IDEAS home Printed from https://ideas.repec.org/r/cup/jfinqa/v43y2008i01p93-121_00.html
   My bibliography  Save this item

Order Consolidation, Price Efficiency, and Extreme Liquidity Shocks

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. OUATTARA, Aboudou, 2016. "Impact of the transition to continous trading on emerging financial market's liquidity : Case study of the West Africa Regional Exchange Market (BRVM)," MPRA Paper 75391, University Library of Munich, Germany.
  2. Park, Jong-Ho & Binh, Ki Beom & Eom, Kyong Shik, 2016. "The effect of listing switches from a growth market to a main board: An alternative perspective," Emerging Markets Review, Elsevier, vol. 29(C), pages 246-273.
  3. Pagano, Michael S. & Peng, Lin & Schwartz, Robert A., 2013. "A call auction's impact on price formation and order routing: Evidence from the NASDAQ stock market," Journal of Financial Markets, Elsevier, vol. 16(2), pages 331-361.
  4. Lescourret, Laurence, 2012. "Non-Fundamental Information and Market-Makers' Behavior during the NASDAQ Preopening Session," ESSEC Working Papers WP1212, ESSEC Research Center, ESSEC Business School.
  5. Haoyang Liu & Zhaogang Song & James Vickery, 2021. "Defragmenting Markets: Evidence from Agency MBS," Working Papers 21-25, Federal Reserve Bank of Philadelphia.
  6. Christos Alexakis & Vasileios Pappas & Emmanouil Skarmeas, 2021. "Market abuse under different close price determination mechanisms: A European case," Post-Print hal-03182927, HAL.
  7. Alexakis, Christos & Pappas, Vasileios & Skarmeas, Emmanouil, 2021. "Market abuse under different close price determination mechanisms: A European case," International Review of Financial Analysis, Elsevier, vol. 74(C).
  8. Ester Félez‐Viñas & Björn Hagströmer, 2021. "Do volatility extensions improve the quality of closing call auctions?," The Financial Review, Eastern Finance Association, vol. 56(3), pages 385-406, August.
  9. repec:grz:wpsses:2012-01 is not listed on IDEAS
  10. Bogousslavsky, Vincent & Muravyev, Dmitriy, 2023. "Who trades at the close? Implications for price discovery and liquidity," Journal of Financial Markets, Elsevier, vol. 66(C).
  11. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2018. "The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 136-152.
  12. 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.
  13. Brockman, Paul & Luo, Juan & Xu, Limin, 2020. "The impact of short-selling pressure on corporate employee relations," Journal of Corporate Finance, Elsevier, vol. 64(C).
  14. Dionigi Gerace & Qigui Liu & Gary Gang Tian & Willa Zheng, 2015. "Call Auction Transparency and Market Liquidity: Evidence from China," International Review of Finance, International Review of Finance Ltd., vol. 15(2), pages 223-255, June.
  15. Zhang, Zeyu & Ibikunle, Gbenga, 2023. "The market quality effects of sub-second frequent batch auctions: Evidence from dark trading restrictions," International Review of Financial Analysis, Elsevier, vol. 89(C).
  16. Inci, A. Can & Ozenbas, Deniz, 2017. "Intraday volatility and the implementation of a closing call auction at Borsa Istanbul," Emerging Markets Review, Elsevier, vol. 33(C), pages 79-89.
  17. Yuichiro Kamada & Michihiro Kandori, 2020. "Revision Games," Econometrica, Econometric Society, vol. 88(4), pages 1599-1630, July.
  18. Park, Seongkyu “Gilbert” & Suen, Wing & Wan, Kam-Ming, 2022. "Call auction design and closing price manipulation: Evidence from the Hong Kong stock exchange," Journal of Financial Markets, Elsevier, vol. 58(C).
  19. 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.
  20. Anselmi, Giulio & Nimalendran, Mahendrarajah & Petrella, Giovanni, 2022. "Order flow fragmentation and flight-to-transparency during stressed market conditions: Evidence from COVID-19," Finance Research Letters, Elsevier, vol. 44(C).
  21. Sangram Keshari Jena & Ashutosh Dash, 2015. "Is call auction efficient for better price discovery?," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 5(8), pages 102-113, August.
  22. Patrizia Perras & Niklas Wagner, 2020. "On the pricing of overnight market risk," Empirical Economics, Springer, vol. 59(3), pages 1307-1327, September.
  23. Jiayi Li & Sumei Luo & Guangyou Zhou, 2021. "Call auction, continuous trading and closing price formation," Quantitative Finance, Taylor & Francis Journals, vol. 21(6), pages 1037-1065, June.
  24. Nusret Cakici & Gautam Goswami & Sinan Tan, 2018. "Equity Options During the Shorting Ban of 2008," JRFM, MDPI, vol. 11(2), pages 1-31, March.
  25. repec:hal:journl:hal-00772798 is not listed on IDEAS
  26. Emily Lin & Carl R. Chen, 2019. "Settlement procedures and stock market efficiency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 164-185, February.
  27. Yiping Lin & David Michayluk & Mi Zou, 2023. "Does Random Auction Ending Curb Stock Price Manipulation?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 13(04), pages 1-33, December.
  28. Jared F. Egginton & Bonnie F. Ness & Robert A. Ness, 2016. "Dealers and changing obligations: the case of stub quoting," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 919-941, November.
  29. A. Can Inci & Andres Ramirez & Hakan Saraoglu, 2022. "Anatomy of intraday volatility at the Chilean stock exchange," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(1), pages 68-98, January.
  30. Jurich, Stephen N., 2021. "Does off-exchange trading decrease in the presence of uncertainty?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 201-213.
  31. Laurence Lescourret, 2017. "Cold Case File? Inventory Risk and Information Sharing during the pre†1997 NASDAQ," European Financial Management, European Financial Management Association, vol. 23(4), pages 761-806, September.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.