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When do low-frequency measures really measure effective spreads? : evidence from equity and foreign exchange markets
Jahan-Parvar, Mohammad R.; Zikes, Filip - In: The review of financial studies 36 (2023) 10, pp. 4190-4232
Persistent link: https://www.econbiz.de/10014392048
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Thai financial markets and political change
Sutsarun Lumjiak; Sirimon Treepongkaruna; Wee, Marvin; … - In: Journal of financial management, markets and institutions 2 (2014) 1, pp. 5-26
Persistent link: https://www.econbiz.de/10011949641
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Human vs. high-frequency traders, penny jumping, and tick size
Mahmoodzadeh, Soheil; Gençay, Ramazan - In: Journal of banking & finance 85 (2017), pp. 69-82
Persistent link: https://www.econbiz.de/10011816850
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The impacts of index options on the underlying stocks : the case of the S&P 100
Liu, Shinhua - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 1034-1046
Persistent link: https://www.econbiz.de/10003873836
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Specialist risk attitudes and the bid-ask spread
Prucyk, Brian - In: The financial review : the official publication of the … 40 (2005) 2, pp. 223-255
Persistent link: https://www.econbiz.de/10002806933
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The effect of option listing on bid-ask spreads, price volatility, and trading activity of the underlying OTC stocks
Wei, Peihwang; Poon, Percy Siuping; Zee, Susan Mu-lan - In: Review of quantitative finance and accounting 9 (1997) 2, pp. 165-180
Persistent link: https://www.econbiz.de/10001590900
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An empirical analysis of option directional trading and stock depth asymmetry
Wang, Qin - In: The journal of trading 9 (2014) 1, pp. 41-47
Persistent link: https://www.econbiz.de/10011290158
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Microstructure invariance in U.S. stock market trades
Kyle, Albert S.; Obižaeva, Anna; Tuzun, Tugkan - In: Journal of financial markets 49 (2020), pp. 1-36
Persistent link: https://www.econbiz.de/10013531193
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Inter-markets volatility spillover in U.S. bitcoin and financial markets
Qarni, Muhammad Owais; Gulzar, Saqib; Fatima, Syeda Tamkeen - In: Journal of business economics and management 20 (2019) 4, pp. 694-714
This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 … to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover … varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the …
Persistent link: https://www.econbiz.de/10012175787
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On the role of risk premia in volatility forecasting
Chernov, Mikhail - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 4, pp. 411-426
Persistent link: https://www.econbiz.de/10003566051