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Correlated Order Flow: Pervasiveness, Sources, and Pricing Effects

Citations

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Cited by:

  1. Corwin, Shane A. & Lipson, Marc L., 2011. "Order characteristics and the sources of commonality in prices and liquidity," Journal of Financial Markets, Elsevier, vol. 14(1), pages 47-81, February.
  2. Andrade, Sandro C. & Chang, Charles & Seasholes, Mark S., 2008. "Trading imbalances, predictable reversals, and cross-stock price pressure," Journal of Financial Economics, Elsevier, vol. 88(2), pages 406-423, May.
  3. Chan, Kalok & Hameed, Allaudeen & Kang, Wenjin, 2013. "Stock price synchronicity and liquidity," Journal of Financial Markets, Elsevier, vol. 16(3), pages 414-438.
  4. Lee, Kuan-Hui, 2005. "The World Price of Liquidity Risk," Working Paper Series 2006-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  5. Rui Albuquerque & Eva De Francisco & Luis B. Marques, 2008. "Marketwide Private Information in Stocks: Forecasting Currency Returns," Journal of Finance, American Finance Association, vol. 63(5), pages 2297-2343, October.
  6. Fu, Lili & Pan, Liyuan & Wu, Fengyun, 2021. "Does passive investment have a positive governance effect? Evidence from index funds ownership and corporate innovation," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 524-545.
  7. D'Hondt, Catherine & Majois, Christophe & Mazza, Paolo, 2015. "Commonality on Euronext: Do location and account type matter?," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 183-198.
  8. Pankaj K. Jain & Mohamed Mekhaimer & Sandra Mortal, 2020. "Commonality in liquidity and multilateral trading facilities," The Financial Review, Eastern Finance Association, vol. 55(3), pages 481-502, August.
  9. Syamala, Sudhakara Reddy & Wadhwa, Kavita & Goyal, Abhinav, 2017. "Determinants of commonality in liquidity: Evidence from an order-driven emerging market," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 38-52.
  10. Robert Garrison & Pankaj K. Jain & Mark Paddrik, 2024. "Cross‐Asset Tandem Trading and Extraordinary Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(9), pages 1508-1542, September.
  11. Lowe, Alpha, 2014. "The demand-side explanation for commonality in liquidity: The role of institutional ownership in the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 59-85.
  12. Claessens, Stijn & Yafeh, Yishay, 2008. "Additions to Market Indices and the Comovement of Stock Returns around the World," CEPR Discussion Papers 7052, C.E.P.R. Discussion Papers.
  13. Underwood, Shane, 2009. "The cross-market information content of stock and bond order flow," Journal of Financial Markets, Elsevier, vol. 12(2), pages 268-289, May.
  14. Sensoy, Ahmet, 2017. "Firm size, ownership structure, and systematic liquidity risk: The case of an emerging market," Journal of Financial Stability, Elsevier, vol. 31(C), pages 62-80.
  15. Ting Zhang & George J. Jiang & Wei‐Xing Zhou, 2021. "Order imbalance and stock returns: New evidence from the Chinese stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 2809-2836, June.
  16. Dekker, Lennart, 2024. "Essays on asset liquidity and investment funds," Other publications TiSEM 5fc9bf77-84e7-4a36-9e3a-1, Tilburg University, School of Economics and Management.
  17. Tor‐Erik Bakke & Hamed Mahmudi & Ashley Newton, 2020. "Performance peer groups in CEO compensation contracts," Financial Management, Financial Management Association International, vol. 49(4), pages 997-1027, December.
  18. Patricia Chelley‐Steeley & Neophytos Lambertides & Christos S. Savva, 2019. "Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity," European Financial Management, European Financial Management Association, vol. 25(1), pages 116-159, January.
  19. Kamara, Avraham & Lou, Xiaoxia & Sadka, Ronnie, 2008. "The divergence of liquidity commonality in the cross-section of stocks," Journal of Financial Economics, Elsevier, vol. 89(3), pages 444-466, September.
  20. Eric Girardin & Dijun Tan & Woon K. Wong, 2010. "Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets," Working Papers 022010, Hong Kong Institute for Monetary Research.
  21. Fabrice Riva & Thomas Marta, 2022. "Do ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique," Post-Print hal-03969597, HAL.
  22. Reza Bradrania & Robert Elliott & Winston Wu, 2022. "Institutional ownership and liquidity commonality: evidence from Australia," Papers 2211.03287, arXiv.org.
  23. Reza Bradrania & Robert Elliott & Winston Wu, 2022. "Institutional ownership and liquidity commonality: evidence from Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(S1), pages 1231-1272, April.
  24. Yutong Lu & Gesine Reinert & Mihai Cucuringu, 2023. "Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets," Papers 2302.09382, arXiv.org, revised May 2024.
  25. J. Christopher Hughen & Cynthia G. McDonald, 2006. "Does Order Flow Commonality Extend Across Trade Sizes and Securities?," Financial Management, Financial Management Association International, vol. 35(1), pages 107-128, March.
  26. Lambertides, Neophytos & Savva, Christos S. & Tsouknidis, Dimitris A., 2017. "The effects of oil price shocks on U.S. stock order flow imbalances and stock returns," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 137-146.
  27. Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S., 2015. "The effect of security and market order flow shocks on co-movement," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 136-155.
  28. Kaul, Aditya & Mehrotra, Vikas & Stefanescu, Carmen, 2016. "Location and excess comovement," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 293-308.
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