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Algorithmic trading efficiency and its impact on market-quality

Dubey, Ritesh Kumar; Babu, A. Sarath; Jha, Rajneesh Ranjan - In: Asia Pacific financial markets 29 (2022) 3, pp. 381-409

Persistent link: https://www.econbiz.de/10013397503

Order submission, information asymmetry, and tick size

Zhu, Hongyu; Yamamoto, Ryuichi - In: Pacific-Basin finance journal 74 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013389193

Passive investors and concentration of intraday liquidity : evidence from the Tokyo Stock Exchange

Kitajima, Kiichi - In: Pacific-Basin finance journal 74 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013389468

Reexamining the impact of closing call auction on market quality : a natural experiment from the Shanghai stock exchange

Han, Qian; Zhao, Chengzhi; Chen, Jing; Guo, Qian - In: Pacific-Basin finance journal 74 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013389486

High-frequency trading, stock volatility, and intraday crashes

Ben Ammar, Imen; Hellara, Slaheddine - In: The quarterly review of economics and finance : journal … 84 (2022), pp. 337-344

Persistent link: https://www.econbiz.de/10013334894

Information content of order imbalance in an order-driven market : Indian evidence

Tripathi, Abhinava; Dixit, Alok; Vipul - In: Finance research letters 41 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10013336223

The impact of upstairs trading on market quality : evidence from a highly segmented market

Białkowski, Je̜drzej; Hong, Sanghyun; Wagner, Moritz - In: New Zealand economic papers 56 (2022) 3, pp. 326-332

Persistent link: https://www.econbiz.de/10013459654

Short sale bans may improve market quality during crises : new evidence from the 2020 Covid

Fohlin, Caroline; Lu, Zhikun; Zhou, Nan - 2022

In theory, banning short selling stabilizes stock prices but undermines pricing efficiency and has ambiguous impacts on market liquidity. Empirical studies find mixed and conflicting results. This paper leverages cross-country policy variation during the 2020 Covid crisis to assess differential...

Persistent link: https://www.econbiz.de/10013459916

Investigating intertrade durations using copulas : an experiment with NASDAQ data

Chakravary, Ranjan R.; Pani, Sudhanshu - In: Algorithmic finance 9 (2022) 3/4, pp. 81-102

Persistent link: https://www.econbiz.de/10013459970

Daily investor sentiment, order flow imbalance and stock liquidity : evidence from the Chinese stock market

Yin, Haiyuan; Wu, Xingying; Kong, Sophie X. - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4816-4836

Persistent link: https://www.econbiz.de/10013461380