메뉴 건너뛰기




Volumn 16, Issue 4, 2003, Pages 1041-1073

Price Discovery and Trading After Hours

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0242541738     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/hhg030     Document Type: Article
Times cited : (263)

References (43)
  • 1
    • 0002816156 scopus 로고
    • A Theory of Intraday Patterns: Volumes and Price Variability
    • Admati, A., and P. Pfleiderer, 1988, "A Theory of Intraday Patterns: Volumes and Price Variability," Review of Financial Studies, 1, 3-40.
    • (1988) Review of Financial Studies , vol.1 , pp. 3-40
    • Admati, A.1    Pfleiderer, P.2
  • 2
    • 0344108653 scopus 로고    scopus 로고
    • Liquidity Provision, Adverse Selection, and Trading Costs After Hours
    • forthcoming
    • Barclay, M., and T. Hendershott, 2003, "Liquidity Provision, Adverse Selection, and Trading Costs After Hours," forthcoming in Journal of Finance.
    • (2003) Journal of Finance
    • Barclay, M.1    Hendershott, T.2
  • 3
    • 0344962455 scopus 로고    scopus 로고
    • Competition Among Trading Venues: Information and Trading on Electronic Communications Networks
    • Barclay, M., T. Hendershott, and T. McCormick, 2003, "Competition Among Trading Venues: Information and Trading on Electronic Communications Networks," Journal of Finance, 58, 2639-2667.
    • (2003) Journal of Finance , vol.58 , pp. 2639-2667
    • Barclay, M.1    Hendershott, T.2    McCormick, T.3
  • 4
    • 0001324495 scopus 로고
    • Private Information, Trading Volume and Stock Return Variances
    • Barclay, M., R. Litzenberger, and J. Warner, 1990, "Private Information, Trading Volume and Stock Return Variances," Review of Financial Studies, 3, 233-253.
    • (1990) Review of Financial Studies , vol.3 , pp. 233-253
    • Barclay, M.1    Litzenberger, R.2    Warner, J.3
  • 5
    • 0000820008 scopus 로고
    • Stealth Trading and Volatility: Which Trades Move Prices?
    • Barclay, M., and J. Warner, 1993, "Stealth Trading and Volatility: Which Trades Move Prices?," Journal of Financial Economics, 34, 281-305.
    • (1993) Journal of Financial Economics , vol.34 , pp. 281-305
    • Barclay, M.1    Warner, J.2
  • 6
    • 0033368672 scopus 로고    scopus 로고
    • Price Discovery and Learning During the Preopening Period in the Paris Bourse
    • Biais, B., P. Hillion, and C. Spatt, 1999, "Price Discovery and Learning During the Preopening Period in the Paris Bourse," Journal of Political Economy, 107, 1218-1248.
    • (1999) Journal of Political Economy , vol.107 , pp. 1218-1248
    • Biais, B.1    Hillion, P.2    Spatt, C.3
  • 7
    • 0011612078 scopus 로고    scopus 로고
    • Quotes, Prices, and Estimates in a Laboratory Market
    • Bloomfield, R., 1996, "Quotes, Prices, and Estimates in a Laboratory Market," Journal of Finance, 51, 1791-1808.
    • (1996) Journal of Finance , vol.51 , pp. 1791-1808
    • Bloomfield, R.1
  • 10
    • 0039842567 scopus 로고    scopus 로고
    • Price Discovery without Trading: Evidence from the Nasdaq Pre-opening
    • Cao, C., E. Ghysels, and F. Hatheway, 2000, "Price Discovery without Trading: Evidence from the Nasdaq Pre-opening," Journal of Finance, 55, 1339-1365.
    • (2000) Journal of Finance , vol.55 , pp. 1339-1365
    • Cao, C.1    Ghysels, E.2    Hatheway, F.3
  • 11
    • 21844525728 scopus 로고
    • Market Structure and the Intraday Pattern of Bid-Ask Spreads for Nasdaq Securities
    • Chan, K. C., W. Christie, and P. Schultz, 1995, "Market Structure and the Intraday Pattern of Bid-Ask Spreads for Nasdaq Securities," Journal of Business, 68, 35-60.
    • (1995) Journal of Business , vol.68 , pp. 35-60
    • Chan, K.C.1    Christie, W.2    Schultz, P.3
  • 12
    • 0344971155 scopus 로고    scopus 로고
    • Indicating Ahead: Best Execution and the Nasdaq Preopening
    • Ciccotello, C., and F. Hatheway, 2000, "Indicating Ahead: Best Execution and the Nasdaq Preopening," Journal of Financial Intermediation, 8, 184-212.
    • (2000) Journal of Financial Intermediation , vol.8 , pp. 184-212
    • Ciccotello, C.1    Hatheway, F.2
  • 13
    • 0001629190 scopus 로고
    • Market Efficiency Around the Clock: Some Supporting Evidence Using Foreign-Based Derivatives
    • Craig, A., A. Dravid, and M. Richardson, 1995, "Market Efficiency Around the Clock: Some Supporting Evidence Using Foreign-Based Derivatives," Journal of Financial Economics, 39, 161-180.
    • (1995) Journal of Financial Economics , vol.39 , pp. 161-180
    • Craig, A.1    Dravid, A.2    Richardson, M.3
  • 14
    • 0041340757 scopus 로고    scopus 로고
    • The Toronto Stock Exchange Preopening Session
    • Davies, R., 2003, "The Toronto Stock Exchange Preopening Session," Journal of Financial Markets, 6, 491-516.
    • (2003) Journal of Financial Markets , vol.6 , pp. 491-516
    • Davies, R.1
  • 15
    • 0041346869 scopus 로고    scopus 로고
    • Open Sesame: Alternative Open Algorithms in Securities Markets
    • R. Schwartz (ed.), Kluwer Academic: Boston, MA
    • Domowitz, I., and A. Madhavan, 2000, "Open Sesame: Alternative Open Algorithms in Securities Markets," in R. Schwartz (ed.), Building a Better Stock Market: The Call Market Alternative, Kluwer Academic: Boston, MA.
    • (2000) Building a Better Stock Market: The Call Market Alternative
    • Domowitz, I.1    Madhavan, A.2
  • 16
    • 0003313336 scopus 로고    scopus 로고
    • Is Information Risk a Determinant of Asset Returns?
    • Easley, D., S. Hvidkjaer, and M. O'Hara, 2002, "Is Information Risk a Determinant of Asset Returns?," Journal of Finance, 57, 2185-2221.
    • (2002) Journal of Finance , vol.57 , pp. 2185-2221
    • Easley, D.1    Hvidkjaer, S.2    O'Hara, M.3
  • 17
    • 0039120737 scopus 로고    scopus 로고
    • Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow
    • Easley, D., N. Kiefer, and M. O'Hara, 1996, "Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow," Journal of Finance, 51, 811-833.
    • (1996) Journal of Finance , vol.51 , pp. 811-833
    • Easley, D.1    Kiefer, N.2    O'Hara, M.3
  • 20
    • 84977716725 scopus 로고
    • Time and the Process of Security Price Adjustment
    • Easley, D., and M. O'Hara, 1992, "Time and the Process of Security Price Adjustment," Journal of Finance, 47, 576-605.
    • (1992) Journal of Finance , vol.47 , pp. 576-605
    • Easley, D.1    O'Hara, M.2
  • 21
    • 0000928969 scopus 로고
    • Risk, Return, and Equilibrium - Empirical Tests
    • Fama, E., and J. MacBeth, 1973, "Risk, Return, and Equilibrium - Empirical Tests," Journal of Political Economy, 83, 607-636.
    • (1973) Journal of Political Economy , vol.83 , pp. 607-636
    • Fama, E.1    Macbeth, J.2
  • 22
    • 0040205761 scopus 로고    scopus 로고
    • Quote Disclosure and Price Discovery in Multiple-Dealer Financial Markets
    • Flood, M., R. Huisman, K. Koedijk, and R. Mahieu, 1999, "Quote Disclosure and Price Discovery in Multiple-Dealer Financial Markets," Review of Financial Studies, 12, 37-59.
    • (1999) Review of Financial Studies , vol.12 , pp. 37-59
    • Flood, M.1    Huisman, R.2    Koedijk, K.3    Mahieu, R.4
  • 23
    • 0000763880 scopus 로고
    • A Theory of Intraday Variations in Volume, Variance, and Trading Costs in Securities Markets
    • Foster, F. D., and S. Viswanathan, 1990, "A Theory of Intraday Variations in Volume, Variance, and Trading Costs in Securities Markets," Review of Financial Studies, 3, 593-624.
    • (1990) Review of Financial Studies , vol.3 , pp. 593-624
    • Foster, F.D.1    Viswanathan, S.2
  • 24
    • 84993894915 scopus 로고
    • Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models
    • Foster, F. D., and S. Viswanathan, 1993, "Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models," Journal of Finance, 48, 187-211.
    • (1993) Journal of Finance , vol.48 , pp. 187-211
    • Foster, F.D.1    Viswanathan, S.2
  • 25
    • 0039084784 scopus 로고
    • Stock Return Variances: The Arrival of Information and the Reaction of Traders
    • French, K., and R. Roll, 1986, "Stock Return Variances: The Arrival of Information and the Reaction of Traders," Journal of Financial Economics, 17, 5-26.
    • (1986) Journal of Financial Economics , vol.17 , pp. 5-26
    • French, K.1    Roll, R.2
  • 26
    • 0345401653 scopus 로고
    • Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders
    • Glosten, L., and P. Milgrom, 1985, "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Journal of Financial Economics, 14, 71-100.
    • (1985) Journal of Financial Economics , vol.14 , pp. 71-100
    • Glosten, L.1    Milgrom, P.2
  • 27
    • 84977728940 scopus 로고
    • Measuring the Information Content of Stock Trades
    • Hasbrouck, J., 1991a, "Measuring the Information Content of Stock Trades," Journal of Finance, 46, 179-207.
    • (1991) Journal of Finance , vol.46 , pp. 179-207
    • Hasbrouck, J.1
  • 28
    • 0001740585 scopus 로고
    • The Summary Informativeness of Stock Trades: An Econometric Analysis
    • Hasbrouck, J., 1991b, "The Summary Informativeness of Stock Trades: An Econometric Analysis," Review of Financial Studies, 4, 571-595.
    • (1991) Review of Financial Studies , vol.4 , pp. 571-595
    • Hasbrouck, J.1
  • 29
    • 84993849369 scopus 로고
    • One Security, Many Markets: Determining the Contributions to Price Discovery
    • Hasbrouck, J., 1995, "One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, 50, 1175-1199.
    • (1995) Journal of Finance , vol.50 , pp. 1175-1199
    • Hasbrouck, J.1
  • 30
    • 0040956704 scopus 로고    scopus 로고
    • Crossing Networks and Dealer Markets: Competition and Performance
    • Hendershott, T., and H. Mendelson, 2000, "Crossing Networks and Dealer Markets: Competition and Performance," Journal of Finance, 55, 2071-2115.
    • (2000) Journal of Finance , vol.55 , pp. 2071-2115
    • Hendershott, T.1    Mendelson, H.2
  • 31
    • 0010122224 scopus 로고    scopus 로고
    • The Quality of ECN and Nasdaq Market Maker Quotes
    • Huang, R., 2002, "The Quality of ECN and Nasdaq Market Maker Quotes," Journal of Finance, 57, 1285-1319.
    • (2002) Journal of Finance , vol.57 , pp. 1285-1319
    • Huang, R.1
  • 32
    • 84977730741 scopus 로고
    • Inferring Trade Direction from Intraday Data
    • Lee, C., and M. Ready, 1991, "Inferring Trade Direction from Intraday Data," Journal of Finance, 46, 733-747.
    • (1991) Journal of Finance , vol.46 , pp. 733-747
    • Lee, C.1    Ready, M.2
  • 33
    • 0000621768 scopus 로고
    • An Econometric Analysis of Nonsynchronous Trading
    • Lo, A., and C. MacKinley, 1990, "An Econometric Analysis of Nonsynchronous Trading," Journal of Econometrics, 45, 181-211.
    • (1990) Journal of Econometrics , vol.45 , pp. 181-211
    • Lo, A.1    Mackinley, C.2
  • 34
    • 0000859303 scopus 로고
    • Continuous Auctions and Insider Trading
    • Kyle, A., 1985, "Continuous Auctions and Insider Trading," Econometrica, 53, 1315-1336.
    • (1985) Econometrica , vol.53 , pp. 1315-1336
    • Kyle, A.1
  • 36
    • 0034399513 scopus 로고    scopus 로고
    • Price Discovery in Auction Markets: A look Inside the Black Box
    • Madhavan, A., and V. Panchapagasen, 2000, "Price Discovery in Auction Markets: A look Inside the Black Box," Review of Financial Studies, 13, 627-658.
    • (2000) Review of Financial Studies , vol.13 , pp. 627-658
    • Madhavan, A.1    Panchapagasen, V.2
  • 37
    • 0031523710 scopus 로고    scopus 로고
    • Why do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks
    • Madhavan, A., M. Richardson, and M. Roomas, 1997, "Why do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," Review of Financial Studies, 10, 1035-1064.
    • (1997) Review of Financial Studies , vol.10 , pp. 1035-1064
    • Madhavan, A.1    Richardson, M.2    Roomas, M.3
  • 38
    • 0000276935 scopus 로고
    • Portfolio Return Autocorrelation
    • Mech, T., 1993, "Portfolio Return Autocorrelation," Journal of Financial Economics, 34, 307-344.
    • (1993) Journal of Financial Economics , vol.34 , pp. 307-344
    • Mech, T.1
  • 39
    • 84977736902 scopus 로고
    • After-Hours Stock Prices and Post-Crash Hangover
    • Neumark, D., P. A. Tinsley, and S. Tosini, 1991, "After-Hours Stock Prices and Post-Crash Hangover," Journal of Finance, 46, 159-178.
    • (1991) Journal of Finance , vol.46 , pp. 159-178
    • Neumark, D.1    Tinsley, P.A.2    Tosini, S.3
  • 40
    • 0012341405 scopus 로고    scopus 로고
    • Post-Trade Transparency on Nasdaq's National Market System
    • Porter, D., and D. Weaver, 1998, "Post-Trade Transparency on Nasdaq's National Market System," Journal of Financial Economics, 50, 231-252.
    • (1998) Journal of Financial Economics , vol.50 , pp. 231-252
    • Porter, D.1    Weaver, D.2
  • 41
    • 0001381786 scopus 로고
    • Stock Market Structure and Volatility
    • Stoll, H., and R. Whaley, 1990, "Stock Market Structure and Volatility," Review of Financial Studies, 3, 37-71.
    • (1990) Review of Financial Studies , vol.3 , pp. 37-71
    • Stoll, H.1    Whaley, R.2
  • 42
    • 0030538862 scopus 로고    scopus 로고
    • U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration
    • Werner, I., and A. Kleidon, 1996, "U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration," Review of Financial Studies, 9, 619-664.
    • (1996) Review of Financial Studies , vol.9 , pp. 619-664
    • Werner, I.1    Kleidon, A.2
  • 43
    • 84944836686 scopus 로고
    • An Investigation of Transactions Data for NYSE Stocks
    • Wood, R., T. McInish, J. K. Ord, 1985, "An Investigation of Transactions Data for NYSE Stocks," Journal of Finance, 40, 723-739.
    • (1985) Journal of Finance , vol.40 , pp. 723-739
    • Wood, R.1    McInish, T.2    Ord, J.K.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.