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An analysis of transactions data for the Toronto Stock Exchange : Return patterns and end-of-the-day effect

Citations

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Cited by:

  1. Ligon, James A. & Liu, Hao-Chen, 2013. "The relation of trade size and price contribution in a traditional foreign exchange brokered market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1024-1045.
  2. Marta Khomyn, 2020. "Essays on Modern Market Structure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2020, January-A.
  3. Martinez, Valeria & Tse, Yiuman, 2018. "Intraday price discovery analysis in the foreign exchange market of an emerging economy: Mexico," Research in International Business and Finance, Elsevier, vol. 45(C), pages 271-284.
  4. Iwatsubo, Kentaro & Watkins, Clinton & Xu, Tao, 2018. "Intraday seasonality in efficiency, liquidity, volatility and volume: Platinum and gold futures in Tokyo and New York," Journal of Commodity Markets, Elsevier, vol. 11(C), pages 59-71.
  5. Islam Azzam & Jasmin Fouad, 2010. "Evaluation Of The Impact Of Day Trading On The Egyptian Stock Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(1), pages 1-21.
  6. Yang, Joey Wenling, 2011. "Transaction duration and asymmetric price impact of trades--Evidence from Australia," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 91-102, January.
  7. Liu, Yu-Jane, 1997. "Periodic market closure and order imbalances," Global Finance Journal, Elsevier, vol. 8(1), pages 95-111.
  8. Roongkiat Ratanabanchuen & Kanis Saengchote & Voraprapa Nakavachara & Thitiphong Amonthumniyom & Pongsathon Parinyavuttichai & Polpatt Vinaibodee, 2024. "The test of investors' behavioral bias through the price discovery process in cryptoasset exchange" Transactional-level evidence from Thailand," Papers 2406.02878, arXiv.org.
  9. Nguyen, Vanthuan & Phengpis, Chanwit, 2009. "An analysis of the opening mechanisms of Exchange Traded Fund markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 562-577, May.
  10. Nicholas Economides & Robert A. Schwartz,, "undated". "Equity Trading Practices and Market Structure: Assessing Asset Managers' Demand for Immediacy," Financial Networks 9508, Economics of Networks.
  11. Wang, Keli & Liu, Xiaoquan & Ye, Wuyi, 2023. "Intraday VaR: A copula-based approach," Journal of Empirical Finance, Elsevier, vol. 74(C).
  12. Chan, Yue-cheong & Chui, Andy C. W. & Kwok, Chuck C. Y., 2001. "The impact of salient political and economic news on the trading activity," Pacific-Basin Finance Journal, Elsevier, vol. 9(3), pages 195-217, June.
  13. Alfred Ma, 2022. "Profitability of technical trading strategies under market manipulation," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-9, December.
  14. Chen, Chun-nan, 2013. "The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 272-281.
  15. Wang, Jying-Nan & Liu, Hung-Chun & Hsu, Yuan-Teng, 2020. "Time-of-day periodicities of trading volume and volatility in Bitcoin exchange: Does the stock market matter?," Finance Research Letters, Elsevier, vol. 34(C).
  16. Köksal, Bülent, 2012. "An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange," MPRA Paper 35968, University Library of Munich, Germany.
  17. Malinova, Katya & Park, Andreas, 2014. "The impact of competition and information on intraday trading," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 55-71.
  18. Kadıoğlu, Eyüp & Frömmel, Michael, 2022. "Manipulation in the bond market and the role of investment funds: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 79(C).
  19. Balashov, Vadim S. & Nikiforov, Andrei, 2019. "How much do investors trade because of name/ticker confusion?," Journal of Financial Markets, Elsevier, vol. 46(C).
  20. Sobhesh Kumar Agarwalla & Ajay Pandey, 2013. "Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(11), pages 1046-1070, November.
  21. Farshid Abdi & Botao Wu, 2018. "Informed Corporate Credit Market Before Monetary Policy Surprises: Explaining Pre-FOMC Stock Market Movements," Working Papers on Finance 1828, University of St. Gallen, School of Finance.
  22. Rourke, Thomas, 2014. "The delta- and vega-related information content of near-the-money option market trading activity," Journal of Financial Markets, Elsevier, vol. 20(C), pages 175-193.
  23. Carol Alexander & Daniel F. Heck & Andreas Kaeck, 2022. "The Role of Binance in Bitcoin Volatility Transmission," Applied Mathematical Finance, Taylor & Francis Journals, vol. 29(1), pages 1-32, January.
  24. Agarwalla, Sobhesh Kumar & Pandey, Ajay, 2012. "Whether Cross-Listing, Stock-specific and Market-wide Calendar Events impact Intraday Volatility Dynamics? Evidence from the Indian Stock Market using High-frequency Data," IIMA Working Papers WP2012-11-03, Indian Institute of Management Ahmedabad, Research and Publication Department.
  25. Çankaya, Serkan & Ulusoy, Veysel & Eken, Hasan/M., 2011. "The Behavior of Istanbul Stock Exchange Market: An Intraday Volatility/Return Analysis Approach," MPRA Paper 43656, University Library of Munich, Germany.
  26. Thomas H. McInish & Robert A. Wood, 1991. "Hourly Returns, Volume, Trade Size, And Number Of Trades," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(4), pages 303-315, December.
  27. Kentaro Iwatsubo & Clinton Watkins & Tao Xu, 2017. "Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York," Discussion Papers 1715, Graduate School of Economics, Kobe University.
  28. Deb, Pragyan & Koo, Bonsoo & Liu, Zijun, 2014. "Competition, premature trading and excess volatility," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 178-193.
  29. Lee, Kuan-Hui & Wang, Shu-Feng, 2016. "Short-selling with a short wait: Trade- and account-level analyses in Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 209-222.
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