This paper highlights the importance of timing specifications in empirical market microstructure studies. Small changes in the data matching process and the timing specification of economic variables can significantly alter the outcomes of empirical research. Using the methodology developed by...

Half point quotes and consequently half-point spreads are virtually non-existent in FTSE-100 futures trading. This is surprising since in 1994 Christie and Schultz published a series of papers documenting tacit collusion among NASDAQ market makers. Subsequent to the publication of their article...

This study provides a comprehensive examination of recent mutual fund performance by analyzing a large set of both mutual funds and fund attributes in an effort to link performance to fund-specific characteristics. The sample of funds used in this regression analysis is free of survivorship...

In this study we applied the realized variance based estimator to extract the information from noise and efficient variance from the Indonesia Stock Exchange (IDX). The stocks in the sample are stratified by trading frequency every six months from 2000 to 2007. The standard deviation of noise...

We examine the intraday trading and price dynamics for frequently traded stocks at the Indonesian Stock Exchange. Using trade price, time series generated at one, two, three, five, ten, fifteen, thirty and sixty-minute intervals, we estimate the speed of adjustment and the corresponding realized...

High frequency study at individual level in the Jakarta Stock Exchange is conducted in this research to reveal the dynamics at intraday level. Several apparent patterns emerge from analyzing the relation among the speed of adjustment coefficients, noise, and noise variance. It is found that the...

This study examines the price formation process, noise level, non-trading and component of bid-ask spreads of individual shares listed on the Jakarta Stock Exchange for the period from 2000 to 2004. The price formation process is estimated using speed of adjustment based on the simple partial...

This paper highlights the importance of timing specifications in empirical market microstructure studies. Small changes in the data matching process and the timing specification of economic variables can significantly alter the outcomes of empirical research. Using the methodology developed by...

This study investigates where liquidity and informed trading takes place following the introduction of single stock futures (SSF) contracts on the OneChicago futures exchange. Specifically, we analyze the size and composition of proportional spreads for two sets of stocks, those that have single...