[go: up one dir, main page]
create a website
Correlated Trading and Returns. (2005). Huberman, Gur ; Dorn, Daniel ; Sengmueller, Paul .
In: DNB Working Papers.
RePEc:dnb:dnbwpp:072.

Full description at Econpapers || Download paper

Cited: 5

Citations received by this document

Cites: 36

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Does trading remove or bring frictions?. (2011). Sun, David ; Lin, William ; Tsai, Shih-Chuan.
    In: MPRA Paper.
    RePEc:pra:mprapa:37285.

    Full description at Econpapers || Download paper

  2. Search costs and investor trading activity: evidences from limit order book. (2011). Sun, David ; Lin, William ; Tsai, Shih-Chuan.
    In: MPRA Paper.
    RePEc:pra:mprapa:37284.

    Full description at Econpapers || Download paper

  3. Individual investors and volatility. (2008). thesmar, david ; Sraer, David ; Foucault, Thierry ; Themar, David.
    In: HEC Research Papers Series.
    RePEc:ebg:heccah:0899.

    Full description at Econpapers || Download paper

  4. Individual Investors and Volatility. (2008). thesmar, david ; Sraer, David ; Foucault, Thierry.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6915.

    Full description at Econpapers || Download paper

  5. A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors. (2007). Zimmermann, Heinz ; Hoechle, Daniel.
    In: Working papers.
    RePEc:bsl:wpaper:2007/14.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Amihud, Yakov, and Haim Mendelson, 1980, Dealership market: market making with inventory, Journal of Financial Economics 8, 3154.

  2. Andrade, Sandro, Charles Chang, and Mark Seasholes, 2004, Uninformed trading and asset prices, Working paper UC Berkely.
    Paper not yet in RePEc: Add citation now
  3. Barber, Brad M., Terrance Odean, and Ning Zhu, 2003, Systematic noise, Working paper UCLA.
    Paper not yet in RePEc: Add citation now

  4. Barber, Brad, and Terrance Odean, 2000, Trading is hazardous to your wealth: The common stock investment performance of individual investors, Journal of Finance 55, 773806.

  5. Barberis, Nicholas C., and Andrei Shleifer, 2003, Style Investing, Journal of Financial Economics 68, 161199.

  6. Campbell, John Y., Sanford J. Grossman, and Jiang Wang, 1993, Trading volume and serial correlation in stock returns, Quarterly Journal of Economics 108, 905939.

  7. Chordia, Tarum, and Avanidhar Subrahmanyam, 2004, Order imbalance and individual stock returns, Journal of Financial Economics 72, 485518.
    Paper not yet in RePEc: Add citation now

  8. Chordia, Tarun, Richard Roll, and Avanidhar Subrahmanyam, 2005, Evidence on the speed of convergence to market efficiency, Journal of Financial Economics forthcoming.

  9. De Long, J. Bradford, Andrei Shleifer, Lawrence Summers, and Robert J. Waldmann, 1990a, Noise trader risk in financial markets, Journal of Political Economy 98, 703738.

  10. Feng, Lei, and Mark Seasholes, 2004, Correlated trading and location, Journal of Finance 59, 21172144.

  11. Gerke, Wolfgang, and Robert Bosch, 1999, Die Betreuer am Neuen Markt - eine empirische Analyse (Designated sponsors in the Neuer Markt - an empirical analysis, Working Paper, Center for Financial Studies, Frankfurt.

  12. Glosten, Lawrence R., and Paul R. Milgrom, 1985, Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics 14, 71100.

  13. Goetzmann, William N., and Masimo Massa, 2002, Daily momentum and contrarian behavior of index fund investors, Journal of Financial and Quantitative Analysis 32.

  14. Gorton, Gary, and George Pennacchi, 1993, Security baskets and index-linked securities, Journal of Business 66, 127.

  15. Griffin, John M., Jeffrey Harris, and Selim Topaloglu, 2003, The dynamics of institutional and individual trading, Journal of Finance 58, 22852320.

  16. Grinblatt, Mark, and Matti Keloharju, 2000, The investment behavior and performance of various investor types: a study of Finlands unique data set, Journal of Financial Economics 55, 4367.

  17. Grinblatt, Mark, Sheridan Titman, and Russ Wermers, 1995, Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior, American Economic Review 85, 10881105.

  18. Grossman, S., and M. Miller, 1988, Liquidity and market structure, Journal of Finance 43, 617633.

  19. Hong, Harrison, Terence Lim, and Jeremy C. Stein, 1999, Forecasting crashes: Trading volume, past returns and conditional skewness in stock prices, Journal of Financial Economics 54, 21432184.

  20. Huberman, Gur, and Werner Stanzl, 2004, Price manipulation and quasi-arbitrage, Econometrica 72, 12471275.

  21. Jackson, Andrew, 2003, The aggregate behaviour of individual investors, London Business School, Working Paper.
    Paper not yet in RePEc: Add citation now
  22. Journal of Finance 45, 375395. Deutsches Aktieninstitut, 2001, Factbook 2001, Frankfurt am Main.
    Paper not yet in RePEc: Add citation now
  23. Kaniel, Ron, Gideon Saar, and Sheridan Titman, 2004, Individual investor sentiment and stock returns, Working paper Faqua School of Business, Duke University.
    Paper not yet in RePEc: Add citation now
  24. Kumar, Alok, and Charles Lee, 2005, Retail sentiment and return comovement, Journal of Finance forthcoming.
    Paper not yet in RePEc: Add citation now

  25. Kyle, Albert S., 1985, Continuous auctions and insider trading, Econometrica 53, 13151335.

  26. Kyrolainen, Petri Juhani, and Jukka Perttunen, 2002, Investors activity and trading behavior, Working Paper, University of Oulu.
    Paper not yet in RePEc: Add citation now

  27. Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1992, The impact of institutional trading on stock prices, Journal of Financial Economics 32, 2343.

  28. Linnainmaa, Juhani, 2003, Who makes the limit order book? implications for contrarian strategies, attention-grabbing hypothesis, and the disposition effect., UCLA Working Paper.
    Paper not yet in RePEc: Add citation now

  29. Nofsinger, John R., and Richard W. Sias, 1999, Herding and feedback trading by institutional and individual investors, Journal of Finance 54, 2263 2295.

  30. Odean, Terrance, 1998, Are investors reluctant to realize their losses?, Journal of Finance 53, 17751798.

  31. Shleifer, Andrei, and Robert Vishny, 1997, The limits to arbitrage, Journal of Finance 52, 3555.

  32. Stoll, Hans R., 1978, The supply of dealership services in securities markets, Journal of Finance 33, 11331151.

  33. Subrahmanyam, Avanidhar, 1991, Risk aversion, market liquidity, and price efficiency, Review of Financial Studies 4, 417441.

  34. Van Steenis, Huw, and Christian Ossig, 2000, European online investor, JP Morgan Equity Research Report.
    Paper not yet in RePEc: Add citation now

  35. Wermers, Russ, 1999, Mutual fund herding and the impact on stock prices, Journal of Finance 54, 581622.

  36. Wylie, Sam, 2005, Fund manager herding: A test of the accuracy of empirical results using uk data, Journal of Business 78.

Cocites

Documents in RePEc which have cited the same bibliography

  1. The Empirical Analysis of Liquidity. (2014). Subrahmanyam, Avanidhar ; Jacobsen, Stacey ; Holden, Craig W..
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000044.

    Full description at Econpapers || Download paper

  2. Market run-ups, market freezes, inventories, and leverage. (2012). Bond, Philip ; Leitner, Yaron.
    In: Working Papers.
    RePEc:fip:fedpwp:12-8.

    Full description at Econpapers || Download paper

  3. Market Liquidity Behaviour in Futures Markets: Empirical Evidence. (2012). Abid, Fathi ; TRABELSI, Lotfi .
    In: Asian Economic and Financial Review.
    RePEc:asi:aeafrj:2012:p:192-206.

    Full description at Econpapers || Download paper

  4. Foreign ownership in Vietnam stock markets - an empirical analysis. (2011). Vo, Xuan Vinh.
    In: MPRA Paper.
    RePEc:pra:mprapa:29863.

    Full description at Econpapers || Download paper

  5. An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis. (2011). Vo, Xuan Vinh ; Batten, Jonathan.
    In: MPRA Paper.
    RePEc:pra:mprapa:29862.

    Full description at Econpapers || Download paper

  6. Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis. (2011). Kontonikas, Alexandros ; KOSTAKIS, ALEXANDROS ; Florackis, Chris.
    In: Working Papers.
    RePEc:gla:glaewp:2011_22.

    Full description at Econpapers || Download paper

  7. Direct or Indirect Cash Flow Statements?. (2011). Bradbury, Michael .
    In: Australian Accounting Review.
    RePEc:bla:ausact:v:21:y:2011:i:2:p:124-130.

    Full description at Econpapers || Download paper

  8. Price pressures. (2010). Menkveld, Albert ; Hendershott, Terrence.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201014.

    Full description at Econpapers || Download paper

  9. A Dynamic Model of the Limit Order Book. (2009). Rosu, Ioanid.
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:22:y:2009:i:11:p:4601-4641.

    Full description at Econpapers || Download paper

  10. Noise-trader risk and Bayesian market making in FX derivatives: rolling loaded dice?. (2009). Ulibarri, Carlos ; Anselmo, Peter C. ; Hovespian, Karen ; Tolk, Jacob ; Florescu, Ionut.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:14:y:2009:i:3:p:268-279.

    Full description at Econpapers || Download paper

  11. A Dynamic Model of the Limit Order Book. (2009). Rosu, Ioanid.
    In: Post-Print.
    RePEc:hal:journl:hal-00515873.

    Full description at Econpapers || Download paper

  12. VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues.. (2008). Erzegovesi, Luca.
    In: Alea Tech Reports.
    RePEc:trt:aleatr:014.

    Full description at Econpapers || Download paper

  13. Noise trader risk and Bayesian market making in FX derivatives: rolling loaded dice?. (2008). Ulibarri, Carlos ; Florescu, Ionut ; Anselmo, Peter ; Hovsepian, Karen ; Tolk, Jacob .
    In: MPRA Paper.
    RePEc:pra:mprapa:14814.

    Full description at Econpapers || Download paper

  14. Liquidity commonality and spillover in the US and Japanese markets: an intraday analysis using exchange-traded funds. (2008). Tse, Yiuman ; Datar, Vinay ; So, Raymond .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:31:y:2008:i:4:p:379-393.

    Full description at Econpapers || Download paper

  15. A functional approach to the price impact of stock trades and the implied true price. (2008). Ting, Christopher ; Huang, Roger D..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:1:p:1-16.

    Full description at Econpapers || Download paper

  16. How do treasury dealers manage their positions?. (2007). Rosenberg, Joshua ; Fleming, Michael.
    In: Staff Reports.
    RePEc:fip:fednsr:299.

    Full description at Econpapers || Download paper

  17. Informative trading or just costly noise? An analysis of Central Bank interventions. (2007). Pasquariello, Paolo.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:10:y:2007:i:2:p:107-143.

    Full description at Econpapers || Download paper

  18. Correlated Trading and Returns. (2007). Huberman, Gur ; Dorn, Daniel ; Sengmueller, Paul .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6530.

    Full description at Econpapers || Download paper

  19. Price Formation and Liquidity Provision in Short-Term Fixed Income Markets. (2007). Lo, Ingrid ; D'Souza, Chris ; Sapp, Stephen .
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-27.

    Full description at Econpapers || Download paper

  20. An empirical analysis of specialist trading behavior at the New York Stock Exchange. (2006). Benediktsdottir, Sigridur .
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:876.

    Full description at Econpapers || Download paper

  21. Market-wide liquidity co-movements, volatility regimes and market cap sizes. (2006). PETITJEAN, Mikael ; Giot, Pierre.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2006102.

    Full description at Econpapers || Download paper

  22. Order imbalance and liquidity supply: Evidence from the bubble burst of Nasdaq stocks. (2005). Li, Mingsheng ; Zhao, Xin ; McCormick, Timothy.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:4:p:533-555.

    Full description at Econpapers || Download paper

  23. Liquidity and exchanges, or contracting with the producers. (2004). Leitner, Yaron.
    In: Business Review.
    RePEc:fip:fedpbr:y:2004:i:q1:p:16-22.

    Full description at Econpapers || Download paper

  24. Return reversals in the bond market: Evidence and causes. (2004). Khang, Kenneth ; King, Tao-Hsien Dolly .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:3:p:569-593.

    Full description at Econpapers || Download paper

  25. Liquidity provision in the overnight foreign exchange market. (2004). Rime, Dagfinn ; Bjønnes, Geir ; Bjonnes, Geir Hoidal ; Haakon O. Aa. Solheim, .
    In: Working Paper.
    RePEc:bno:worpap:2004_13.

    Full description at Econpapers || Download paper

  26. Variation in ex day dividend pricing: Myth or reality?. (2003). Bali, Rakesh.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:27:y:2003:i:2:p:190-210.

    Full description at Econpapers || Download paper

  27. Dealer Behavior and Trading Systems in Foreign Exchange Markets. (2003). Rime, Dagfinn ; Bjønnes, Geir ; Bjonnes, Geir Hoidal.
    In: Working Paper.
    RePEc:bno:worpap:2003_10.

    Full description at Econpapers || Download paper

  28. Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis. (2003). Osler, Carol.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:58:y:2003:i:5:p:1791-1820.

    Full description at Econpapers || Download paper

  29. Estimating the price elasticity of demand in the London stock market. (2002). Wright, Robert ; Levin, Eric J..
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:8:y:2002:i:2:p:222-237.

    Full description at Econpapers || Download paper

  30. Market Liquidity as a Sentiment Indicator. (2002). Stein, Jeremy ; Baker, Malcolm.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8816.

    Full description at Econpapers || Download paper

  31. Positivity of bid-ask spreads and symmetrical monotone risk aversion *. (2002). Chateauneuf, Alain ; Abouda, Moez .
    In: Theory and Decision.
    RePEc:kap:theord:v:52:y:2002:i:2:p:149-170.

    Full description at Econpapers || Download paper

  32. Market-making, inventories and martingale pricing. (2002). ROGER, Patrick ; At, Christian ; Flochel, Laurent .
    In: Post-Print.
    RePEc:hal:journl:halshs-00178162.

    Full description at Econpapers || Download paper

  33. Stop-loss orders and price cascades in currency markets. (2002). Osler, Carol.
    In: Staff Reports.
    RePEc:fip:fednsr:150.

    Full description at Econpapers || Download paper

  34. Directly measuring early exercise premiums using American and European S&P 500 index options. (2002). Dueker, Michael ; Thomas W. Miller, Jr., .
    In: Working Papers.
    RePEc:fip:fedlwp:2002-016.

    Full description at Econpapers || Download paper

  35. The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange. (2002). Hamao, Yasushi ; Ahn, Hee-Joon ; Cai, Jun ; Ho, Richard Y. K., .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:4:p:399-430.

    Full description at Econpapers || Download paper

  36. Market-makers supply and pricing of financial market liquidity. (2002). Shen, Pu ; Starr, Ross M..
    In: Economics Letters.
    RePEc:eee:ecolet:v:76:y:2002:i:1:p:53-58.

    Full description at Econpapers || Download paper

  37. Market Illiquidity and the Bid-Ask Spread of Derivatives. (2000). Amaro de Matos, João ; Antao, Paula.
    In: FEUNL Working Paper Series.
    RePEc:unl:unlfep:wp386.

    Full description at Econpapers || Download paper

  38. Do Market Makers Suffer from Splitting Headaches?. (2000). Huang, Roger ; Weingartner, H..
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:17:y:2000:i:2:p:105-126.

    Full description at Econpapers || Download paper

  39. The components of bid-ask spreads on the London Stock Exchange. (2000). Paudyal, Krishna ; Menyah, Kojo .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:24:y:2000:i:11:p:1767-1785.

    Full description at Econpapers || Download paper

  40. Market Makers Supply and Pricing of Financial Market Liquidity. (2000). Shen, Pu ; Starr, Ross M..
    In: University of California at San Diego, Economics Working Paper Series.
    RePEc:cdl:ucsdec:qt69f9h5bz.

    Full description at Econpapers || Download paper

  41. Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market. (1999). Engle, Robert ; Cho, Young-Hye.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7331.

    Full description at Econpapers || Download paper

  42. Commercial bank net interest margins, default risk, interest-rate risk, and off-balance sheet banking. (1997). Angbazo, Lazarus.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:21:y:1997:i:1:p:55-87.

    Full description at Econpapers || Download paper

  43. High frequency data in financial markets: Issues and applications. (1997). Goodhart, Charles A. E., ; O'Hara, Maureen .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:4:y:1997:i:2-3:p:73-114.

    Full description at Econpapers || Download paper

  44. Limit orders and ex-dividend day return distributions. (1997). Dubofsky, David.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:4:y:1997:i:1:p:47-65.

    Full description at Econpapers || Download paper

  45. Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements. (1996). Remolona, Eli ; Fleming, Michael.
    In: Research Paper.
    RePEc:fip:fednrp:9633.

    Full description at Econpapers || Download paper

  46. Equity Trading Practices and Market Structure: Assessing Asset Managers Demand for Immediacy. (1995). Economides, Nicholas ; Schwartz, Robert A..
    In: Financial Networks.
    RePEc:wop:ennefn:9508.

    Full description at Econpapers || Download paper

  47. Foreign Exchange Volume: Sound and Fury Signifying Nothing?. (1995). Lyons, Richard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4984.

    Full description at Econpapers || Download paper

  48. Seasonalities and intraday return patterns in the foreign currency futures market. (1995). Szakmary, Andrew C. ; Schwarz, Thomas V. ; Cornett, Marcia Millon.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:19:y:1995:i:5:p:843-869.

    Full description at Econpapers || Download paper

  49. Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange. (1994). Werner, Ingrid M. ; Reiss, Peter C..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4727.

    Full description at Econpapers || Download paper

  50. Tests of Microstructural Hypotheses in the Foreign Exchange Market. (1993). Lyons, Richard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4471.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-19 14:49:03 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.