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Price dynamics and market liquidity : an intraday event study on Euronext

Mazza, Paolo - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 139-153

Persistent link: https://www.econbiz.de/10011574367

Limit order books and trade informativeness

Beltran Lopez, Helena; Gramming, Joachim; Menkveld, … - In: The European journal of finance 18 (2012) 9/10, pp. 737-759

Persistent link: https://www.econbiz.de/10009691782

The provision of liquidity by high-frequency participants

Jarnecic, Elvis; Snape, Mark - In: The financial review : the official publication of the … 49 (2014) 2, pp. 371-394

Persistent link: https://www.econbiz.de/10010363575

The impact of trading halts on liquidity and price volatility : evidence from the Australian stock exchange

Frino, Alex; Lecce, Steven; Segara, Reuben - In: Pacific-Basin finance journal 19 (2011) 3, pp. 298-307

Persistent link: https://www.econbiz.de/10009271683

The Impact of Trading Halts on Liquidity and Price Volatility : Evidence From the Australian Stock Exchange

Frino, Alex - 2020

This study examines market behaviour around trading halts associated with information releases on the Australian Stock Exchange, which operates an open electronic limit order book. Using the Lee, Ready and Seguin (1994) pseudo-halt methodology, we find trading halts increase both volume and...

Persistent link: https://www.econbiz.de/10012835133

Day Traders, Noise, and Cost of Immediacy

Dalvi, Manoj; Deuskar, Prachi; Glosten, Lawrence R.; … - National Bureau of Economic Research - 2023

market liquidity and trading of other market participants. IDT contribute 10% to volume while losing 3.2 bp (73% of the half …-spread) on average on trades with others, including proprietary day traders (PDT), the primary intraday-liquidity providers, and …

Persistent link: https://www.econbiz.de/10014250145