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Private Information, Trading Volume, and Stock-Return Variances

Citations

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Cited by:

  1. Gauri Ghai & Maria De Boyrie & Shahid Hamid & Arun Prakash, 2001. "Estimation of global systematic risk for securities listed in multiple markets," The European Journal of Finance, Taylor & Francis Journals, vol. 7(2), pages 117-130.
  2. Torben G. Anderson & Tim Bollerslev & Ashish Das, 1998. "Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment," NBER Working Papers 6666, National Bureau of Economic Research, Inc.
  3. Krishnamurti, Chandrasekhar & Sevic, Aleksandar & Sevic, Zeljko, 2005. "Voluntary disclosure, transparency, and market quality: Evidence from emerging market ADRs," Journal of Multinational Financial Management, Elsevier, vol. 15(4-5), pages 435-454, October.
  4. Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1996. "Is There Private Information in the FX Market? The Tokyo Experiment," Working Papers _005, University of California at Berkeley, Haas School of Business.
  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. Rodrigo Aranda & Patricio Jaramillo, 2008. "Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume," Working Papers Central Bank of Chile 463, Central Bank of Chile.
  7. Chen, Jun & Tse, Yiuman & Williams, Michael, 2009. "Trading location and equity returns: Evidence from US trading of British cross-listed firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 729-741, December.
  8. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
  9. Brown, Stephen & Hillegeist, Stephen A. & Lo, Kin, 2009. "The effect of earnings surprises on information asymmetry," Journal of Accounting and Economics, Elsevier, vol. 47(3), pages 208-225, June.
  10. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Working Papers 0501, University of Crete, Department of Economics.
  11. Geoffrey Booth, G. & Ciner, Cetin, 1997. "International transmission on information in corn futures markets," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 175-187, October.
  12. Qadan, Mahmoud & Zoua’bi, Maher, 2019. "Financial attention and the demand for information," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 82(C).
  13. Roy A. Fletcher, 1993. "A Statistical Model Of Changes In Asset Prices Employing Intraday Data: A Recursive Approach," Review of Financial Economics, John Wiley & Sons, vol. 2(2), pages 43-58, March.
  14. Joel F. Houston & Michael D. Ryngaert, 1992. "The Links Between Trading Time And Market Volatility," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(2), pages 91-100, June.
  15. Noureddine Benlagha & Wael Hemrit, 2022. "Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(1), pages 1-21, January.
  16. Jos, van Bommel, 2011. "Measuring price discovery: The variance ratio, the R2, and the weighted price contribution," Finance Research Letters, Elsevier, vol. 8(3), pages 112-119, September.
  17. George, Thomas J. & Hwang, Chuan-Yang, 1998. "Endogenous market statistics and security pricing:: An empirical investigation," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 285-319, September.
  18. Chengbo Fu, 2018. "Alpha Beta Risk and Stock Returns—A Decomposition Analysis of Idiosyncratic Volatility with Conditional Models," Risks, MDPI, vol. 6(4), pages 1-11, October.
  19. David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc.
  20. Thornton Matheson, 2012. "Security transaction taxes: issues and evidence," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 19(6), pages 884-912, December.
  21. George, Thomas J & Hwang, Chuan-Yang, 2001. "Information Flow and Pricing Errors: A Unified Approach to Estimation and Testing," The Review of Financial Studies, Society for Financial Studies, vol. 14(4), pages 979-1020.
  22. Patrick J. Kelly, 2014. "Information Efficiency and Firm-Specific Return Variation," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(04), pages 1-44.
  23. Chan, K. C. & Fong, Wai-Ming & Kho, Bong-Chan & Stulz, ReneM., 1996. "Information, trading and stock returns: Lessons from dually-listed securities," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1161-1187, August.
  24. Qin Wang & Hsiao-Fen Yang, 2015. "Earnings announcements, trading volume, and price discovery: evidence from dual class firms," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 669-700, May.
  25. Lang, Larry H. P. & Lee, Yi Tsung, 1999. "Performance of various transaction frequencies under call markets: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 23-39, February.
  26. Chan, Kalok & Chockalingam, Mark & Lai, Kent W. L., 2000. "Overnight information and intraday trading behavior: evidence from NYSE cross-listed stocks and their local market information," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 495-509, December.
  27. Mona Mortazian, 2022. "Liquidity and Volatility of Stocks Moved from the Main Market to the Alternative Investment Market (AIM)," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 195-220, June.
  28. Arshanapalli, Bala & Doukas, John & Lang, Larry H. P., 1997. "Common volatility in the industrial structure of global capital markets," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 189-209, April.
  29. Sugato Chakravarty & Chiraphol N. Chiyachantana & Christine Jiang, 2011. "THE CHOICE OF TRADING VENUE AND RELATIVE PRICE IMPACT OF INSTITUTIONAL TRADING: ADRs VERSUS THE UNDERLYING SECURITIES IN THEIR LOCAL MARKETS," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 34(4), pages 537-567, December.
  30. Tse, Yiuman, 1998. "International transmission of information: evidence from the Euroyen and Eurodollar futures markets," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 909-929, December.
  31. Aggarwal, Raj & Mohanty, Sunil, 2000. "Rationality of Japanese macroeconomic survey forecasts: empirical evidence and comparisons with the US," Japan and the World Economy, Elsevier, vol. 12(1), pages 21-31, January.
  32. A. Can Inci & Biao Lu & H. Nejat Seyhun, 2010. "Intraday Behavior of Stock Prices and Trades around Insider Trading," Financial Management, Financial Management Association International, vol. 39(1), pages 323-363, March.
  33. Yiuman Tse & Jose A. Gutierrez, 2009. "Where does Volatility and Return Come From? The Case of Asian ETFs," Working Papers 0063, College of Business, University of Texas at San Antonio.
  34. G. Mujtaba Mian & Christopher M. Adam, 2000. "Does More Market-Wide Information Originate While an Exchange is Open: Some Anomalous Evidence from the ASX," Australian Journal of Management, Australian School of Business, vol. 25(3), pages 339-352, December.
  35. Kathryn Schumann‐Foster & Elias Semaan & Hui Sono, 2020. "The local market perception of firm risks during cross‐listing events," The Financial Review, Eastern Finance Association, vol. 55(2), pages 221-246, May.
  36. Chao Xu & Jinchuan Ke & Xiaojun Zhao & Xiaofang Zhao, 2020. "Multiscale Quantile Correlation Coefficient: Measuring Tail Dependence of Financial Time Series," Sustainability, MDPI, vol. 12(12), pages 1-24, June.
  37. Cooney, John Jr. & Sias, Richard W., 2004. "Informed trading and order type," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1711-1743, July.
  38. Premal P Vora, 2020. "Clogged information flow and stock-market sluggishness," PLOS ONE, Public Library of Science, vol. 15(7), pages 1-13, July.
  39. Wen-Ling Lin & Robert F. Engle & Takatoshi Ito, 1991. "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns," NBER Working Papers 3911, National Bureau of Economic Research, Inc.
  40. Becker, Kent G. & Finnerty, Joseph E. & Friedman, Joseph, 1995. "Economic news and equity market linkages between the U.S. and U.K," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1191-1210, October.
  41. Ding, Liang & Huang, Yirong & Pu, Xiaoling, 2014. "Volatility linkage across global equity markets," Global Finance Journal, Elsevier, vol. 25(2), pages 71-89.
  42. S. Narend & M. Thenmozhi, 2019. "Do Country ETFs Influence Foreign Stock Market Index? Evidence from India ETFs," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 59-86, April.
  43. Jones, Charles M. & Kaul, Gautam & Lipson, Marc L., 1994. "Information, trading, and volatility," Journal of Financial Economics, Elsevier, vol. 36(1), pages 127-154, August.
  44. Eric C. Chang & J. Michael Pinegar & R. Ravichandran, 1995. "European day‐of‐the‐week effects, beta asymmetries and international herding," European Financial Management, European Financial Management Association, vol. 1(2), pages 173-200, July.
  45. Ahmed, Kamran & Kim, Jae H. & Henry, Darren, 2006. "International cross-listings by Australian firms: A stochastic dominance analysis of equity returns," Journal of Multinational Financial Management, Elsevier, vol. 16(5), pages 494-508, December.
  46. Reint Gropp & Arjan Kadareja, 2012. "Stale Information, Shocks, and Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1117-1149, September.
  47. Stephen R. Foerster & G. Andrew Karolyi, "undated". "The Effects of Market Segmentation and Illiquidity on Asset Prices: Evidence from Foreign Stocks Listing in the US," Research in Financial Economics 9606, Ohio State University.
  48. Alford, Andrew W. & Jones, Jonathan D., 1998. "Financial reporting and information asymmetry: an empirical analysis of the SEC's information-supplying exemption for foreign companies," Journal of Corporate Finance, Elsevier, vol. 4(4), pages 373-398, December.
  49. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
  50. Harrison Hong & Jiang Wang, 2000. "Trading and Returns under Periodic Market Closures," Journal of Finance, American Finance Association, vol. 55(1), pages 297-354, February.
  51. Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
  52. Howe, John S. & Ragan, Kent P., 2002. "Price discovery and the international flow of information," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 201-215, July.
  53. Robert Litzenberger & Jeff Castura & Richard Gorelick, 2012. "The Impacts of Automation and High Frequency Trading on Market Quality," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 59-98, October.
  54. Martell, Terrence F. & Rodriguez, Luis & Webb, Gwendolyn P., 1999. "The impact of listing Latin American ADRs on the risks and returns of the underlying shares," Global Finance Journal, Elsevier, vol. 10(2), pages 147-160.
  55. Chuang, Wen-I & Lee, Bong-Soo, 2011. "The informational role of institutional investors and financial analysts in the market," Journal of Financial Markets, Elsevier, vol. 14(3), pages 465-493, August.
  56. Takato Hiraki & Edwin D. Maberly, 2000. "An analysis of Japanese stock return dynamics conditional on U.S. Monday holiday closures," FRB Atlanta Working Paper 2000-6, Federal Reserve Bank of Atlanta.
  57. Huson, Mark R. & MacKinnon, Gregory, 2003. "Corporate spinoffs and information asymmetry between investors," Journal of Corporate Finance, Elsevier, vol. 9(4), pages 481-503, September.
  58. Riedel, Christoph & Wagner, Niklas, 2015. "Is risk higher during non-trading periods? The risk trade-off for intraday versus overnight market returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 53-64.
  59. Forster, Margaret M. & George, Thomas J., 1995. "Trading hours, information flow, and international cross-listing," International Review of Financial Analysis, Elsevier, vol. 4(1), pages 19-34.
  60. Aharon, David Y. & Qadan, Mahmoud, 2020. "When do retail investors pay attention to their trading platforms?," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  61. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
  62. He, Yan & Lin, Hai & Wang, Junbo & Wu, Chunchi, 2009. "Price discovery in the round-the-clock U.S. Treasury market," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 464-490, July.
  63. Tse, Yiuman & Martinez, Valeria, 2007. "Price discovery and informational efficiency of international iShares funds," Global Finance Journal, Elsevier, vol. 18(1), pages 1-15.
  64. Thornton Matheson, 2014. "The Effect of a Low-Rate Transaction Tax on a Highly Liquid Market," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 70(4), pages 487-510, December.
  65. P. B. Solibakke, 2000. "Stock return volatility in thinly traded markets. An empirical analysis of trading and non-trading processes for individual stocks in the Norwegian thinly traded equity market," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 299-310.
  66. Wang, Lanfang & Wang, Susheng, 2021. "Unusual investor behavior under tacit and endogenous market signals," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 76-97.
  67. Tse, Yiuman, 1999. "Round-the-clock market efficiency and home bias: Evidence from the international Japanese government bonds futures markets," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1831-1860, December.
  68. Sanjeet Sharma, 2011. "Day of Week Effect: Evidences from Indian Stock Market," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 2(6), pages 25-30, September.
  69. Jamshed Y. Uppal, 1993. "The Internationalisation of the Pakistani Stock Market: An Empirical Investigation," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 32(4), pages 605-618.
  70. Jian, Zhihong & Li, Xupei & Zhu, Zhican, 2020. "Sequential forecasting of downside extreme risk during overnight and daytime: Evidence from the Chinese Stock Market☆," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
  71. Nick Samouilhan, 2006. "The Relationship Between International Equity Market Behaviour and the JSE," Working Papers 042, Economic Research Southern Africa.
  72. Yang Gao & Chengjie Zhao & Bianxia Sun & Wandi Zhao, 2022. "Effects of investor sentiment on stock volatility: new evidences from multi-source data in China’s green stock markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-30, December.
  73. Perico Ortiz, Daniel & Schnaubelt, Matthias & Seifert, Oleg, 2023. "A topic modeling perspective on investor uncertainty," FAU Discussion Papers in Economics 04/2023, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  74. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
  75. Foerster, Stephen R. & Karolyi, G. Andrew, 1998. "Multimarket trading and liquidity: a transaction data analysis of Canada-US interlistings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 393-412, December.
  76. Lei, Qin & Wu, Guojun, 2005. "Time-varying informed and uninformed trading activities," Journal of Financial Markets, Elsevier, vol. 8(2), pages 153-181, May.
  77. Robert Chirinko & Hisham Foad, 2006. "Noise vs. News in Equity Returns," CESifo Working Paper Series 1812, CESifo.
  78. Dhillon, Upinder S. & Lasser, Dennis J. & Watanabe, Taiji, 1997. "Volatility, information, and double versus walrasian auction pricing in US and Japanese futures markets," Journal of Banking & Finance, Elsevier, vol. 21(7), pages 1045-1061, July.
  79. Jeewon Jang & Jangkoo Kang & Jaeram Lee, 2023. "Who has an edge in trading index derivatives?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 325-348, March.
  80. repec:bla:opecrv:v:32:y:2008:i:2:p:105-122 is not listed on IDEAS
  81. Chowdhury, Anup & Uddin, Moshfique & Anderson, Keith, 2022. "Trading behaviour and market sentiment: Firm-level evidence from an emerging Islamic market," Global Finance Journal, Elsevier, vol. 53(C).
  82. Craig, Alastair & Dravid, Ajay & Richardson, Matthew, 1995. "Market efficiency around the clock Some supporting evidence using foreign-based derivatives," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 161-180.
  83. Bhuyan, Rafiqul & Robbani, Mohammad G. & Talukdar, Bakhtear & Jain, Ajeet, 2016. "Information transmission and dynamics of stock price movements: An empirical analysis of BRICS and US stock markets," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 180-195.
  84. Andersen, Torben G. & Bollerslev, Tim & Cai, Jun, 2000. "Intraday and interday volatility in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 107-130, June.
  85. Park, Jinwoo, 1995. "Variance of ADR returns: information effect and influence of trading in the U.S. market," International Review of Economics & Finance, Elsevier, vol. 4(2), pages 105-114.
  86. Angelos Kanas, 1998. "Volatility spillovers across equity markets: European evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 245-256.
  87. McConnell, John J. & Dybevik, Heidi J. & Haushalter, David & Lie, Erik, 1996. "A survey of evidence on domestic and international stock exchange listings with implications for markets and managers," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 347-376, December.
  88. Chong, Terence Tai-Leung & Wong, Ying-Chiu & Yan, Isabel Kit-Ming, 2008. "International linkages of the Japanese stock market," Japan and the World Economy, Elsevier, vol. 20(4), pages 601-621, December.
  89. Suleyman Cetintas & Luo Si & Sugato Chakravarty & Hans Aagard & Kyle Bowen, 2011. "Learning to Identify Students’ Relevant and IrrelevantQuestions in a Micro-blogging Supported Classroom," Working Papers 1010, Purdue University, Department of Consumer Sciences.
  90. Aarni Pursiainen, 1998. "Relationship between volatility and multilisting : evidence from the Finnish stock market," Finnish Economic Papers, Finnish Economic Association, vol. 11(2), pages 65-85, Autumn.
  91. Aharon, David Y. & Qadan, Mahmoud, 2018. "What drives the demand for information in the commodity market?," Resources Policy, Elsevier, vol. 59(C), pages 532-543.
  92. Faff, Robert W. & Hodgson, Allan & Saudagaran, Shahrokh, 2002. "International cross-listings towards more liquid markets: the impact on domestic firms," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 365-390.
  93. Alexander Robbins, 2010. "The rule 10b5-1 loophole: an empirical study," Review of Quantitative Finance and Accounting, Springer, vol. 34(2), pages 199-224, February.
  94. Yildiz, Serhat & Van Ness, Bonnie & Van Ness, Robert, 2020. "VPIN, liquidity, and return volatility in the U.S. equity markets," Global Finance Journal, Elsevier, vol. 45(C).
  95. Kearney, Colm, 2000. "The determination and international transmission of stock market volatility," Global Finance Journal, Elsevier, vol. 11(1-2), pages 31-52.
  96. Ko, Kwangsoo & Lee, Insup & Yun, Kesop, 1997. "Foreign listings, firm value, and volatility: The case of Japanese firms' listings on the US stock markets," Japan and the World Economy, Elsevier, vol. 9(1), pages 57-69, March.
  97. Gutierrez, Jose A. & Martinez, Valeria & Tse, Yiuman, 2009. "Where does return and volatility come from? The case of Asian ETFs," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 671-679, October.
  98. Allan W. Kleidon & Ingrid M. Werner, 1993. "Round-the-clock Trading: Evidence from U.K. Cross-Listed Securities," NBER Working Papers 4410, National Bureau of Economic Research, Inc.
  99. Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
  100. Kaplanski, Guy & Levy, Haim, 2015. "Trading breaks and asymmetric information: The option markets," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 390-404.
  101. 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.
  102. Ji-Chai Lin & Michael S. Rozeff, 1995. "The Speed Of Adjustment Of Prices To Private Information: Empirical Tests," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 143-156, June.
  103. Bates, David S., 2012. "U.S. stock market crash risk, 1926–2010," Journal of Financial Economics, Elsevier, vol. 105(2), pages 229-259.
  104. Liu, Shinhua & Stowe, John D. & Hung, Ken, 2012. "Why U.S. firms delist from the Tokyo stock exchange: An empirical analysis," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 62-70.
  105. Eyup Kadioðluu & Guray Kuçukkocaoglu & Saim Kilic, 2015. "Closing price manipulation in Borsa Istanbul and the impact of call auction sessions," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 15(3), pages 213-221, September.
  106. Dominique Dupont, 1997. "Trading volume and information distribution in a market-clearing framework," Finance and Economics Discussion Series 1997-41, Board of Governors of the Federal Reserve System (U.S.).
  107. Taylor, Nicholas, 2008. "Can idiosyncratic volatility help forecast stock market volatility?," International Journal of Forecasting, Elsevier, vol. 24(3), pages 462-479.
  108. Gau, Yin-Feng & Wu, Zhen-Xing, 2017. "Macroeconomic announcements and price discovery in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 232-254.
  109. Georgakopoulos, Nicholas L., 1996. "Why should disclosure rules subsidize informed traders?," International Review of Law and Economics, Elsevier, vol. 16(4), pages 417-431, December.
  110. Gary Gorton & James Dow, 1991. "Trading, Communication and the Response of Price to New Information," NBER Working Papers 3687, National Bureau of Economic Research, Inc.
  111. Barclay, Michael J. & Hendershott, Terrence, 2008. "A comparison of trading and non-trading mechanisms for price discovery," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 839-849, December.
  112. Nerissa C. Brown & Han Stice & Roger M. White, 2015. "Mobile Communication and Local Information Flow: Evidence from Distracted Driving Laws," Journal of Accounting Research, Wiley Blackwell, vol. 53(2), pages 275-329, May.
  113. Tse, Yiuman & Lee, Tae-Hwy & Booth, G. Geoffrey, 1996. "The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 447-465, June.
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