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Upstairs Market for Principal and Agency Trades: Analysis of Adverse Information and Price Effects

Citations

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Cited by:

  1. Cebiroğlu, Gökhan & Horst, Ulrich, 2012. "Hidden liquidity: Determinants and impact," SFB 649 Discussion Papers 2012-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  2. Markku Vieru, 2003. "Use of Different Trading Environments Around Interim Earnings Announcements on the Helsinki Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 7(3-4), pages 131-152, September.
  3. Gabor Pinter & Chaojun Wang & Junyuan Zou, 2024. "Size Discount and Size Penalty: Trading Costs in Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 37(7), pages 2156-2190.
  4. Białkowski, Jędrzej & Hong, Sanghyun & Wagner, Moritz, 2022. "From upstairs to downstairs trading: Evidence from a highly segmented market," Finance Research Letters, Elsevier, vol. 46(PB).
  5. Henk Berkman & Carole Comerton‐Forde, 2011. "Market microstructure: A review from down under," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(1), pages 50-78, March.
  6. Murgia, Maurizio & Pinna, Andrea & Gottardo, Pietro & Bosetti, Luisella, 2019. "The impact of large orders in electronic markets," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 174-192.
  7. de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2019. "OTC discount," Discussion Papers 42/2019, Deutsche Bundesbank.
    • de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2021. "OTC discount," SAFE Working Paper Series 298, Leibniz Institute for Financial Research SAFE, revised 2021.
  8. Erik Theissen, 2003. "Trader Anonymity, Price Formation and Liquidity," Review of Finance, European Finance Association, vol. 7(1), pages 1-26.
  9. Bikker, Jacob A. & Spierdijk, Laura & van der Sluis, Pieter Jelle, 2007. "Market impact costs of institutional equity trades," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 974-1000, October.
  10. Michael R. King, 2009. "Prebid Run‐Ups Ahead of Canadian Takeovers: How Big Is the Problem?," Financial Management, Financial Management Association International, vol. 38(4), pages 699-726, December.
  11. Hatheway, Frank & Kwan, Amy & Zheng, Hui, 2017. "An Empirical Analysis of Market Segmentation on U.S. Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(6), pages 2399-2427, December.
  12. Sylvain Friederich & Richard Payne, 2007. "Dealer Liquidity in an Auction Market: Evidence from the London Stock Exchange," Economic Journal, Royal Economic Society, vol. 117(522), pages 1168-1191, July.
  13. Peter Gomber & Satchit Sagade & Erik Theissen & Moritz Christian Weber & Christian Westheide, 2017. "Competition Between Equity Markets: A Review Of The Consolidation Versus Fragmentation Debate," Journal of Economic Surveys, Wiley Blackwell, vol. 31(3), pages 792-814, July.
  14. Dang, Tri Vi, 2008. "Bargaining with endogenous information," Journal of Economic Theory, Elsevier, vol. 140(1), pages 339-354, May.
  15. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, September.
  16. repec:hum:wpaper:sfb649dp2012-023 is not listed on IDEAS
  17. Michael J. Barclay & Terrence Hendershott & Kenneth Kotz, 2006. "Automation versus Intermediation: Evidence from Treasuries Going Off the Run," Journal of Finance, American Finance Association, vol. 61(5), pages 2395-2414, October.
  18. Alex Frino & Luca Galati & Dionigi Gerace, 2022. "Reporting delays and the information content of off‐market trades," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(11), pages 2053-2067, November.
  19. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2005. "Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs," DNB Working Papers 069, Netherlands Central Bank, Research Department.
  20. Eleni Gousgounis & Sayee Srinivasan, 2019. "Block trades in options markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(8), pages 985-1007, August.
  21. Chris Kenyon & Jan Camenisch, 2011. "Provably linkable trading," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 641-651.
  22. Ibikunle, Gbenga, 2015. "Opening and closing price efficiency: Do financial markets need the call auction?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 208-227.
  23. Kwan, Amy & Masulis, Ronald & McInish, Thomas H., 2015. "Trading rules, competition for order flow and market fragmentation," Journal of Financial Economics, Elsevier, vol. 115(2), pages 330-348.
  24. Angelo Carollo & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna, 2012. "Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 517-530, November.
  25. Bessembinder, Hendrik & Venkataraman, Kumar, 2004. "Does an electronic stock exchange need an upstairs market?," Journal of Financial Economics, Elsevier, vol. 73(1), pages 3-36, July.
  26. P. Joakim Westerholm, 2009. "Do uninformed crossed and internalized trades tap into unexpressed liquidity? The case of Nokia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(2), pages 407-424, June.
  27. Lefebvre, J.J.G., 2011. "Essays on the regulation and microsrtucture of equity markets," Other publications TiSEM c9cdd9ab-6d98-423d-bb8f-b, Tilburg University, School of Economics and Management.
  28. Rose, Annica, 2014. "The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 171-184.
  29. Katya Malinova & Andreas Park, 2009. "Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading," Working Papers tecipa-358, University of Toronto, Department of Economics.
  30. Vo, Minh T., 2007. "Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange," Global Finance Journal, Elsevier, vol. 17(3), pages 379-396, March.
  31. Bikker, Jacob A. & Spierdijk, Laura & van der Sluis, Pieter Jelle, 2007. "Market impact costs of institutional equity trades," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 974-1000, October.
  32. Theresa Libby & Robert Mathieu & Sean W. G. Robb, 2002. "Earnings Announcements and Information Asymmetry: An Intra†Day Analysis," Contemporary Accounting Research, John Wiley & Sons, vol. 19(3), pages 449-472, September.
  33. Turnbull, D. Alasdair S. & White, Robert W. & Smith, Brian F., 2010. "In search of liquidity: The block broker's choice of where to trade cross-listed stocks," Journal of Economics and Business, Elsevier, vol. 62(1), pages 20-34, January.
  34. William J. McNally & Brian F. Smith & Thomas Barnes, 2006. "The Price Impacts of Open Market Repurchase Trades," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(5‐6), pages 735-752, June.
  35. Frantisek Kopriva, 2008. "Source of Information-Driven Trading on the Prague Stock Exchange," CERGE-EI Working Papers wp365, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  36. Jeffrey Ng & Tjomme O. Rusticus & Rodrigo S. Verdi, 2008. "Implications of Transaction Costs for the Post–Earnings Announcement Drift," Journal of Accounting Research, Wiley Blackwell, vol. 46(3), pages 661-696, June.
  37. Davies, Ryan J., 2003. "The Toronto Stock Exchange preopening session," Journal of Financial Markets, Elsevier, vol. 6(4), pages 491-516, August.
  38. Alex Frino, 2021. "Off‐market block trades: New evidence on transparency and information efficiency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 478-492, April.
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