-
1
-
-
84977709851
-
Trading mechanisms and stock returns: An empirical investigation
-
Amihud, Y., and Mendelson, H. 1987. Trading mechanisms and stock returns: An empirical investigation. Journal of Finance 42 (July): 533-53.
-
(1987)
Journal of Finance
, vol.42
, Issue.JULY
, pp. 533-553
-
-
Amihud, Y.1
Mendelson, H.2
-
2
-
-
0000264239
-
Multimarket trading and market liquidity
-
Chowdhry, B., and Nanda, V. 1991. Multimarket trading and market liquidity. Review of Financial Studies 4 (3): 483-511.
-
(1991)
Review of Financial Studies
, vol.4
, Issue.3
, pp. 483-511
-
-
Chowdhry, B.1
Nanda, V.2
-
4
-
-
84978569694
-
Intraday patterns in the S&P 500 index futures market
-
Ekman, P. 1992. Intraday patterns in the S&P 500 index futures market. Journal of Futures Markets 12 (August): 365-82.
-
(1992)
Journal of Futures Markets
, vol.12
, Issue.AUGUST
, pp. 365-382
-
-
Ekman, P.1
-
5
-
-
0000013567
-
Co-integration and error correction: Representation, estimation, and testing
-
Engle, R., and Granger, C. 1987. Co-integration and error correction: Representation, estimation, and testing. Econometrics 55 (January): 251-76.
-
(1987)
Econometrics
, vol.55
, Issue.JANUARY
, pp. 251-276
-
-
Engle, R.1
Granger, C.2
-
6
-
-
84993661619
-
Trading halts and market activity: An analysis of volume at the open and the close
-
Gerety, M., and Mulherin, H. 1992. Trading halts and market activity: An analysis of volume at the open and the close. Journal of Finance 47 (December): 1765-84.
-
(1992)
Journal of Finance
, vol.47
, Issue.DECEMBER
, pp. 1765-1784
-
-
Gerety, M.1
Mulherin, H.2
-
7
-
-
38249030378
-
Estimating the components of the bid/ask spread
-
Glosten, L., and Harris, L. 1988. Estimating the components of the bid/ask spread. Journal of Financial Economics 21 (May): 123-42.
-
(1988)
Journal of Financial Economics
, vol.21
, Issue.MAY
, pp. 123-142
-
-
Glosten, L.1
Harris, L.2
-
8
-
-
84977717709
-
The october S&P 500 stock-futures basis
-
Harris, L. 1989. The October S&P 500 stock-futures basis. Journal of Finance 44 (March): 77-99.
-
(1989)
Journal of Finance
, vol.44
, Issue.MARCH
, pp. 77-99
-
-
Harris, L.1
-
9
-
-
84886231184
-
Price and volume effects associated with changes in the S&P 500: New evidence for the existence of price pressures
-
Harris, L., and Gurel, E. 1986. Price and volume effects associated with changes in the S&P 500: New evidence for the existence of price pressures. Journal of Finance 41 (September): 815-30.
-
(1986)
Journal of Finance
, vol.41
, Issue.SEPTEMBER
, pp. 815-830
-
-
Harris, L.1
Gurel, E.2
-
11
-
-
0000731575
-
Trades, quotes, inventories, and information
-
Hasbrouck, J. 1988. Trades, quotes, inventories, and information. Journal of Financial Economics 22 (December): 229-52.
-
(1988)
Journal of Financial Economics
, vol.22
, Issue.DECEMBER
, pp. 229-252
-
-
Hasbrouck, J.1
-
12
-
-
53949090749
-
The dependence between hourly prices and trading volume
-
Jain, P., and Joh, G. 1988. The dependence between hourly prices and trading volume. Journal of Financial and Quantitative Analysis 23 (September): 269-84.
-
(1988)
Journal of Financial and Quantitative Analysis
, vol.23
, Issue.SEPTEMBER
, pp. 269-284
-
-
Jain, P.1
Joh, G.2
-
13
-
-
21144477649
-
Arbitrage, nontrading, and stale prices: October 1987
-
Kleidon, A. 1992. Arbitrage, nontrading, and stale prices: October 1987. Journal of Business 65 (October): 483-507.
-
(1992)
Journal of Business
, vol.65
, Issue.OCTOBER
, pp. 483-507
-
-
Kleidon, A.1
-
14
-
-
84977729924
-
One market? stocks, futures, and options during October 1987
-
Kleidon, A., and Whaley, R. 1992. One market? Stocks, futures, and options during October 1987. Journal of Finance 47 (July): 851-77.
-
(1992)
Journal of Finance
, vol.47
, Issue.JULY
, pp. 851-877
-
-
Kleidon, A.1
Whaley, R.2
-
15
-
-
21844527382
-
Information and index arbitrage
-
Kumar, P., and Seppi, D. 1994. Information and index arbitrage. Journal of Business 67 (October): 481-509.
-
(1994)
Journal of Business
, vol.67
, Issue.OCTOBER
, pp. 481-509
-
-
Kumar, P.1
Seppi, D.2
-
16
-
-
84978546956
-
The effects of amendments to rule 80A on liquidity, volatility, and price efficiency in the S&P 500 futures
-
Kuserk, G., Locke, P., and Sayers, C. 1992. The effects of amendments to Rule 80A on liquidity, volatility, and price efficiency in the S&P 500 futures. Journal of Futures Markets 12 (August): 383-410.
-
(1992)
Journal of Futures Markets
, vol.12
, Issue.AUGUST
, pp. 383-410
-
-
Kuserk, G.1
Locke, P.2
Sayers, C.3
-
17
-
-
0021604560
-
Market structure, information, futures markets and price formation
-
G. G. Storey, A. Schmitz, and A. H. Sarris (eds.). Boulder, Colo.: Westview
-
Kyle, A. 1984. Market structure, information, futures markets and price formation. In G. G. Storey, A. Schmitz, and A. H. Sarris (eds.), International Agricultural Trade: Advanced Reading in Price Formation, Market Structure and Price Instability. Boulder, Colo.: Westview.
-
(1984)
International Agricultural Trade: Advanced Reading in Price Formation, Market Structure and Price Instability
-
-
Kyle, A.1
-
18
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle, A. 1985. Continuous auctions and insider trading. Econometrica 53 (November): 1315-35.
-
(1985)
Econometrica
, vol.53
, Issue.NOVEMBER
, pp. 1315-1335
-
-
Kyle, A.1
-
19
-
-
84911670622
-
Index arbitrage and volatility
-
New York: New York Stock Exchange
-
Miller, M. 1990. Index arbitrage and volatility. In Market Volatility and Investor Confidence. New York: New York Stock Exchange.
-
(1990)
Market Volatility and Investor Confidence
-
-
Miller, M.1
-
20
-
-
0004307350
-
Volatility episodic volatility, and coordinated circuit-breakers: The sequel
-
S. Rhee and R. Chang (eds.). New York: Elsevier
-
Miller, M. 1992. Volatility episodic volatility, and coordinated circuit-breakers: The sequel. In S. Rhee and R. Chang (eds.), Pacific-Basin Capital Markets Research, vol. 3. New York: Elsevier.
-
(1992)
Pacific-Basin Capital Markets Research
, vol.3
-
-
Miller, M.1
-
21
-
-
84993915177
-
Predictability of S&P 500 index basis changes: Arbitrage-induced or statistical illusion?
-
Miller, M.; Muthuswamy, J.; and Whaley, R. 1994. Predictability of S&P 500 index basis changes: Arbitrage-induced or statistical illusion? Journal of Finance 44 (June): 479-514.
-
(1994)
Journal of Finance
, vol.44
, Issue.JUNE
, pp. 479-514
-
-
Miller, M.1
Muthuswamy, J.2
Whaley, R.3
-
24
-
-
84978549653
-
Circuit breakers and stock market volatility
-
Santoni, G., and Lui, T. 1993. Circuit Breakers and Stock Market Volatility. Journal of Futures Markets 13 (May): 261-77.
-
(1993)
Journal of Futures Markets
, vol.13
, Issue.MAY
, pp. 261-277
-
-
Santoni, G.1
Lui, T.2
-
25
-
-
0002422085
-
Index arbitrage profitability
-
Sofianos, G. 1993. Index arbitrage profitability. Journal of Derivatives 1 (Fall): 6-20.
-
(1993)
Journal of Derivatives
, vol.1
, Issue.FALL
, pp. 6-20
-
-
Sofianos, G.1
-
26
-
-
84977734744
-
Inferring the components of the bid-ask spread: Theory and empirical tests
-
Stoll, H. 1989. Inferring the components of the bid-ask spread: Theory and empirical tests. Journal of Finance 44 (March): 115-34.
-
(1989)
Journal of Finance
, vol.44
, Issue.MARCH
, pp. 115-134
-
-
Stoll, H.1
-
27
-
-
0001381786
-
Stock market structure and volatility
-
Stoll, H., and Whaley, R. 1990. Stock market structure and volatility. Review of Financial Studies 3 (1): 37-71.
-
(1990)
Review of Financial Studies
, vol.3
, Issue.1
, pp. 37-71
-
-
Stoll, H.1
Whaley, R.2
-
28
-
-
0040411251
-
-
Division of Market Regulation, Washington, D.C.
-
U.S. SEC (Securities and Exchange Commission). 1990. Trading Analysis of October 13 and 16, 1989. Division of Market Regulation, Washington, D.C.
-
(1990)
Trading Analysis of October 13 and 16, 1989
-
-
|