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Seha M. Tinic

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Brown, Keith C. & Harlow, W. V. & Tinic, Seha M., 1993. "The Risk and Required Return of Common Stock following Major Price Innovations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(1), pages 101-116, March.

    Cited by:

    1. Cano Rodríguez, Manuel, 2002. "Las tres caras del riesgo estratégico: riesgo sistemático, riesgo táctico y riesgo idiosincrásico," DEE - Documentos de Trabajo. Economía de la Empresa. DB db021508, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    2. Rezvanian, Rasoul & Turk, Rima A. & Mehdian, Seyed M., 2011. "Investors' reactions to sharp price changes: Evidence from equity markets of the People's Republic of China," Global Finance Journal, Elsevier, vol. 22(1), pages 1-18.
    3. Darko B. Vukovic & Orifjon O. U. Kurbonov & Moinak Maiti & Mustafa Özer & Milan Radovanovic, 2024. "Outperforming the market: a comparison of Star and NonStar analysts’ investment strategies and recommendations," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-15, December.
    4. Foort, HAMELINK, 1998. "Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse," HEC Research Papers Series 655, HEC Paris.
    5. Júlio Lobão & Maria Eva Jerke, 2020. "Short-term Overreaction in American Depository Receipts," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(4), pages 423-435, December.
    6. Amini, Shima & Hudson, Robert & Keasey, Kevin, 2010. "Stock return predictability despite low autocorrelation," Economics Letters, Elsevier, vol. 108(1), pages 101-103, July.
    7. Mehdian, Seyed & Nas, Tevfik & Perry, Mark J., 2008. "An examination of investor reaction to unexpected political and economic events in Turkey," Global Finance Journal, Elsevier, vol. 18(3), pages 337-350.
    8. Fareiny Morni & Erimalida Yazi, 2021. "Stock Market Reaction to Political Regime Change in Malaysia," Capital Markets Review, Malaysian Finance Association, vol. 29(2), pages 1-11.
    9. Liam Ison & Robert Hudson, 2017. "Stock predictability and preceding stock price changes – evidence from central and eastern european markets," Economics Bulletin, AccessEcon, vol. 37(2), pages 733-740.
    10. Lo, Andrew W & Wang, Jiang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," The Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 257-300.
    11. Dissanaike, Gishan, 1996. "Are stock price reversals really asymmetric? A note," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 189-201, January.
    12. Andrew W. Lo & Jiang Wang, 2001. "Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model," NBER Working Papers 8565, National Bureau of Economic Research, Inc.
    13. Jarl G. Kallberg & Paolo Pasquariello, 2005. "An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets," The Journal of Business, University of Chicago Press, vol. 78(1), pages 169-212, January.
    14. Pantzalis, Christos & Stangeland, David A. & Turtle, Harry J., 2000. "Political elections and the resolution of uncertainty: The international evidence," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1575-1604, October.
    15. Amini, Shima & Gebka, Bartosz & Hudson, Robert & Keasey, Kevin, 2013. "A review of the international literature on the short term predictability of stock prices conditional on large prior price changes: Microstructure, behavioral and risk related explanations," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 1-17.
    16. Rezvanian Rasoul & Klaczynska Ewelina & Krysiak Zbigniew, 2015. "Equity Market Reaction to Sharp Price Changes: Evidence from Poland," Scientific Annals of Economics and Business, Sciendo, vol. 62(2), pages 169-190, July.
    17. Hudson, Robert S. & Gregoriou, Andros, 2015. "Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 151-162.
    18. Paula Hill & Robert Faff, 2010. "The Market Impact of Relative Agency Activity in the Sovereign Ratings Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(9‐10), pages 1309-1347, November.
    19. Yochanan Shachmurove, 2001. "Tests of Financial Markets Efficiency for Thirteen Small European Countries," Penn CARESS Working Papers eda175263851a1d10f52acc29, Penn Economics Department.
    20. Soner AKKOC & Nasif OZKAN, 2013. "An Empirical Investigation of the Uncertain Information Hypothesis: Evidence From Borsa Istanbul," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 7(2), pages 101-119.
    21. Daniel Folkinshteyn & Gulser Meric & Ilhan Meric, 2015. "Investor Reaction In Stock Market Crashes And Post-Crash Market Reversals," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(5), pages 57-70.

  2. Brown, Keith C. & Harlow, W. V. & Tinic, Seha M., 1988. "Risk aversion, uncertain information, and market efficiency," Journal of Financial Economics, Elsevier, vol. 22(2), pages 355-385, December.

    Cited by:

    1. Dreher, Axel & Moser, Christoph, 2008. "Do Markets Care About Central Bank Governor Changes? Evidence from Emerging Markets," Proceedings of the German Development Economics Conference, Zurich 2008 29, Verein für Socialpolitik, Research Committee Development Economics.
    2. Refk Selmi & Jamal Bouoiyour, 2020. "The financial costs of political uncertainty: Evidence from the 2016 US presidential elections," Scottish Journal of Political Economy, Scottish Economic Society, vol. 67(2), pages 166-185, May.
    3. Andrey Kudryavtsev, 2021. "Stock Price Dynamics Surrounding Company-Specific Shocks," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 7, pages 32-45.
    4. Savor, Pavel G., 2012. "Stock returns after major price shocks: The impact of information," Journal of Financial Economics, Elsevier, vol. 106(3), pages 635-659.
    5. Mynhardt, H. R. & Plastun, Alex, 2013. "The Overreaction Hypothesis: The Case of Ukrainian Stock Market," MPRA Paper 58941, University Library of Munich, Germany.
    6. David Le Bris, 2012. "Stock Returns, Governments and Market Foresight in France, 1871-2008," Working Papers CEB 12-007, ULB -- Universite Libre de Bruxelles.
    7. Marie‐Claude Beaulieu & Jean‐Claude Cosset & Naceur Essaddam, 2006. "Political uncertainty and stock market returns: evidence from the 1995 Quebec referendum," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 39(2), pages 621-642, May.
    8. Guglielmo Maria Caporale & Alex Plastun, 2019. "Price overreactions in the cryptocurrency market," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 46(5), pages 1137-1155, August.
    9. Rezvanian, Rasoul & Turk, Rima A. & Mehdian, Seyed M., 2011. "Investors' reactions to sharp price changes: Evidence from equity markets of the People's Republic of China," Global Finance Journal, Elsevier, vol. 22(1), pages 1-18.
    10. Nguyen, Tien-Trung & Wu, Yang-Che & Ke, Mei-Chu & Liao, Tung Liang, 2022. "Can direct government intervention save the stock market?," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 271-284.
    11. Junni L. Zhang & Wolfgang Karl Hardle & Cathy Y. Chen & Elisabeth Bommes, 2020. "Distillation of News Flow into Analysis of Stock Reactions," Papers 2009.10392, arXiv.org.
    12. Angosto-Fernández Pedro Luis & Ferrández-Serrano Victoria, 2022. "World capital markets facing the first wave of COVID-19: Traditional event study versus sensitivity to new cases," Economics and Business Review, Sciendo, vol. 8(4), pages 5-38, December.
    13. Prajwal Eachempati & Praveen Ranjan Srivastava, 2021. "Accounting for unadjusted news sentiment for asset pricing," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 13(3), pages 383-422, May.
    14. Balasingham Balachandran & John Cadle & Michael Theobald, 1996. "Interim dividend cuts and omissions in the UK," European Financial Management, European Financial Management Association, vol. 2(1), pages 23-38, March.
    15. Delia DiaconaÅŸu & Seyed Mehdian & Ovidiu Stoica, 2023. "The Global Stock Market Reactions to the 2016 U.S. Presidential Election," SAGE Open, , vol. 13(2), pages 21582440231, June.
    16. Liu, Chao-Shin & Ziebart, David A., 1999. "Anomalous security price behavior following management earnings forecasts," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 405-429, October.
    17. Achim Himmelmann & Dirk Schiereck & Marc Simpson & Moritz Zschoche, 2012. "Long-term reactions to large stock price declines and increases in the European stock market: a note on market efficiency," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 400-423, April.
    18. Styliani Panetsidou & Angelos Synapis & Ioannis Tsalavoutas, 2022. "Price run-ups and insider trading laws under different regulatory environments," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 601-639, August.
    19. Bhattacharya, Utpal & Daouk, Hazem & Jorgenson, Brian & Kehr, Carl-Heinrich, 1998. "When an event is not an event: The curious case of an emerging market," CFS Working Paper Series 1998/12, Center for Financial Studies (CFS).
    20. Foort, HAMELINK, 1998. "Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse," HEC Research Papers Series 655, HEC Paris.
    21. Jamal Bouoiyour & Refk Selmi, 2016. "Are UK industries resilient in dealing with uncertainty? The case of Brexit," Working Papers hal-01880322, HAL.
    22. R. Jared DeLisle & Mengying Wang & H. Zafer Yüksel & Gulnara R. Zaynutdinova, 2024. "The effects of import competition on domestic financial markets: The role of limits-to-arbitrage," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 55(2), pages 212-234, March.
    23. Shreekant Gupta & Bishwanath Goldar & Shubham Dang, 2019. "Environmental Performance And Capital Markets--Evidence From India," Working papers 303, Centre for Development Economics, Delhi School of Economics.
    24. Ising, Jan & Schiereck, Dirk & Simpson, Marc W. & Thomas, Thomas W., 2006. "Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 598-619, September.
    25. Mills, Brian M. & Salaga, Steven, 2018. "A natural experiment for efficient markets: Information quality and influential agents," Journal of Financial Markets, Elsevier, vol. 40(C), pages 23-39.
    26. Hassan, Omaima A.G. & Romilly, Peter & Giorgioni, Gianluigi & Power, David, 2009. "The value relevance of disclosure: Evidence from the emerging capital market of Egypt," The International Journal of Accounting, Elsevier, vol. 44(1), pages 79-102, March.
    27. Shuxing Yin & Khelifa Mazouz & Abdelhafid Benamraoui & Brahim Saadouni, 2018. "Stock price reaction to profit warnings: the role of time-varying betas," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 67-93, January.
    28. M. T. Allen & C. K. Ma & R. D. Pace, 1994. "Over‐Reactions In Us Agricultural Commodity Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 45(2), pages 240-251, May.
    29. Kiesel, Florian & Kolaric, Sascha & Schiereck, Dirk, 2016. "Market integration and efficiency of CDS and equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 209-229.
    30. Minye Zhang & Yongheng Deng, 2010. "Is the Mean Return of Hotel Real Estate Stocks Apt to Overreact to Past Performance?," The Journal of Real Estate Finance and Economics, Springer, vol. 40(4), pages 497-543, May.
    31. Nguyen, Phuc Lam Thy & Alsakka, Rasha & Mantovan, Noemi, 2023. "Political preferences and stock markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
    32. Flore, Christian & Degryse, Hans & Kolaric, Sascha & Schiereck, Dirk, 2021. "Forgive me all my sins: How penalties imposed on banks travel through markets," Journal of Corporate Finance, Elsevier, vol. 68(C).
    33. Charles O. Manasseh & Chukwuka Kenneth Ozuzu & Jonathan E. Ogbuabor, 2016. "Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1474-1490.
    34. Pham, Huy Nguyen Anh & Ramiah, Vikash & Moosa, Nisreen & Huynh, Tam & Pham, Nhi, 2018. "The financial effects of Trumpism," Economic Modelling, Elsevier, vol. 74(C), pages 264-274.
    35. Dyl, Edward A. & Yuksel, H. Zafer & Zaynutdinova, Gulnara R., 2019. "Price reversals and price continuations following large price movements," Journal of Business Research, Elsevier, vol. 95(C), pages 1-12.
    36. Jennifer Francis & Ryan Lafond & Per Olsson & Katherine Schipper, 2007. "Information Uncertainty and Post‐Earnings‐Announcement‐Drift," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(3‐4), pages 403-433, April.
    37. Amini, Shima & Hudson, Robert & Keasey, Kevin, 2010. "Stock return predictability despite low autocorrelation," Economics Letters, Elsevier, vol. 108(1), pages 101-103, July.
    38. Sei‐Wan Kim & Bong‐Soo Lee, 2008. "Stock Returns, Asymmetric Volatility, Risk Aversion, And Business Cycle: Some New Evidence," Economic Inquiry, Western Economic Association International, vol. 46(2), pages 131-148, April.
    39. Jamal Bouoiyour & Refk Selmi, 2017. "The Price of Political Uncertainty: Evidence from the 2016 U.S. Presidential Election and the U.S. Stock Markets," Working Papers hal-01419295, HAL.
    40. Chun-Teck Lye & Tuan-Hock Ng & Kwee-Pheng Lim & Chin-Yee Gan, 2020. "Investor protection and market reaction to unusual market activity replies," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 16(8), pages 2034-2069, July.
    41. Marc Audi & Fiaz Ahmad Sulehri & Amjad Ali & Razan Al-Masri, 2022. "An Event Based Analysis of Stock Return and Political Uncertainty in Pakistan: Revisited," International Journal of Economics and Financial Issues, Econjournals, vol. 12(5), pages 39-56, September.
    42. Andres Guiral & Doocheol Moon & Hun‐Tong Tan & Yao Yu, 2020. "What Drives Investor Response to CSR Performance Reports?," Contemporary Accounting Research, John Wiley & Sons, vol. 37(1), pages 101-130, March.
    43. Vinicius Ratton Brandi, 2020. "Short-Term Predictability of Stock Market Indexes following Large Drawdowns and Drawups," Working Papers Series 529, Central Bank of Brazil, Research Department.
    44. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2014. "Short-Term Price Overreactions: Identification, Testing, Exploitation," CESifo Working Paper Series 5066, CESifo.
    45. Lasfer, M. Ameziane & Melnik, Arie & Thomas, Dylan C., 2003. "Short-term reaction of stock markets in stressful circumstances," Journal of Banking & Finance, Elsevier, vol. 27(10), pages 1959-1977, October.
    46. Graham, Roger C. & Morrill, Cameron K.J. & Morrill, Janet B., 2012. "Does it matter where assets are held and income is derived? Further evidence of differential value relevance from Quebec," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 21(2), pages 185-197.
    47. Pasaribu, Rowland Bismark Fernando, 2010. "Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45 [Overreaction Anomaly in Indonesia Stock Exchange: Case Study of LQ-45 Stocks]," MPRA Paper 36998, University Library of Munich, Germany.
    48. Matthew J. Clayton & Jay C. Hartzell & Joshua V. Rosenberg, 2003. "The impact of CEO turnover on equity volatility," Staff Reports 166, Federal Reserve Bank of New York.
    49. Hui Guo, 2003. "Stock prices, firm size, and changes in the federal funds rate target," Working Papers 2002-004, Federal Reserve Bank of St. Louis.
    50. Guglielmo Maria Caporale & Alex Plastun, 2020. "Momentum effects in the cryptocurrency market after one-day abnormal returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 251-266, September.
    51. Aggarwal, Raj & Schirm, David C., 1998. "Asymmetric impact of trade balance news on asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 83-100, January.
    52. Neilson, Jed J., 2022. "Investor information gathering and the resolution of uncertainty," Journal of Accounting and Economics, Elsevier, vol. 74(1).
    53. Kurov, Alexander & Wolfe, Marketa Halova & Gilbert, Thomas, 2021. "The disappearing pre-FOMC announcement drift," Finance Research Letters, Elsevier, vol. 40(C).
    54. Alex Plastun & Xolani Sibande & Rangan Gupta & Qiang Ji, 2022. "Price Effects After One-Day Abnormal Returns and Crises in the Stock Markets," Working Papers 202222, University of Pretoria, Department of Economics.
    55. Hung-Gay Fung & Wai K. Leung & Gary A. Patterson, 1999. "Do Trading Rules Based upon Winners and Losers Work Across Markets? Evidence from the Pacific Basin and U.S. Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 3(1), pages 41-70, March.
    56. Dong Pan & Bao Wang & Jun Li & Fei Wu, 2024. "Exploring the User Adoption Mechanism of Green Transportation Services in the Context of the Electricity–Carbon Market Synergy," Energies, MDPI, vol. 17(1), pages 1-19, January.
    57. Baur, Robert Frederick, 1992. "Overreaction in futures markets," ISU General Staff Papers 1992010108000010973, Iowa State University, Department of Economics.
    58. Mehdian, Seyed & Nas, Tevfik & Perry, Mark J., 2008. "An examination of investor reaction to unexpected political and economic events in Turkey," Global Finance Journal, Elsevier, vol. 18(3), pages 337-350.
    59. Itay Goldstein & Liyan Yang, 2022. "Commodity Financialization and Information Transmission," Journal of Finance, American Finance Association, vol. 77(5), pages 2613-2667, October.
    60. Ericsson, Jan & Huang, Xiao & Mazzotta, Stefano, 2016. "Leverage and asymmetric volatility: The firm-level evidence," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 1-21.
    61. Michael Wong, 1997. "Abnormal Stock Returns Following Large One-day Advances and Declines: Evidence from Asia-Pacific Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 4(2), pages 171-177, May.
    62. Mazouz, Khelifa & Wang, Jian, 2014. "Are commodity futures markets short-term efficient? An empirical investigation," 88th Annual Conference, April 9-11, 2014, AgroParisTech, Paris, France 169763, Agricultural Economics Society.
    63. Dumitrescu, Ariadna & Zakriya, Mohammed, 2022. "Governance, information flow, and stock returns," Journal of Corporate Finance, Elsevier, vol. 72(C).
    64. Amer Demirovic & Ali Kabiri & David Tuckett & Rickard Nyman, 2020. "A common risk factor and the correlation between equity and corporate bond returns," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 119-134, March.
    65. Lewis, Yimai & Bozos, Konstantinos, 2019. "Mitigating post-acquisition risk: the interplay of cross-border uncertainties," Journal of World Business, Elsevier, vol. 54(5), pages 1-1.
    66. Ruchunyi Fu & Yi Tang & Guoli Chen, 2020. "Chief sustainability officers and corporate social (Ir)responsibility," Strategic Management Journal, Wiley Blackwell, vol. 41(4), pages 656-680, April.
    67. Fareiny Morni & Erimalida Yazi, 2021. "Stock Market Reaction to Political Regime Change in Malaysia," Capital Markets Review, Malaysian Finance Association, vol. 29(2), pages 1-11.
    68. Liam Ison & Robert Hudson, 2017. "Stock predictability and preceding stock price changes – evidence from central and eastern european markets," Economics Bulletin, AccessEcon, vol. 37(2), pages 733-740.
    69. Marcel Fratzscher & Julien Reynaud, 2010. "IMF Surveillance and Financial Markets - A Political Economy Analysis," CESifo Working Paper Series 3089, CESifo.
    70. John Goodell & Richard Bodey, 2012. "Price-earnings changes during US presidential election cycles: voter uncertainty and other determinants," Public Choice, Springer, vol. 150(3), pages 633-650, March.
    71. Anya Khanthavit, 2020. "An Event Study Analysis of Thailand¡¯s 2019 General Election: A Long Window of Multiple Sub-events," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(4), pages 502-514, July.
    72. Flore, Christian & Kolaric, Sascha & Schiereck, Dirk, 2017. "Settlement agreement types of federal corporate prosecution in the U.S. and their impact on shareholder wealth," Journal of Business Research, Elsevier, vol. 76(C), pages 145-158.
    73. Christian Klein & Bernhard Zwergel & Sebastian Heiden, 2009. "On the existence of sports sentiment: the relation between football match results and stock index returns in Europe," Review of Managerial Science, Springer, vol. 3(3), pages 191-208, November.
    74. deB. Harris, Frederick H. & McInish, Thomas H. & Chakravarty, Ranjan R., 1995. "Bids and asks in disequilibrium market microstructure: The case of IBM," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 323-345, May.
    75. Wan, Jer-Yuh & Kao, Chung-Wei, 2009. "Evidence on the contrarian trading in foreign exchange markets," Economic Modelling, Elsevier, vol. 26(6), pages 1420-1431, November.
    76. Piccoli, Pedro & Chaudhury, Mo & Souza, Alceu, 2017. "How do stocks react to extreme market events? Evidence from Brazil," Research in International Business and Finance, Elsevier, vol. 42(C), pages 275-284.
    77. Su, Yuli & Yip, Yewmun & Wong, Rickie W., 2002. "The impact of government intervention on stock returns: Evidence from Hong Kong," International Review of Economics & Finance, Elsevier, vol. 11(3), pages 277-297.
    78. Dissanaike, Gishan, 1996. "Are stock price reversals really asymmetric? A note," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 189-201, January.
    79. William N. Pugh & John S. Jahera Jr., 1990. "State Antitakeover Legislation And Shareholder Wealth," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(3), pages 221-231, September.
    80. Nam, Kiseok & Washer, Kenneth M. & Chu, Quentin C., 2005. "Asymmetric return dynamics and technical trading strategies," Journal of Banking & Finance, Elsevier, vol. 29(2), pages 391-418, February.
    81. Patel, Vinay & Michayluk, David, 2016. "Return predictability following different drivers of large price changes," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 202-214.
    82. Travkin, Alexandr, 2013. "Pair copula constructions in portfolio optimization ploblem," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 32(4), pages 110-133.
    83. Khan, Salman & Batteau, Pierre, 2011. "Should the government directly intervene in stock market during a crisis?," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 350-359.
    84. Mekki Hamdaoui & Saif Eddine Ayouni & Samir Maktouf, 2022. "Capital Account Liberalization, Political Stability, and Economic Growth," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(1), pages 723-772, March.
    85. Kohers, Theodor & Pandey, Vivek & Kohers, Gerald, 1997. "Using nonlinear dynamics to test for market efficiency among the major U.S. stock exchanges," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(2), pages 523-545.
    86. Mnasri, Ayman & Essaddam, Naceur, 2021. "Impact of U.S. presidential elections on stock markets’ volatility: Does incumbent president's party matter?," Finance Research Letters, Elsevier, vol. 39(C).
    87. Guglielmo Maria Caporale & Alex Plastun, 2018. "On the Frequency of Price Overreactions," CESifo Working Paper Series 7011, CESifo.
    88. Robert Maderitsch, 2015. "Spillovers from the USA to stock markets in Asia: a quantile regression approach," Applied Economics, Taylor & Francis Journals, vol. 47(44), pages 4714-4727, September.
    89. Goodell, John W. & Vähämaa, Sami, 2013. "US presidential elections and implied volatility: The role of political uncertainty," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1108-1117.
    90. Yaser Abolghasemi & Stanko Dimitrov, 2021. "Determining the causality between U.S. presidential prediction markets and global financial markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4534-4556, July.
    91. Lobe, Sebastian & Rieks, Johannes, 2011. "Short-term market overreaction on the Frankfurt stock exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 113-123, May.
    92. Susana Yu & Joel Rentzler & Kishore Tandon, 2010. "Reexamining the uncertain information hypothesis on the S&P 500 Index and SPDRs," Review of Quantitative Finance and Accounting, Springer, vol. 34(1), pages 1-21, January.
    93. Akhtar, Shumi & Faff, Robert & Oliver, Barry & Subrahmanyam, Avanidhar, 2011. "The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1239-1249, May.
    94. Borgards, Oliver & Czudaj, Robert L., 2020. "The prevalence of price overreactions in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    95. Pedro L. Angosto‐Fernández & Victoria Ferrández‐Serrano, 2022. "Independence day: Political risk and cross‐sectional determinants of firm exposure after the Catalan crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4318-4335, October.
    96. Hardjo Koerniadi & Chandrasekhar Krishnamurti & Alireza Tourani-Rad, 2016. "Natural Disasters — Blessings In Disguise?," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 61(01), pages 1-17, March.
    97. Boubaker, Sabri & Farag, Hisham & Nguyen, Duc Khuong, 2015. "Short-term overreaction to specific events: Evidence from an emerging market," Research in International Business and Finance, Elsevier, vol. 35(C), pages 153-165.
    98. Pantzalis, Christos & Stangeland, David A. & Turtle, Harry J., 2000. "Political elections and the resolution of uncertainty: The international evidence," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1575-1604, October.
    99. Pritamani, Mahesh & Singal, Vijay, 2001. "Return predictability following large price changes and information releases," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 631-656, April.
    100. Domian, Dale L. & Louton, David A. & Mossman, Charles E., 1998. "The rise and fall of the "Dogs of the Dow"," Financial Services Review, Elsevier, vol. 7(3), pages 145-159.
    101. Ana María Sabater & Joaquina Laffarga, 2004. "Comportamiento Diario Del Mercado Continuo Español Ante Un Evento Laboral: Un Analisis Empirico," Working Papers. Serie EC 2004-19, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    102. Indro, Daniel C. & Leach, Robert T. & Lee, Wayne Y., 1999. "Sources of gains to shareholders from bankruptcy resolution," Journal of Banking & Finance, Elsevier, vol. 23(1), pages 21-47, January.
    103. Crowley, Frederick D. & Loviscek, Anthony L., 2002. "Assessing the impact of political unrest on currency returns: A look at Latin America," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(1), pages 143-153.
    104. Haiwei Chen & Honghui Chen & Nicholas Valerio, 2003. "The effects of trading halts on price discovery for NYSE stocks," Applied Economics, Taylor & Francis Journals, vol. 35(1), pages 91-97.
    105. Yi-Hsien Wang & Chin-Tsai Lin, 2009. "The political uncertainty and stock market behavior in emerging democracy: the case of Taiwan," Quality & Quantity: International Journal of Methodology, Springer, vol. 43(2), pages 237-248, March.
    106. Mazzotta, Stefano, 2008. "How important is asymmetric covariance for the risk premium of international assets?," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1636-1647, August.
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    1. Cameron Truong, 2013. "The January effect, does options trading matter?," Australian Journal of Management, Australian School of Business, vol. 38(1), pages 31-48, April.
    2. Meher Shiva Tadepalli & Ravi Kumar Jain, 2018. "Persistence of calendar anomalies: insights and perspectives from literature," American Journal of Business, Emerald Group Publishing Limited, vol. 33(1/2), pages 18-60, May.
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    12. George Athanassakos, 2002. "The Scrutinized-firm Effect, Portfolio Rebalancing, Stock Return Seasonality, and the Pervasiveness of the January Effect in Canada," Multinational Finance Journal, Multinational Finance Journal, vol. 6(1), pages 1-27, March.
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    1. M. Reza Bradrania & Maurice Peat & Stephen Satchell, 2022. "Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns," Papers 2211.04695, arXiv.org.
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    4. Barardehi, Yashar H. & Bernhardt, Dan & Ruchti, Thomas G., 2019. "A test of speculative arbitrage: is the cross-section of volatility invariant?," The Warwick Economics Research Paper Series (TWERPS) 1204, University of Warwick, Department of Economics.
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    7. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," JRFM, MDPI, vol. 12(4), pages 1-26, October.
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    1. Hur, Jungshik & Pettengill, Glenn & Singh, Vivek, 2014. "Market states and the risk-based explanation of the size premium," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 139-150.
    2. Seyyed, Fazal J. & Abraham, Abraham & Al-Hajji, Mohsen, 2005. "Seasonality in stock returns and volatility: The Ramadan effect," Research in International Business and Finance, Elsevier, vol. 19(3), pages 374-383, September.
    3. Meher Shiva Tadepalli & Ravi Kumar Jain, 2018. "Persistence of calendar anomalies: insights and perspectives from literature," American Journal of Business, Emerald Group Publishing Limited, vol. 33(1/2), pages 18-60, May.
    4. Wagner, Moritz & Lee, John Byong-Tek & Margaritis, Dimitris, 2022. "Mutual fund flows and seasonalities in stock returns," Journal of Banking & Finance, Elsevier, vol. 144(C).
    5. Liu, Chao-Shin & Ziebart, David A., 1999. "Anomalous security price behavior following management earnings forecasts," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 405-429, October.
    6. Tang, Gordon Y. N. & Shum, Wai C., 2003. "The conditional relationship between beta and returns: recent evidence from international stock markets," International Business Review, Elsevier, vol. 12(1), pages 109-126, February.
    7. Murtazashvili, Irina & Vozlyublennaia, Nadia, 2012. "The role of data limitations, seasonality and frequency in asset pricing models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 555-574.
    8. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March.
    9. Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Efectul Turn-of-the-Year pe piaţa valutară din România [The Turn-of-the-Year Effect in the Romanian foreign exchange market]," MPRA Paper 99365, University Library of Munich, Germany, revised 30 Mar 2020.
    10. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
    11. Pandey I M, 2002. "Is There Seasonality in the Sensex Monthly Returns?," IIMA Working Papers WP2002-09-08, Indian Institute of Management Ahmedabad, Research and Publication Department.
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    16. Wen, Fenghua & Liu, Zhen & Cao, jiahui & Zhang, Yun & Yin, Zhujia, 2022. "Mood seasonality: Evidence from the Chinese A-share market," Finance Research Letters, Elsevier, vol. 46(PA).
    17. Wasiuzzaman, Shaista, 2018. "Seasonality in the Saudi stock market: The Hajj effect," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 273-281.
    18. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
    19. Irfan Ali & Waheed Akhter & Namrah Ashraf, 2017. "Impact of Muslim Holy Days on Asian stock markets: An empirical evidence," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1311096-131, January.
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    1. Caporale, Guglielmo Maria & Cerrato, Mario & Zhang, Xuan, 2017. "Analysing the determinants of insolvency risk for general insurance firms in the UK," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 107-122.
    2. James R. Garven, 2007. "Risk Management: The Unifying Framework for Business Scholarship and Pedagogy," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 10(1), pages 1-12, March.
    3. Ben Ammar, Semir & Eling, Martin & Milidonis, Andreas, 2018. "The cross-section of expected stock returns in the property/liability insurance industry," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 292-321.
    4. Lemoyne de Forges, Sabine & Bibas, Ruben & Hallegatte, Stephane, 2011. "A dynamic model of extreme risk coverage : resilience and efficiency in the global reinsurance market," Policy Research Working Paper Series 5807, The World Bank.
    5. Milidonis, Andreas, 2013. "Compensation incentives of credit rating agencies and predictability of changes in bond ratings and financial strength ratings," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3716-3732.
    6. Kent Smetters & David Torregrosa, 2008. "Financing Losses from Catastrophic Risks: Working Paper 2008-09," Working Papers 20400, Congressional Budget Office.
    7. Hunter, William C. & Smith, Stephen D., 2002. "Risk management in the global economy: A review essay," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 205-221, March.
    8. Cummins, J. David & Doherty, Neil & Lo, Anita, 2002. "Can insurers pay for the "big one"? Measuring the capacity of the insurance market to respond to catastrophic losses," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 557-583, March.
    9. Guillaume Plantin, 2003. "Does Reinsurance Need Reinsurers?," FMG Discussion Papers dp447, Financial Markets Group.
    10. Aduloju Sunday Adekunle & Ajemunigbohun Sunday Stephen, 2017. "Reinsurance and Performance of the Ceding Companies: The Nigerian Insurance Industry Experience," Economics and Business, Sciendo, vol. 31(1), pages 19-29, August.
    11. Niehaus, Greg, 2002. "The allocation of catastrophe risk," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 585-596, March.
    12. Kenneth A. Froot, 2007. "Risk Management, Capital Budgeting, and Capital Structure Policy for Insurers and Reinsurers," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(2), pages 273-299, June.
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    14. Jean-Baptiste, Eslyn L. & Santomero, Anthony M., 2000. "The Design of Private Reinsurance Contracts," Journal of Financial Intermediation, Elsevier, vol. 9(3), pages 274-297, July.
    15. J. Cummins & Neil Doherty, 2002. "Capitalization of the Property-Liability Insurance Industry: Overview," Journal of Financial Services Research, Springer;Western Finance Association, vol. 21(1), pages 5-14, February.
    16. Guglielmo Maria Caporale & Mario Cerrato & Xuan Zhang, 2016. "Analysing the Determinants of Credit Risk for General Insurance Firms in the UK," Discussion Papers of DIW Berlin 1591, DIW Berlin, German Institute for Economic Research.
    17. Henri Loubergé, 1998. "Risk and Insurance Economics 25 Years After," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 23(4), pages 540-567, October.
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    19. Bender, Klaus & Richter, Andreas, 2002. "Optimales Vertragsdesign bei moralischem Risiko in der Rückversicherung," Working Papers on Risk and Insurance 9, University of Hamburg, Institute for Risk and Insurance.
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    21. Reichel, Lukas & Schmeiser, Hato & Schreiber, Florian, 2022. "On the optimal management of counterparty risk in reinsurance contracts," Journal of Economic Behavior & Organization, Elsevier, vol. 201(C), pages 374-394.
    22. James R. GARVEN, 1995. "The Demand For Reinsurance: Theory and Empirical Tests," Risk and Insurance 9507002, University Library of Munich, Germany.
    23. José Penalva, 2003. "Implications of dynamic trading for insurance markets," Economics Working Papers 720, Department of Economics and Business, Universitat Pompeu Fabra.
    24. Zanjani, George, 2002. "Pricing and capital allocation in catastrophe insurance," Journal of Financial Economics, Elsevier, vol. 65(2), pages 283-305, August.
    25. Eslyn Jean Baptiste & Anthony M. Santomero, 1998. "The Design of Private Reinsurance Contracts," Center for Financial Institutions Working Papers 98-32, Wharton School Center for Financial Institutions, University of Pennsylvania.

  7. Seha M. Tinic & Richard R. West, 1980. "The Securities Industry under Negotiated Brokerage Commissions: Changes in the Structure and Performance of New York Stock Exchange Member Firms," Bell Journal of Economics, The RAND Corporation, vol. 11(1), pages 29-41, Spring.

    Cited by:

    1. Liu, Shinhua, 2008. "Commission deregulation and performance of securities firms: Further evidence from Japan," Journal of Economics and Business, Elsevier, vol. 60(4), pages 355-368.
    2. Lawrence J. White, 1990. "Problems Of The Fslic: A Former Policy Maker'S View," Contemporary Economic Policy, Western Economic Association International, vol. 8(2), pages 62-81, April.
    3. Hartmut Schmidt & Michael Schleef, 2001. "Schlägt sich die Prinzipal-Agent-Beziehung zwischen Anlageinstitution und Bank in überhöhten Transaktionskosten nieder?," Schmalenbach Journal of Business Research, Springer, vol. 53(7), pages 663-689, November.
    4. Luke Bortoli & Alex Frino & Elvis Jarnecic, 2004. "Differences in the Cost of Trade Execution Services on Floor-Based and Electronic Futures Markets," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(1), pages 73-87, August.

  8. Tinic, Seha M & West, Richard R, 1974. "Marketability of Common Stocks in Canada and the U.S.A.: A Comparison of Agent versus Dealer Dominated Markets," Journal of Finance, American Finance Association, vol. 29(3), pages 729-746, June.

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    1. Bianconi, Marcelo & Tan, Liang, 2010. "Cross-listing premium in the US and the UK destination," International Review of Economics & Finance, Elsevier, vol. 19(2), pages 244-259, April.
    2. David Eliezer & Ian I. Kogan, 1998. "Scaling Laws for the Market Microstructure of the Interdealer Broker Markets," Papers cond-mat/9808240, arXiv.org, revised Sep 1998.
    3. Reese, William Jr. & Weisbach, Michael S., 2002. "Protection of minority shareholder interests, cross-listings in the United States, and subsequent equity offerings," Journal of Financial Economics, Elsevier, vol. 66(1), pages 65-104, October.
    4. Silva, Ana Cristina & Chavez, Gonzalo, 2002. "Components of execution costs: evidence of asymmetric information at the Mexican Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 253-278, July.
    5. Sarkissian, Sergei & Schill, Michael, 2010. "Why are U.S. firms listed in foreign markets worth more?," MPRA Paper 27543, University Library of Munich, Germany.
    6. Hadeel Yaseen & Ghassan Omet & Morad Abdel-Halim, 2015. "The 2008 Global Financial Crisis: The Case of a Market with Consistent Losses Ever Since," Eurasian Journal of Business and Management, Eurasian Publications, vol. 3(1), pages 8-19.
    7. Bacidore, Jeffrey M. & Battalio, Robert & Galpin, Neal & Jennings, Robert, 2005. "Sources of liquidity for NYSE-listed non-US stocks," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3075-3098, December.
    8. Huang, Ying & Jacoby, Gady & Jiang, Christine X., 2016. "The bonding hypothesis and the home market liquidity of Chinese cross-listed stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 146-157.
    9. M. Frömmel & F Van Gysegem, 2014. "Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/878, Ghent University, Faculty of Economics and Business Administration.
    10. Sarkissian, Sergei & Schill, Michael, 2010. "Cross listing waves," MPRA Paper 27545, University Library of Munich, Germany.
    11. Dewenter, Kathryn L. & Kim, Chang-Soo & Novaes, Walter, 2010. "Anatomy of a regulatory race to the top: Changes in delisting rules at Korea's two stock exchanges, 1999-2002," Journal of Corporate Finance, Elsevier, vol. 16(4), pages 456-468, September.
    12. Lucy Lim, 2016. "Dual-class versus single-class firms: information asymmetry," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 763-791, May.
    13. Jonathan Witmer, 2008. "An Examination of Canadian Firms Delisting from U.S. Exchanges," Staff Working Papers 08-11, Bank of Canada.
    14. Sarkissian, Sergei & Schill, Michael J., 2004. "Are There Permanent Valuation Gains to Overseas Listing? Evidence from Market Sequencing and Selection," Working Papers 05-4, University of Pennsylvania, Wharton School, Weiss Center.
    15. Ghassan Omet, 2011. "Stock Market Liquidity: Comparative Analysis of The Abu Dhabi Stock Exchange and Dubai Financial Market," Working Papers 655, Economic Research Forum, revised 12 Jan 2011.
    16. Aitken, Michael & Frino, Alex, 1996. "Execution costs associated with institutional trades on the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 4(1), pages 45-58, May.
    17. Luo, Yongli & Fang, Fang & Esqueda, Omar A., 2012. "The overseas listing puzzle: Post-IPO performance of Chinese stocks and ADRs in the U.S. market," Journal of Multinational Financial Management, Elsevier, vol. 22(5), pages 193-211.
    18. I. Krinsky & W. Rotenberg, 1989. "The Transition to Competitive Pricing on the Toronto Stock Exchange," Canadian Public Policy, University of Toronto Press, vol. 15(2), pages 135-144, June.
    19. Wölfle, Marco, 2007. "Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries," ZEW Discussion Papers 07-067, ZEW - Leibniz Centre for European Economic Research.
    20. Sirimon Treepongkaruna & Tim Brailsford & Stephen Gray, 2014. "Explaining the bid-ask spread in the foreign exchange market: A test of alternate models," Australian Journal of Management, Australian School of Business, vol. 39(4), pages 573-591, November.
    21. McConnell, John J. & Dybevik, Heidi J. & Haushalter, David & Lie, Erik, 1996. "A survey of evidence on domestic and international stock exchange listings with implications for markets and managers," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 347-376, December.
    22. Kryzanowski, Lawrence & Lazrak, Skander, 2009. "Liquidity minimization and cross-listing choice: Evidence based on Canadian shares cross-listed on U.S. venues," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 550-564, July.
    23. Ghaffar, Hamza & Azmat, Saad & Hassan, M. Kabir, 2022. "Domestic liquidity of cross-listed stocks: Evidence from the ADR market," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    24. Nina Boyarchenko & Lars C. Larsen & Paul Whelan, 2020. "The Overnight Drift," Staff Reports 917, Federal Reserve Bank of New York.
    25. Mittoo, Usha R., 2003. "Globalization and the value of US listing: Revisiting Canadian evidence," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1629-1661, September.
    26. Gibson, Scott & Singh, Rajdeep & Yerramilli, Vijay, 2003. "The effect of decimalization on the components of the bid-ask spread," Journal of Financial Intermediation, Elsevier, vol. 12(2), pages 121-148, April.
    27. Giorgio Gotti & Stacy Mastrolia, 2010. "Regulatory intervention and the effect of changes in corporate governance on firm decisions and market reactions," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 14(4), pages 379-407, November.
    28. Sarkissian, Sergei & Schill, Michael J., 2012. "The nature of the foreign listing premium: A cross-country examination," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2494-2511.
    29. Muradoglu, Gulnur & Zaman, Asad & Orhan, Mehmet, 2003. "Measuring the Systematic Risk of IPO’s Using Empirical Bayes Estimates in the Thinly Traded Istanbul Stock Exchange," MPRA Paper 13879, University Library of Munich, Germany.
    30. Gray, Stephen F. & Smith, Tom & Whaley, Robert E., 2003. "Stock splits: implications for investor trading costs," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 271-303, May.

  9. S. M. Tinic & B. M. Harnden & C. T. L. Janssen, 1973. "Estimation of Rural Demand for Natural Gas," Management Science, INFORMS, vol. 20(4-Part-II), pages 604-616, December.

    Cited by:

    1. Jean Gaston Tamba & Salom Ndjakomo Essiane & Emmanuel Flavian Sapnken & Francis Djanna Koffi & Jean Luc Nsouand l & Bozidar Soldo & Donatien Njomo, 2018. "Forecasting Natural Gas: A Literature Survey," International Journal of Energy Economics and Policy, Econjournals, vol. 8(3), pages 216-249.
    2. Yoo, Seung-Hoon & Lim, Hea-Jin & Kwak, Seung-Jun, 2009. "Estimating the residential demand function for natural gas in Seoul with correction for sample selection bias," Applied Energy, Elsevier, vol. 86(4), pages 460-465, April.
    3. Soldo, Božidar, 2012. "Forecasting natural gas consumption," Applied Energy, Elsevier, vol. 92(C), pages 26-37.
    4. Wang, Ting & Lin, Boqiang, 2014. "China's natural gas consumption and subsidies—From a sector perspective," Energy Policy, Elsevier, vol. 65(C), pages 541-551.
    5. Sun, Chuanwang & Ouyang, Xiaoling, 2016. "Price and expenditure elasticities of residential energy demand during urbanization: An empirical analysis based on the household-level survey data in China," Energy Policy, Elsevier, vol. 88(C), pages 56-63.
    6. Kostakis, Ioannis & Lolos, Sarantis & Sardianou, Eleni, 2021. "Residential natural gas demand: Assessing the evidence from Greece using pseudo-panels, 2012–2019," Energy Economics, Elsevier, vol. 99(C).

  10. Tinic, Seha M. & West, Richard R., 1972. "Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(3), pages 1707-1727, June.

    Cited by:

    1. Dunne, Peter G., 2018. "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities," Research Technical Papers 5/RT/18, Central Bank of Ireland.
    2. Blau, Benjamin M., 2018. "Does religiosity affect liquidity in financial markets?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 19(C), pages 72-83.
    3. Vijay Bhasin & Rebel A. Cole & Joseph K. Kiely, "undated". "Changes in REIT Liquidity 1990-94: Evidence from Intra-day Transactions," Finance and Economics Discussion Series 1996-22, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
    4. Gkillas, Konstantinos & Vortelinos, Dimitrios I. & Babalos, Vassilios & Wohar, Mark E., 2021. "Day-of-the-week effect and spread determinants: Some international evidence from equity markets," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 268-288.
    5. Tao Zhang & Larry A. Cox & Robert A. Van Ness, 2009. "Adverse Selection and the Opaqueness of Insurers," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(2), pages 295-321, June.
    6. Agrawal, Vipin & Kothare, Meeta & Rao, Ramesh K. S. & Wadhwa, Pavan, 2004. "Bid-ask spreads, informed investors, and the firm's financial condition," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 58-76, February.
    7. M. Frömmel & F Van Gysegem, 2014. "Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/878, Ghent University, Faculty of Economics and Business Administration.
    8. Kalaitzoglou, Iordanis Angelos & Ibrahim, Boulis Maher, 2015. "Liquidity and resolution of uncertainty in the European carbon futures market," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 89-102.
    9. Chung, Kee H. & Kim, Youngsoo, 2005. "The dynamics of dealer markets and trading costs," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3041-3059, December.
    10. Ghassan Omet, 2001. "The Cost of Transacting in the Jordanian Capital Market," Working Papers 0101, Economic Research Forum, revised 01 Apr 2001.
    11. Gębka, Bartosz & Wohar, Mark E., 2013. "The determinants of quantile autocorrelations: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 51-61.
    12. David F. Babbel & Craig B. Merrill & Mark F. Meyer & Meiring de Villiers, 2001. "The Effect of Transaction Size on Off-the-Run Treasury Prices," Center for Financial Institutions Working Papers 01-03, Wharton School Center for Financial Institutions, University of Pennsylvania.
    13. G. G. Booth & P. Iversen & S. K. Sarkar & H. Schmidt & A. Young, 1999. "Market structure and bid-ask spreads: IBIS vs Nasdaq," The European Journal of Finance, Taylor & Francis Journals, vol. 5(1), pages 51-71.
    14. Lucy Lim, 2016. "Dual-class versus single-class firms: information asymmetry," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 763-791, May.
    15. Zhang, Wei & Huang, Ke & Feng, Xu & Zhang, Yongjie, 2017. "Market maker competition and price efficiency: Evidence from China," Economic Modelling, Elsevier, vol. 66(C), pages 121-131.
    16. Cheng Guo & Jinwu Gao, 2017. "Optimal dealer pricing under transaction uncertainty," Journal of Intelligent Manufacturing, Springer, vol. 28(3), pages 657-665, March.
    17. Pham, Son D. & Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2021. "The liquidity of active ETFs," Global Finance Journal, Elsevier, vol. 49(C).
    18. Shantaram P. Hegde & John B. McDermott, 2004. "Firm Characteristics as Cross‐sectional Determinants of Adverse Selection," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1097-1124, September.
    19. Davis, Jeffry L & Lightfoot, Lois E, 1998. "Fragmentation versus Consolidation of Securities Trading: Evidence from the Operation of Rule 19c-3," Journal of Law and Economics, University of Chicago Press, vol. 41(1), pages 209-238, April.
    20. Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
    21. Michael Aitken & Amaryllis Kua & Philip Brown & Terry Watter & H. Y. Izan, 1995. "An Intraday Analysis of the Probability of Trading on the ASX at the Asking Price," Australian Journal of Management, Australian School of Business, vol. 20(2), pages 115-154, December.
    22. Narayan, Paresh Kumar & Mishra, Sagarika & Narayan, Seema, 2015. "New empirical evidence on the bid-ask spread," Working Papers fe_2015_06, Deakin University, Department of Economics.
    23. Bollen, Nicolas P. B. & Smith, Tom & Whaley, Robert E., 2004. "Modeling the bid/ask spread: measuring the inventory-holding premium," Journal of Financial Economics, Elsevier, vol. 72(1), pages 97-141, April.
    24. Kee H. Chung & Xin Zhao, 2004. "Making a Market with Spreads and Depths," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1069-1097, September.
    25. Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York.
    26. Iordanis Angelos Kalaitzoglou & Boulis Maher Ibrahim, 2015. "Liquidity and resolution of uncertainty in the European carbon futures market," Post-Print hal-01107956, HAL.
    27. David C. Porter & Carsten Tanggaard & Daniel G. Weaver & Wei Yu, 2008. "Dispersed Trading and the Prevention of Market Failure: the Case of the Copenhagen Stock Exchange," European Financial Management, European Financial Management Association, vol. 14(2), pages 243-267, March.
    28. Wei, Jason & Zheng, Jinguo, 2010. "Trading activity and bid-ask spreads of individual equity options," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2897-2916, December.
    29. Alex Frino & Dionigi Gerace & Andrew Lepone, 2008. "Limit order book, anonymity and market liquidity: evidence from the Sydney Futures Exchange," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(4), pages 561-573, December.
    30. Hegde, Shantaram P. & McDermott, John B., 2004. "The market liquidity of DIAMONDS, Q's, and their underlying stocks," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1043-1067, May.
    31. Sirimon Treepongkaruna & Tim Brailsford & Stephen Gray, 2014. "Explaining the bid-ask spread in the foreign exchange market: A test of alternate models," Australian Journal of Management, Australian School of Business, vol. 39(4), pages 573-591, November.
    32. Ajina, Aymen & Habib, Aymen, 2017. "Examining the relationship between earning management and market liquidity," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1164-1172.
    33. Pronk, M., 2002. "Market liquidity around earnings announcements," Other publications TiSEM 3e22cd8d-f7eb-4c28-9275-8, Tilburg University, School of Economics and Management.
    34. Aritra Pan & Arun Kumar Misra & David McMillan, 2021. "A comprehensive study on bid-ask spread and its determinants in India," Cogent Economics & Finance, Taylor & Francis Journals, vol. 9(1), pages 1898735-189, January.
    35. William O. Brown, Jr. & J. Harold Mulherin & Marc D. Weidenmier, 2006. "Competing With the NYSE," NBER Working Papers 12343, National Bureau of Economic Research, Inc.
    36. Blennerhassett, Michael & Bowman, Robert G., 1998. "A change in market microstructure: the switch to electronic screen trading on the New Zealand stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 261-276, December.
    37. Kojo Menyah & Krishna Paudyal, 1996. "The Determinants And Dynamics Of Bid-Ask Spreads On The London Stock Exchange," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(3), pages 377-394, September.
    38. Naomi Boyd, 2015. "Market making and risk management in options markets," Review of Derivatives Research, Springer, vol. 18(1), pages 1-27, April.
    39. Kee, H. Chung & McInish, Thomas H. & Wood, Robert A. & Wyhowski, Donald J., 1995. "Production of information, information asymmetry, and the bid-ask spread: Empirical evidence from analysts' forecasts," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1025-1046, September.
    40. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
    41. Gerald A. Blum & William A. Kracaw & Wilbur G. Lewellen, 1986. "Determinants Of The Execution Costs Of Common Stock Trades By Individual Investors," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(4), pages 291-301, December.
    42. Luke Bortoli & Alex Frino & Elvis Jarnecic, 2004. "Differences in the Cost of Trade Execution Services on Floor-Based and Electronic Futures Markets," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(1), pages 73-87, August.
    43. Chan, Howard Wei-Hong & Pinder, Sean M., 2000. "The value of liquidity: Evidence from the derivatives market," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 483-503, July.
    44. Roberto Pascual & Alvaro Escribano & Mikel Tapia, 2004. "On the bi-dimensionality of liquidity," The European Journal of Finance, Taylor & Francis Journals, vol. 10(6), pages 542-566.
    45. Massimo Ferrari & Stéphanie Stolz & Michael Wedow, 2019. "Do primary dealer funding constraints impact sovereign bond liquidity and yields: evidence for nine Euro area countries," Empirical Economics, Springer, vol. 56(6), pages 1855-1891, June.
    46. Hatch, Brian C. & Johnson, Shane A., 2002. "The impact of specialist firm acquisitions on market quality," Journal of Financial Economics, Elsevier, vol. 66(1), pages 139-167, October.
    47. Datar, Vinay T. & Y. Naik, Narayan & Radcliffe, Robert, 1998. "Liquidity and stock returns: An alternative test," Journal of Financial Markets, Elsevier, vol. 1(2), pages 203-219, August.
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    Cited by:

    1. Luke Bortoli & Alex Frino & Elvis Jarnecic, 2004. "Differences in the Cost of Trade Execution Services on Floor-Based and Electronic Futures Markets," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(1), pages 73-87, August.
    2. Nancy Jacob & Rich Pettit, 1978. "Research Output And Capital Market Efficiency Under Alternative Commission Rate Structures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 1(1), pages 45-60, December.

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