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Order Arrival, Quote Behavior, and the Return-Generating Process

Citations

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Cited by:

  1. Scherrer, Cristina Mabel, 2021. "Information processing on equity prices and exchange rate for cross-listed stocks," Journal of Financial Markets, Elsevier, vol. 54(C).
  2. Malinova, Katya & Park, Andreas, 2010. "Trading Volume in Dealer Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(6), pages 1447-1484, December.
  3. Samir Saadi & Devinder Gandhi & Khaled Elmawazini, 2006. "On the validity of conventional statistical tests given evidence of non-synchronous trading and non-linear dynamics in returns generating process," Applied Economics Letters, Taylor & Francis Journals, vol. 13(5), pages 301-305.
  4. Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2017. "Systemic co-jumps," Journal of Financial Economics, Elsevier, vol. 126(3), pages 563-591.
  5. Brown, Philip & Walsh, David & Yuen, Andrea, 1997. "The interaction between order imbalance and stock price," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 539-557, December.
  6. Kolokolov, Aleksey & Livieri, Giulia & Pirino, Davide, 2020. "Statistical inferences for price staleness," Journal of Econometrics, Elsevier, vol. 218(1), pages 32-81.
  7. Helder Sebastião, 2008. "The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems," GEMF Working Papers 2008-07, GEMF, Faculty of Economics, University of Coimbra.
  8. Yan, Bingcheng & Zivot, Eric, 2010. "A structural analysis of price discovery measures," Journal of Financial Markets, Elsevier, vol. 13(1), pages 1-19, February.
  9. Parthajit Kayal & Sayanti Mondal, 2020. "Speed of Price Adjustment in Indian Stock Market: A Paradox," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 453-476, December.
  10. Christian Gourieroux & Gaëlle Le Fol, 1997. "Volatilités et mesures de risque," Post-Print halshs-00877048, HAL.
  11. Parthajit Kayal & S. Maheswaran, 2018. "Speed of Price Adjustment towards Market Efficiency: Evidence from Emerging Countries," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1_suppl), pages 112-135, April.
  12. Rhee, S. Ghon & Wang, Chi-Jeng, 1997. "The bid-ask bounce effect and the spread size effect: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 5(2), pages 231-258, June.
  13. Sung‐Hun Kim & Joseph P. Ogden, 1996. "Determinants of the components of bid‐ask spreads on stocks," European Financial Management, European Financial Management Association, vol. 2(1), pages 127-145, March.
  14. Cooney, John Jr. & Sias, Richard W., 2004. "Informed trading and order type," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1711-1743, July.
  15. Patricia Chelley-Steeley, 2001. "Opening Returns, Noise, And Overreaction," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(4), pages 513-521, December.
  16. Bollen, Bernard & Inder, Brett, 2002. "Estimating daily volatility in financial markets utilizing intraday data," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 551-562, December.
  17. Chen, Tao & Li, Jie & Cai, Jun, 2008. "Information content of inter-trade time on the Chinese market," Emerging Markets Review, Elsevier, vol. 9(3), pages 174-193, September.
  18. Z. Merrick Li & Oliver Linton, 2022. "A ReMeDI for Microstructure Noise," Econometrica, Econometric Society, vol. 90(1), pages 367-389, January.
  19. 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.
  20. Julius Bonart & Fabrizio Lillo, 2016. "A continuous and efficient fundamental price on the discrete order book grid," Papers 1608.00756, arXiv.org, revised Aug 2016.
  21. Li, Z. Merrick & Laeven, Roger J.A. & Vellekoop, Michel H., 2020. "Dependent microstructure noise and integrated volatility estimation from high-frequency data," Journal of Econometrics, Elsevier, vol. 215(2), pages 536-558.
  22. Bonart, Julius & Lillo, Fabrizio, 2018. "A continuous and efficient fundamental price on the discrete order book grid," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 698-713.
  23. Ranaldo, Angelo & Somogyi, Fabricius, 2021. "Asymmetric information risk in FX markets," Journal of Financial Economics, Elsevier, vol. 140(2), pages 391-411.
  24. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
  25. Yu Chuan Huang, 2004. "The components of bid‐ask spread and their determinants: TAIFEX versus SGX‐DT," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(9), pages 835-860, September.
  26. Li, Y-N. & Chen, J. & Linton, O., 2021. "Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model," Cambridge Working Papers in Economics 2150, Faculty of Economics, University of Cambridge.
  27. Neal, Robert & Wheatley, Simon M., 1998. "Adverse selection and bid-ask spreads: Evidence from closed-end funds," Journal of Financial Markets, Elsevier, vol. 1(1), pages 121-149, April.
  28. Scherrer, Cristina Mabel, 2021. "Information processing on equity prices and exchange rate for cross-listed stocks," LSE Research Online Documents on Economics 125649, London School of Economics and Political Science, LSE Library.
  29. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
  30. Gian Piero Aielli & Davide Pirino, 2023. "Funding Liquidity and Stocks’ Market Liquidity: Structural Estimation From High-Frequency Data," CEIS Research Paper 568, Tor Vergata University, CEIS, revised 28 Nov 2023.
  31. Weiyu Kuo & Yu‐Ching Li, 2011. "Trading Mechanisms and Market Quality: Call Markets versus Continuous Auction Markets," International Review of Finance, International Review of Finance Ltd., vol. 11(4), pages 417-444, December.
  32. Simon Gervais & Ron Kaniel & Dan H. Mingelgrin, 2001. "The High‐Volume Return Premium," Journal of Finance, American Finance Association, vol. 56(3), pages 877-919, June.
  33. Sunil K. Parameswaran & Sankarshan Basu, 2020. "Some Analytical Results for Models of the Bid-Ask Spread," Business and Management Research, Business and Management Research, Sciedu Press, vol. 9(3), pages 34-45, September.
  34. Lin, Ji-Chai & Sanger, Gary C. & Geoffrey Booth, G., 1998. "External information costs and the adverse selection problem: A comparison of NASDAQ and NYSE stocks," International Review of Financial Analysis, Elsevier, vol. 7(2), pages 113-136.
  35. Terrence Hendershott & Charles M. Jones & Albert J. Menkveld, 2011. "Does Algorithmic Trading Improve Liquidity?," Journal of Finance, American Finance Association, vol. 66(1), pages 1-33, February.
  36. Shrestha, Keshab & Subramaniam, Ravichandran & Peranginangin, Yessy & Philip, Sheena Sara Suresh, 2018. "Quantile hedge ratio for energy markets," Energy Economics, Elsevier, vol. 71(C), pages 253-272.
  37. Zhang, Sijia & Gregoriou, Andros, 2019. "The price behavior around initial loan announcements: Evidence from zero-leverage firms in the UK," Research in International Business and Finance, Elsevier, vol. 50(C), pages 191-200.
  38. Richard J. Butler & Gene Lai & Craig Merrill, 2024. "Insurers’ and banks’ market connectedness: generalized event study estimates from random forest residuals regression," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(4), pages 682-718, October.
  39. Bingcheng Yan & Eric Zivot, 2007. "A Structural Analysis of Price Discovery Measures," Working Papers UWEC-2006-08-FC, University of Washington, Department of Economics, revised Apr 2007.
  40. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y. K., 2002. "The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 399-430, November.
  41. Bandi, Federico M. & Pirino, Davide & Renò, Roberto, 2024. "Systematic staleness," Journal of Econometrics, Elsevier, vol. 238(1).
  42. Federico M. Bandi & Aleksey Kolokolov & Davide Pirino & Roberto Renòo, 2020. "Zeros," Management Science, INFORMS, vol. 66(8), pages 3466-3479, August.
  43. Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2022. "Local mispricing and microstructural noise: A parametric perspective," Journal of Econometrics, Elsevier, vol. 230(2), pages 510-534.
  44. Christian Walter, 2001. "Searching for scaling laws in distributional properties of price variations: a review over 40 years," Post-Print hal-04567942, HAL.
  45. Philip, R., 2020. "Estimating permanent price impact via machine learning," Journal of Econometrics, Elsevier, vol. 215(2), pages 414-449.
  46. Dubofsky, David, 1997. "Limit orders and ex-dividend day return distributions," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 47-65, January.
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