Periodic market closure and trading volume
- 1 July 1992
- journal article
- Published by Elsevier in Journal of Economic Dynamics and Control
- Vol. 16 (3-4) , 451-489
- https://doi.org/10.1016/0165-1889(92)90045-g
Abstract
No abstract availableKeywords
This publication has 39 references indexed in Scilit:
- A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities MarketsThe Review of Financial Studies, 1990
- Trading patterns, bid-ask spreads, and estimated security returnsJournal of Financial Economics, 1989
- Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean EffectsThe Review of Financial Studies, 1989
- A Day-End Transaction Price AnomalyJournal of Financial and Quantitative Analysis, 1989
- Estimating the components of the bid/ask spreadJournal of Financial Economics, 1988
- Stock return variancesJournal of Financial Economics, 1986
- A transaction data study of weekly and intradaily patterns in stock returnsJournal of Financial Economics, 1986
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived SecuritiesEconometrica, 1985
- Vas Ist Das?The Journal of Portfolio Management, 1983
- Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask SpreadJournal of Political Economy, 1981