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Ozturk, Sait R.; Wel, Michel van der; Dijk, Dick van - 2015

We study why a majority of trades still happen during the pit hours, i.e. when the trading pit is open, even after the pit ceased to be a liquid and informative venue. We investigate the case of 30-year U.S. Treasury futures using a ten-years-long intraday data set which contains the...

Persistent link: https://www.econbiz.de/10011295705

The dynamics of quote adjustments

Chung, Kee H.; Chuwonganant, Chairat; Jiang, Jing - In: Journal of banking & finance 32 (2008) 11, pp. 2390-2400

Persistent link: https://www.econbiz.de/10003787214

Realized volatility and transactions

Chan, Choon Chat; Fong, Wai-mun - In: Journal of banking & finance 30 (2006) 7, pp. 2063-2085

Persistent link: https://www.econbiz.de/10003339522

Competitive inventory management in Treasury markets

Chatrath, Arjun; Christie-David, Rohan; Lee, Kiseop; … - In: Journal of banking & finance 33 (2009) 5, pp. 800-809

Persistent link: https://www.econbiz.de/10003836415

Trading activity, dealer concentration and foreign exchange market quality

Kaul, Aditya; Sapp, Stephen - In: Journal of banking & finance 33 (2009) 11, pp. 2122-2131

Persistent link: https://www.econbiz.de/10003892251

Timing exchange rates using order flow : the case of the Loonie

King, Michael R.; Sarno, Lucio; Sojli, Elvira - In: Journal of banking & finance 34 (2010) 12, pp. 2917-2928

Persistent link: https://www.econbiz.de/10008859370

Quote-based competition, market share, and execution quality in NASDAQ-listed securities

Chung, Kee H.; Chuwonganant, Chairat - In: Journal of banking & finance 31 (2007) 9, pp. 2770-2795

Persistent link: https://www.econbiz.de/10003572362

Dealer attention, the speed of quote adjustment to information, and net dealer revenue

Boulatov, Alex; Hatch, Brian C.; Johnson, Shane A.; … - In: Journal of banking & finance 33 (2009) 8, pp. 1531-1542

Persistent link: https://www.econbiz.de/10003855630

Price dispersion in OTC markets : a new measure of liquidity

Jankowitsch, Rainer; Nashikkar, Amrut; Subrahmanyam, … - In: Journal of banking & finance 35 (2011) 2, pp. 343-357

Persistent link: https://www.econbiz.de/10009244296

The determinants of price discovery : evidence from US-Canadian cross-listed shares

Frijns, Bart; Gilbert, Aaron; Tourani Rad, Alireza - In: Journal of banking & finance 59 (2015), pp. 457-468

Persistent link: https://www.econbiz.de/10011544675