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Information-Based Trading in Dealer and Auction Markets: An Analysis of Exchange Listings

Citations

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Cited by:

  1. Eleanor Xu, Xiaoqing & Chen, Peter & Wu, Chunchi, 2006. "Time and dynamic volume-volatility relation," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1535-1558, May.
  2. Diego A. Agudelo, 2007. "Do Local or Foreign traders know more in an emerging market? A possible solution of the puzzle," Documentos de Trabajo de Valor Público 11117, Universidad EAFIT.
  3. Kathleen Fuller & Bonnie Ness & Robert Ness, 2010. "Is information risk priced for NASDAQ-listed stocks?," Review of Quantitative Finance and Accounting, Springer, vol. 34(3), pages 301-312, April.
  4. James Weston, 2002. "Electronic Communication Networks and Liquidity on the Nasdaq," Journal of Financial Services Research, Springer;Western Finance Association, vol. 22(1), pages 125-139, August.
  5. Castellano, Rosella & Cerqueti, Roy, 2011. "The optimal bid/ask spread in a Specialist System," Economic Modelling, Elsevier, vol. 28(5), pages 2247-2253, September.
  6. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017, January-A.
  7. Duong, Huu Nhan & Kalev, Petko S., 2013. "Anonymity and order submissions," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 101-118.
  8. Juan Jose Cruces & Enrique L. Kawamura, 2005. "Insider Trading and Corporate Governance in Latin America: A Sequential Trade Model Approach," Working Papers 86, Universidad de San Andres, Departamento de Economia, revised Dec 2005.
  9. Yan He & Chunchi Wu, 2003. "What Explains the Bid‐Ask Spread Decline after Nasdaq Reforms?," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 12(5), pages 347-376, December.
  10. Y. Peter Chung & S. Thomas Kim & Kenji Kutsuna & Richard L. Smith, 2020. "Which firms benefit from market making?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(1), pages 33-63, March.
  11. Aktas, Nihat & de Bodt, Eric & Declerck, Fany & Van Oppens, Herve, 2007. "The PIN anomaly around M&A announcements," Journal of Financial Markets, Elsevier, vol. 10(2), pages 169-191, May.
  12. Jackson, David, 2013. "Estimating PIN for firms with high levels of trading," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 116-120.
  13. Thomas Pöppe & Michael Aitken & Dirk Schiereck & Ingo Wiegand, 2016. "A PIN per day shows what news convey: the intraday probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1187-1220, November.
  14. repec:zbw:bofrdp:2018_001 is not listed on IDEAS
  15. Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Research Discussion Papers 1/2018, Bank of Finland.
  16. Bonnie F. Van Ness & Robert A. Van Ness & Richard S. Warr, 2005. "Nasdaq Trading and Trading Costs: 1993–2002," The Financial Review, Eastern Finance Association, vol. 40(3), pages 281-304, August.
  17. Jan Hanousek & František Kopøiva, 2011. "Detecting Information-Driven Trading in a Dealers Market," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(3), pages 204-229, July.
  18. Comerton-Forde, Carole & Tang, Kar Mei, 2009. "Anonymity, liquidity and fragmentation," Journal of Financial Markets, Elsevier, vol. 12(3), pages 337-367, August.
  19. Lof, Matthijs & van Bommel, Jos, 2023. "Asymmetric information and the distribution of trading volume," Journal of Corporate Finance, Elsevier, vol. 82(C).
  20. repec:uts:finphd:34 is not listed on IDEAS
  21. Nimalendran, M. & Petrella, Giovanni, 2003. "Do 'thinly-traded' stocks benefit from specialist intervention?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1823-1854, September.
  22. Cole, Brittany M. & Gullett, Nell S. Gullett, 2024. "The Value of Corporate Bond Listing," MPRA Paper 120601, University Library of Munich, Germany, revised 27 Mar 2024.
  23. Fishe, Raymond P. H. & Robe, Michel A., 2004. "The impact of illegal insider trading in dealer and specialist markets: evidence from a natural experiment," Journal of Financial Economics, Elsevier, vol. 71(3), pages 461-488, March.
  24. Angel, James J. & Harris, Jeffrey H. & Panchapagesan, Venkatesh & Werner, Ingrid, 2004. "From Pink Slips to Pink Sheets: Liquidity and Shareholder Wealth Consequences of Nasdaq Delistings," Working Paper Series 2004-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  25. Fink, Jason & Fink, Kristin E. & Weston, James P., 2006. "Competition on the Nasdaq and the growth of electronic communication networks," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2537-2559, September.
  26. Visaltanachoti, Nuttawat & Charoenwong, Charlie & Ding, David K., 2011. "Information asymmetry in warrants and their underlying stocks on the stock exchange of Thailand," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 474-487, June.
  27. Iwatsubo, Kentaro & Rhee, S. Ghon & Zhang, Ye Zhou, 2023. "Dealership versus continuous auction: Evidence from the JASDAQ market," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  28. Boehmer, Ekkehart, 2005. "Dimensions of execution quality: Recent evidence for US equity markets," Journal of Financial Economics, Elsevier, vol. 78(3), pages 553-582, December.
  29. Bessembinder, Hendrik, 2003. "Issues in assessing trade execution costs," Journal of Financial Markets, Elsevier, vol. 6(3), pages 233-257, May.
  30. Juan Cruces & Enrique Kawamura, 2005. "Insider Trading and Corporate Governance in Latin America," Research Department Publications 3206, Inter-American Development Bank, Research Department.
  31. Blau, Benjamin M. & Van Ness, Bonnie F. & Van Ness, Robert A., 2011. "Information in short selling: Comparing Nasdaq and the NYSE," Review of Financial Economics, Elsevier, vol. 20(1), pages 1-10, January.
  32. repec:zbw:bofrdp:001 is not listed on IDEAS
  33. Kasing Man & Junbo Wang & Chunchi Wu, 2013. "Price Discovery in the U.S. Treasury Market: Automation vs. Intermediation," Management Science, INFORMS, vol. 59(3), pages 695-714, September.
  34. Russell Poskitt, 2005. "Are Mining-Exploration Stocks More Prone to Informed Trading Than Mining-Production Stocks?," Australian Journal of Management, Australian School of Business, vol. 30(2), pages 201-227, December.
  35. Jinliang Li & Chunchi Wu, 2006. "Daily Return Volatility, Bid-Ask Spreads, and Information Flow: Analyzing the Information Content of Volume," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2697-2740, September.
  36. Maraachlian, Hilda & Rourke, Thomas, 2014. "Delta and vega exposure trading in stock and option markets," Journal of Financial Markets, Elsevier, vol. 18(C), pages 96-125.
  37. 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.
  38. Juan Cruces & Enrique Kawamura, 2005. "Transacciones basadas en información privilegiada y conducción empresarial en América Latina," Research Department Publications 3207, Inter-American Development Bank, Research Department.
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