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Testing for Market Microstructure Effects in Intraday Volatility : A Reassessment of the Tokyo FX Experiment
Anderson, Torben G. - 1998
This paper develops mew robust inference procedures for analyzing the intraday return volatility patterns that … trading restrictions in the interbank foreign exchange (FX) market for Japanese banks during the Tokyo lunch period. Ito …, Lyons, and Melvin (1998) (ILM) argue that this deregulation resulted in a highly significant shift in the volatility pattern …
Persistent link: https://www.econbiz.de/10012472145
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Abnormal accrual, informed trader, and long-term stock return : evidence from Japan
Muramiya, Katsuhiko; Otogawa, Kazuhisa; Takada, Tomomi - 2008
Persistent link: https://www.econbiz.de/10003797909
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Low-latency trading and price discovery : evidence from the Tokyo Stock Exchange in the pre-opening and opening periods
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2017 - This version: April 2017
unique dataset from the Tokyo Stock Exchange (TSE) based on server-IDs and find that HFTs dynamically alter their presence in …
Persistent link: https://www.econbiz.de/10012061992
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Industrial organization, order Internalization, and invariance
Bondarenko, Oleg; Obižaeva, Anna; Wang, Yajun - 2020
Persistent link: https://www.econbiz.de/10012494238
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Intraday price discovery in fragmented markets
Ozturk, Sait; Wel, Michel van der; Dijk, Dick van - 2014
) does not lead the entire day. Spreads, the number of trades and volatility can explain almost half of the intraday …
Persistent link: https://www.econbiz.de/10010250525
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Risk and Return in High-Frequency Trading
Baron, Matthew - 2018
We study performance and competition among high-frequency traders (HFTs). We construct measures of latency and find that differences in relative latency account for large differences in HFTs' trading performance. HFTs that improve their latency rank due to colocation upgrades see improved...
Persistent link: https://www.econbiz.de/10012937984
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GetHFData: a R package for downloading and aggregating high frequency trading data from Bovespa
Perlin, Marcelo Scherer; Ramos, Henrique P. - In: Revista Brasileira de Finanças : RBFin 14 (2016) 3, pp. 443-478
Persistent link: https://www.econbiz.de/10011654254
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The role of daytime stock auctions in intraday return seasonality
Serikova, Ekaterina - 2019
volatility, I conclude that after-auction periods take over a large share of infrequent rebalancing, being attractive for a …
Persistent link: https://www.econbiz.de/10012101493
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …
Persistent link: https://www.econbiz.de/10012020325
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Volatility Control Mechanisms : The International Experience and the Evidence from Hong Kong
Chan, Kalok; Lam, F. Y. Eric; Valente, Giorgio; Wu, Siyuan - 2022
University of Hong Kong Business School).Trading venues have adopted volatility interruption measures to protect investors from … extreme price gyrations and disorderly markets. Among such measures, Volatility Control Mechanisms (VCMs) are implemented …
Persistent link: https://www.econbiz.de/10013492074