203
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Pre-trade transparency and trade size

&
Pages 597-609 | Published online: 10 Feb 2012

References

  • Admati , A and Pfleiderer , P . 1988 . A theory of intraday patterns: volume and price variability . Review of Financial Studies , 1 : 3 – 40 .
  • Aktas , E . 2011 . Systematic factors, information release and market volatility . Applied Financial Economics , 21 : 415 – 20 .
  • Alexander , GJ and Peterson , MA . 2007 . An analysis of trade-size clustering and its relation to stealth trading . Journal of Financial Economics , 84 : 435 – 71 .
  • Anand , A and Subrahmanyam , A . 2008 . Information and the intermediary: are market intermediaries informed traders in electronic markets? . Journal of Financial and Quantitative Analysis , 43 : 1 – 28 .
  • Bandi , FM and Russell , JR . 2006 . Separating microstructure noise from volatility . Journal of Financial Economics , 79 : 655 – 92 .
  • Bank for International Settlements (2009) 79th Annual Report, Basel
  • Barclay , MJ and Warner , JB . 1993 . Stealth trading and volatility . Journal of Financial Economics , 34 : 281 – 305 .
  • Baum , CF , Schaffer , EM and Stillman , S . 2003 . Instrumental variables and GMM: estimation and testing . The Stata Journal , 3 : 1 – 31 .
  • Baum , CF . 2007 . Schaffer, E. M. and Stillman, S. , Enhanced routines for instrumental variables/GMM estimation and testing, Working Paper No. 667, Boston College Economics
  • Bohemer , E , Saar , G and Yu , L . 2005 . Lifting the veil: an analysis of the pre-trade transparency at the NYSE . Journal of Finance , 60 : 783 – 815 .
  • Bozcuk , A and Lasfer , MA . 2005 . The information content of institutional trades on the London Stock Exchange . Journal of Financial and Quantitative Analysis , 40 : 621 – 44 .
  • Brandt , M and Kinlay , WJ . 2005 . Estimating historical volatility Research Article, Investment Analytics. Available at http://www.investment-analytics.com/files/Articles/Brandt%20and%20Kinlay%20-%20Estimating%20Historical%20Volatility%20v1.2%20June%202005.pdf (accessed 20 September 2011)
  • Brennan , MJ and Subrahmanyam , A . 1998 . The determinants of average trade size . Journal of Business , 71 : 1 – 25 .
  • Brunnermeier , MK . 2009 . Deciphering the liquidity and credit crunch 2007–08 . Journal of Economic Perspectives , 23 : 77 – 100 .
  • Chakravarty , S . 2001 . Stealth trading: which traders’ trades move stock prices? . Journal of Financial Economics , 61 : 289 – 307 .
  • Chan , F and Fong , W . 2000 . Trade size, order imbalance and volatility–volume relation . Journal of Financial Economics , 57 : 247 – 73 .
  • Chelley-Steeley , P and Li , Y . 2005 . Volatility changes caused by the trading system: a Markov switching application . Applied Financial Economics Letters , 1 : 373 – 80 .
  • Ciner , C and Sackley , WH . 2007 . Transactions, volume, and volatility: evidence from an emerging market . Applied Financial Economics Letters , 3 : 161 – 4 .
  • Dong , Z , Gu , Q and Han , X . 2010 . Ambiguity aversion and rational herd behaviour . Applied Financial Economics , 20 : 331 – 43 .
  • Easley , D and O'Hara , M . 1987 . Price, trade size, and information in securities markets . Journal of Financial Economics , 19 : 69 – 90 .
  • Engle , RF and Russell , JR . 1998 . Autoregressive conditional duration: a new model for irregularly spaced transaction data . Econometrica , 66 : 1127 – 62 .
  • Eom , KS , Ok , J and Park , J . 2007 . Pre-trade transparency and market quality . Journal of Financial Markets , 10 : 319 – 41 .
  • Evans , T . 2006 . Efficiency tests of the UK financial futures markets and the impact of electronic trading systems . Applied Financial Economics , 16 : 1273 – 83 .
  • Focault , T , Moinas , S and Theissen , S . 2007 . Does anonymity matter in electronic limit order markets? . Review of Financial Studies , 20 : 1707 – 47 .
  • Garman , MB and Klass , MJ . 1980 . On the estimation of security price volatilities from historical data . Journal of Business , 53 : 67 – 78 .
  • Glosten , L and Milgrom , P . 1985 . Bid, ask and transaction prices in a specialist market with heterogeneously informed traders . Journal of Financial Economics , 14 : 71 – 100 .
  • Griffin , J , Harris , J and Topaloglu , S . 2003 . The dynamics of institutional and individual trading . Journal of Finance , 58 : 2285 – 320 .
  • Hansen , L . 1982 . Large sample properties of generalized method of moments estimators . Econometrica , 50 : 1029 – 54 .
  • Hansen , PR and Lunde , A . 2006 . Realized variance and market microstructure noise . Journal of Business and Economic Statistics , 24 : 127 – 61 .
  • Hasbrouck, J. (2007) Empirical Market Microstructure, Oxford University Press, New York
  • Hendershott , T and Jones , CM . 2005 . Island goes dark: transparency, fragmentation, and regulation . The Review of Financial Studies , 18 : 743 – 93 .
  • Hendershott , T . 2011 . Jones, C. M. and Menkveld, A. K. , Does algorithmic trading improve liquidity?, Journal of Finance, 66, 1–34
  • Kleinbergen , F and Paap , R . 2006 . Generalized reduced rank tests using the singular value decomposition . Journal of Econometrics , 127 : 97 – 126 .
  • KPMG Advisory . 2008 . Rapporto Sull’e-retail Finance in Italia , Italy : KPMG Advisory S.p.A. .
  • Kyle , AS . 1995 . Continuous auctions and insider trading . Econometrica , 53 : 1315 – 35 .
  • Lafuente , JA and Ruiz , J . 2004 . The new market effect on return and volatility of Spanish stock indexes . Applied Financial Economics , 14 : 1343 – 50 .
  • Lin , J , Sander , GC and Booth , GG . 1995 . Trade size and components of the bid–ask spread . Review of Financial Studies , 8 : 1153 – 83 .
  • Madhavan , A , Porter , D and Weaver , D . 2005 . Should securities market be more transparent? . Journal of Financial Markets , 8 : 266 – 88 .
  • Pagano , M and Röell , A . 1996 . Transparency and liquidity: a comparison of auction and dealer markets with informed trading . Journal of Finance , 51 : 579 – 611 .
  • Rindi, B. (2008) Informed traders as liquidity providers: anonymity, liquidity and price formation, Review of Finance, 12, 497–532
  • Rossi , E and Santucci De Magistris , P . 2009 . Long memory and tail dependence in trading volume and volatility CREATES Research Paper No. 30
  • Simaan , Y , Weaver , D and Whitcomb , D . 2003 . Market maker quotation behavior and pre-trade transparency . Journal of Finance , 50 : 1247 – 67 .
  • Verma , R , Baklaci , H and Soydemir , G . 2008 . The impact of rational and irrational sentiments of individual and institutional investors on DJIA and S&P500 index returns. Applied Financial Economics . Volume , 18 : 1303 – 17 .
  • Wooldridge , JM . 2010 . Econometric Analysis of Cross Section and Panel Data , 2nd , Cambridge, Massachusetts : MIT Press .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.