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SETS, arbitrage activity, and stock price dynamics
Taylor, Nicholas; Dijk, Dick van; Franses, Philip Hans; … - 1999
This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. Therecent introduction ofSETS in the London Stock Exchange provides an excellent opportunity...
Persistent link: https://www.econbiz.de/10011300557
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Order flow and volatility : an empirical investigation
Opschoor, Anne; Taylor, Nicholas; Wel, Michel van der; … - In: Journal of empirical finance 28 (2014), pp. 185-201
Persistent link: https://www.econbiz.de/10011285068
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On the effects of private information on volatility
Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - 2011 - This version: May 9, 2011
We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and private information on prices and the effects of...
Persistent link: https://www.econbiz.de/10011386466
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On the effects of private information on volatility
Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - 2011
We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and private information on prices and the effects of...
Persistent link: https://www.econbiz.de/10009126682
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On the Effects of Private Information on Volatility
Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - Tinbergen Instituut - 2011
We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and private information on prices and the effects of...
Persistent link: https://www.econbiz.de/10011255523
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SETS, Arbitrage Activity, and Stock Price Dynamics
Taylor, Nick; Dijk, Dick van; Franses, Philip Hans; … - Tinbergen Instituut - 1999
This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. Therecent introduction ofSETS in the London Stock Exchange provides an excellent opportunity...
Persistent link: https://www.econbiz.de/10011257151
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On the Effects of Private Information on Volatility
Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - School of Economics and Management, University of Aarhus - 2012
We study the impact of private information on volatility. We develop a comprehensive framework to investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and private information on prices and the effect of public information on...
Persistent link: https://www.econbiz.de/10009652371
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SETS, Arbitrage Activity, and Stock Price Dynamics
Taylor, Nick; Dijk, Dick van; Franses, Philip Hans; … - Tinbergen Institute - 1999
This paper provides an empirical description of the relationship between the trading system operated by a stock exchange and the transaction costs faced by heterogeneous investors who use the exchange. The recent introduction of SETS in the London Stock Exchange provides an excellent opportunity...
Persistent link: https://www.econbiz.de/10005281794
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SETS, arbitrage activity, and stock price dynamics
Taylor, Nick; Dijk, Dick van; Franses, Philip Hans; … - In: Journal of Banking & Finance 24 (2000) 8, pp. 1289-1306
Persistent link: https://www.econbiz.de/10005201260