Nasdaq stocks," Journal of Financial Markets, Elsevier, vol. 4(2), pages 143-161, April.
- Yang, Joey Wenling, 2011. "Transaction duration and asymmetric price impact of trades--Evidence from Australia," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 91-102, January.
- Choi, Darwin, 2019. "Disposition sales and stock market liquidity," Journal of Financial Markets, Elsevier, vol. 45(C), pages 19-36.
- Jank, Stephan & Roling, Christoph & Smajlbegovic, Esad, 2021.
"Flying under the radar: The effects of short-sale disclosure rules on investor behavior and stock prices,"
Journal of Financial Economics, Elsevier, vol. 139(1), pages 209-233.
- Jank, Stephan & Roling, Christoph & Smajlbegovic, Esad, 2016. "Flying under the radar: The effects of short-sale disclosure rules on investor behavior and stock prices," Discussion Papers 25/2016, Deutsche Bundesbank.
- Ibrahim, Boulis Maher & Kalaitzoglou, Iordanis Angelos, 2016. "Why do carbon prices and price volatility change?," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 76-94.
- repec:grz:wpsses:2021-03 is not listed on IDEAS
- Katya Malinova & Andreas Park, 2009. "Intraday Trading Patterns: The Role of Timing," Working Papers tecipa-365, University of Toronto, Department of Economics.
- Alejandro Bernales & Massimo Guidolin, 2013. "The Effects of Information Asymmetries on the Success of Stock Option Listings," Working Papers 484, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Helena, BELTRAN & Alain, DURRE & Pierre, GIOT, 2004.
"Volatility regimes and the provisions of liquidity in order book markets,"
Discussion Papers (ECON - Département des Sciences Economiques)
2005015, Université catholique de Louvain, Département des Sciences Economiques.
- A. Durre & H. Beltran & P. Giot, 2005. "Volatility regimes and the provision of liquidity in order book markets," Post-Print hal-00268757, HAL.
- A. Durre & H. Beltran & P. Giot, 2006. "Volatility regimes and the provision of liquidity in order book markets," Post-Print hal-00260906, HAL.
- A. Durre & H. Beltran & P. Giot, 2006. "Volatility regimes and the provision of liquidity in order book markets," Post-Print hal-00260870, HAL.
- BELTRAN, Helena & DURRE, Alain & GIOT, Pierre, 2005. "Volatility regimes and the provision of liquidity in order book markets," LIDAM Discussion Papers CORE 2005012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- A. Durre & H. Beltran & P. Giot, 2005. "Volatility regimes and the provision of liquidity in order book markets," Post-Print hal-00268760, HAL.
- Imen Kouki & Mahfuzul Haque, 2009. "Tunisian Dealer Behaviour in FX Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(3), pages 265-287, September.
- Julio A. Crego, 2017. "Short Selling Ban and Intraday Dynamics," Working Papers wp2018_1715, CEMFI.
More about this item
Keywords
AUTOREGRESSIVE; DURATION; STOCHASTIC PROCESS;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sae:ausman:v:30:y:2005:i:2:p:283-301. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: SAGE Publications (email available below). General contact details of provider: http://www.agsm.edu.au .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.