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Journal of empirical finance
Working paper / National Bureau of Economic Research, Inc.
134
Journal of banking & finance
126
Journal of financial markets
123
NBER working paper series
105
Journal of financial economics
86
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International review of financial analysis
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58
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51
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44
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ECONIS (ZBW)
58
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1
How price limit affects the market efficiency in a short-sale constrained market? : evidence from a quasi-natural experiment
Chen, Haiqiang
;
Gu, Ming
;
Ni, Bo
- In:
Journal of empirical finance
73
(
2023
),
pp. 22-39
Persistent link: https://www.econbiz.de/10014476987
Saved in:
2
Intraday VaR : a copula-based approach
Wang, Keli
;
Liu, Xiaoquan
;
Ye, Wuyi
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014477064
Saved in:
3
Limit order revisions across investor sophistication
Chiu, Junmao
;
Chen, Chin-Ho
- In:
Journal of empirical finance
70
(
2023
),
pp. 74-90
Persistent link: https://www.econbiz.de/10014423618
Saved in:
4
Asymmetric effects of the limit order book on price dynamics
Cenesizoglu, Tolga
;
Dionne, Georges
;
Zhou, Xiaozhou
- In:
Journal of empirical finance
65
(
2022
),
pp. 77-98
Persistent link: https://www.econbiz.de/10013286401
Saved in:
5
Isolating momentum crashes
Dierkes, Maik
;
Krupski, Jan
- In:
Journal of empirical finance
66
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013370567
Saved in:
6
Income, trading, and performance : evidence from retail investors
Bui, Dien Giau
;
Hasan, Iftekhar
;
Lin, Chih-Yung
;
Zhai, …
- In:
Journal of empirical finance
66
(
2022
),
pp. 176-195
Persistent link: https://www.econbiz.de/10013371058
Saved in:
7
Enhancing the profitability of lottery strategies
Kwon, Kyungyoon
;
Min, Byoung-Kyu
;
Sun, Chenfei
- In:
Journal of empirical finance
69
(
2022
),
pp. 166-184
Persistent link: https://www.econbiz.de/10013478528
Saved in:
8
Liquidity provider incentives in fragmented securities markets
Clapham, Benjamin
;
Gomber, Peter
;
Lausen, Jens
;
Panz, Sven
- In:
Journal of empirical finance
60
(
2021
),
pp. 16-38
Persistent link: https://www.econbiz.de/10012692949
Saved in:
9
Trading activity and price discovery in Bitcoin futures markets
Hung, Jui-Cheng
;
Liu, Hung-Chun
;
Yang, J. Jimmy
- In:
Journal of empirical finance
62
(
2021
),
pp. 107-120
Persistent link: https://www.econbiz.de/10012693330
Saved in:
10
The price discovery role of day traders in futures market : evidence from different types of day traders
Fung, Scott
;
Tsai, Shih-Chuan
- In:
Journal of empirical finance
64
(
2021
),
pp. 53-77
Persistent link: https://www.econbiz.de/10013259400
Saved in:
11
Does vega-neutral options trading contain information?
Lee, Jaeram
;
Ryu, Doojin
;
Yang, Heejin
- In:
Journal of empirical finance
62
(
2021
),
pp. 294-314
Persistent link: https://www.econbiz.de/10012693436
Saved in:
12
In search of retail investors : the effect of retail investor attention on odd lot trades
Kupfer, Alexander
;
Schmidt, Markus G.
- In:
Journal of empirical finance
62
(
2021
),
pp. 315-326
Persistent link: https://www.econbiz.de/10012693439
Saved in:
13
Short trading and short investing
Blocher, Jesse
;
Haslag, Peter
;
Zhang, Chi
- In:
Journal of empirical finance
59
(
2020
),
pp. 154-171
Persistent link: https://www.econbiz.de/10012437970
Saved in:
14
High-frequency trading and institutional trading costs
Chen, Marie
;
Garriott, Corey
- In:
Journal of empirical finance
56
(
2020
),
pp. 74-93
Persistent link: https://www.econbiz.de/10012430411
Saved in:
15
Testing moving average trading strategies on ETFs
Huang, Jing-Zhi
;
Huang, Zhijian
- In:
Journal of empirical finance
57
(
2020
),
pp. 16-32
Persistent link: https://www.econbiz.de/10012430427
Saved in:
16
The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market
Wan, Xiaoyuan
- In:
Journal of empirical finance
55
(
2020
),
pp. 104-118
Persistent link: https://www.econbiz.de/10012175267
Saved in:
17
Order price clustering, size clustering, and stock price movements: evidence from the Taiwan Stock Exchange
Lien, Da-hsiang Donald
;
Hung, Pi-Hsia
;
Hung, I-Chung
- In:
Journal of empirical finance
52
(
2019
),
pp. 149-177
Persistent link: https://www.econbiz.de/10012170684
Saved in:
18
Do the limit orders of proprietary and agency algorithmic traders discover or obscure security prices?
Nawn, Samarpan
;
Banerjee, Ashok
- In:
Journal of empirical finance
53
(
2019
),
pp. 109-125
Persistent link: https://www.econbiz.de/10012171648
Saved in:
19
Residual momentum in Japan
Chang, Rosita P.
;
Ko, Kuan-Cheng
;
Nakano, Shinji
;
Rhee, …
- In:
Journal of empirical finance
45
(
2018
),
pp. 283-299
Persistent link: https://www.econbiz.de/10012102451
Saved in:
20
Relative spread and price discovery
Aldrich, Eric M.
;
Lee, Seung
- In:
Journal of empirical finance
48
(
2018
),
pp. 81-98
Persistent link: https://www.econbiz.de/10012109271
Saved in:
21
Trading places : price leadership and the competition for order flow
Ibikunle, Gbenga
- In:
Journal of empirical finance
49
(
2018
),
pp. 178-200
Persistent link: https://www.econbiz.de/10012117739
Saved in:
22
Informed trading in S&P index options? : evidence from the 2008 financial crisis
Li, Wei-Xuan
;
French, Joseph J.
;
Chen, Clara Chia-Sheng
- In:
Journal of empirical finance
42
(
2017
),
pp. 40-65
Persistent link: https://www.econbiz.de/10011808543
Saved in:
23
Informed or speculative trading? : evidence from short selling before star and non-star analysts' downgrade announcements in an emerging market
Meng, Qingbin
;
Li, Ying
;
Jiang, Xuanyu
;
Chan, Kam C.
- In:
Journal of empirical finance
42
(
2017
),
pp. 240-255
Persistent link: https://www.econbiz.de/10011808575
Saved in:
24
The impact of fragmentation, exchange fees and liquidity provision on market quality
Aitken, Michael J.
;
Chen, Haoming
;
Foley, Sean
- In:
Journal of empirical finance
41
(
2017
),
pp. 140-160
Persistent link: https://www.econbiz.de/10011746967
Saved in:
25
Informed retail investors : evidence from retail short sales
Gamble, Keith Jacks
;
Xu, Wei
- In:
Journal of empirical finance
40
(
2017
),
pp. 59-72
Persistent link: https://www.econbiz.de/10011744433
Saved in:
26
Trading system upgrades and short-sale bans : uncoupling the effects of technology and regulation
Chakrabarty, Bidisha
;
Moulton, Pamela C.
;
Pascual, Roberto
- In:
Journal of empirical finance
43
(
2017
),
pp. 74-90
Persistent link: https://www.econbiz.de/10011817909
Saved in:
27
Do wealthy investors have an informational advantage? : evidence based on account classifications of individual investors
Li, Xindan
;
Geng, Ziyang
;
Subrahmanyam, Avanidhar
;
Yu, …
- In:
Journal of empirical finance
44
(
2017
),
pp. 1-18
Persistent link: https://www.econbiz.de/10011817974
Saved in:
28
Idiosyncratic returns and relative value in the US Treasury market
Nielsen, Youngju
;
Pungaliya, Raunaq S.
- In:
Journal of empirical finance
44
(
2017
),
pp. 125-144
Persistent link: https://www.econbiz.de/10011818003
Saved in:
29
The short trading day anomaly
Qadan, Mahmoud
;
Kliger, Doron
- In:
Journal of empirical finance
38
(
2016
),
pp. 62-80
Persistent link: https://www.econbiz.de/10011663224
Saved in:
30
Heuristic learning in intraday trading under uncertainty
Bekiros, Stelios D.
- In:
Journal of empirical finance
30
(
2015
),
pp. 34-49
Persistent link: https://www.econbiz.de/10011489212
Saved in:
31
Adverse selection and the presence of informed trading
Chang, Sanders S.
;
Wang, F. Albert
- In:
Journal of empirical finance
33
(
2015
),
pp. 19-33
Persistent link: https://www.econbiz.de/10011556834
Saved in:
32
The interaction between foreigners' trading and stock market returns in emerging Europe
Ülkü, Numan
- In:
Journal of empirical finance
33
(
2015
),
pp. 243-262
Persistent link: https://www.econbiz.de/10011556886
Saved in:
33
The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange
Rose, Annica
- In:
Journal of empirical finance
28
(
2014
),
pp. 171-184
Persistent link: https://www.econbiz.de/10011285073
Saved in:
34
A dynamic intraday measure of the probability of informed trading and firm-specific return variation
Chang, Sanders S.
;
Chang, Lenisa V.
;
Wang, F. Albert
- In:
Journal of empirical finance
29
(
2014
),
pp. 80-94
Persistent link: https://www.econbiz.de/10011300503
Saved in:
35
Intraday asymmetric liquidity and asymmetric volatility in FTSE-100 futures market
Xiang, Ju
;
Zhu, Xiaoneng
- In:
Journal of empirical finance
25
(
2014
),
pp. 134-148
Persistent link: https://www.econbiz.de/10010462048
Saved in:
36
Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang
;
Hautsch, Nikolaus
;
Mihoci, Andrija
- In:
Journal of empirical finance
19
(
2012
)
4
,
pp. 610-625
Persistent link: https://www.econbiz.de/10009615658
Saved in:
37
Global sytle momentum
Chao, Hsiao-ying
;
Collver, Charles
;
Limthanakom, Natcha
- In:
Journal of empirical finance
19
(
2012
)
3
,
pp. 319-333
Persistent link: https://www.econbiz.de/10009615682
Saved in:
38
Does information vault Niagara Falls? : cross-listed trading in New York and Toronto
Chen, Haiqiang
;
Sub Choi, Paul Moon
- In:
Journal of empirical finance
19
(
2012
)
2
,
pp. 175-199
Persistent link: https://www.econbiz.de/10009615724
Saved in:
39
Does the weather have impacts on returns and trading acitivities in order-driven stock markets? : evidence from China
Lu, Jing
;
Chou, Robin K.
- In:
Journal of empirical finance
19
(
2012
)
1
,
pp. 79-93
Persistent link: https://www.econbiz.de/10009615815
Saved in:
40
Do bond rating changes affect the information asymmetry of stock trading?
He, Yan
;
Wang, Junbo
;
Wei, K. C. John
- In:
Journal of empirical finance
18
(
2011
)
1
,
pp. 103-116
Persistent link: https://www.econbiz.de/10009301169
Saved in:
41
Transaction duration and asymmetric price impact of trades : evidence from Australia
Yang, Joey Wenling
- In:
Journal of empirical finance
18
(
2011
)
1
,
pp. 91-102
Persistent link: https://www.econbiz.de/10009301172
Saved in:
42
Information asymmetry in warrants and their underlying stocks on the stock exchange of Thailand
Visaltanachoti, Nuttawat
;
Charoenwong, Charlie
;
Ding, …
- In:
Journal of empirical finance
18
(
2011
)
3
,
pp. 474-487
Persistent link: https://www.econbiz.de/10009302085
Saved in:
43
Information, speed vs. cost trade-offs, and order routing decisions in US equity markets
Garvey, Ryan
;
Wu, Fei
- In:
Journal of empirical finance
18
(
2011
)
3
,
pp. 408-422
Persistent link: https://www.econbiz.de/10009302095
Saved in:
44
Stock market trading activity and returns around milestones
Aragon, George O.
;
Dieckmann, Stephan
- In:
Journal of empirical finance
18
(
2011
)
4
,
pp. 570-584
Persistent link: https://www.econbiz.de/10009306543
Saved in:
45
Strategic trading in the wrong direction by a large institutional insider
Giambona, Erasmo
;
Golec, Joseph
- In:
Journal of empirical finance
17
(
2010
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10003943912
Saved in:
46
Do investors trade uniformly through time?
Johnson, Woodrow T.
- In:
Journal of empirical finance
17
(
2010
)
4
,
pp. 645-658
Persistent link: https://www.econbiz.de/10009267261
Saved in:
47
Related securities and price discovery : evidence from NYSE-listed non-US stocks
Korczak, Piotr
;
Phylaktis, Kate
- In:
Journal of empirical finance
17
(
2010
)
4
,
pp. 566-584
Persistent link: https://www.econbiz.de/10009267270
Saved in:
48
Price discovery in tick time
Frijns, Bart
;
Schotman, Peter C.
- In:
Journal of empirical finance
16
(
2009
)
5
,
pp. 759-776
Persistent link: https://www.econbiz.de/10003900405
Saved in:
49
The magnet effect of price limits : a logit approach
Hsieh, Ping-hung
;
Kim, Yong H.
;
Yang, J. Jimmy
- In:
Journal of empirical finance
16
(
2009
)
5
,
pp. 830-837
Persistent link: https://www.econbiz.de/10003900412
Saved in:
50
Empirical evidence on jumps in the term structure of the US Treasury Market
Dungey, Mardi H.
;
McKenzie, Michael D.
;
Smith, L. Vanessa
- In:
Journal of empirical finance
16
(
2009
)
2
,
pp. 430-445
Persistent link: https://www.econbiz.de/10003856815
Saved in:
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