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The Market Quality Effects of Sub-Second Frequent Batch Auctions : Evidence from Dark Trading Restrictions

Zhang, Zeyu; Ibikunle, Gbenga - 2022

Recent European regulatory restrictions on dark trading induced an increase in sub-second frequent batch/periodic auctions (PA). We exploit this development to investigate the effects of PA on market quality. The restrictions are linked to an observable increase in PA and an economically...

Persistent link: https://www.econbiz.de/10013403046

A state-space modeling of the information content of trading volume

Rzayev, Khaladdin; Ibikunle, Gbenga - In: Journal of financial markets 46 (2019), pp. 1-19

Persistent link: https://www.econbiz.de/10012317879

The Market Quality Effects of Sub-Second Frequent Batch Auctions : Evidence from Dark Trading Restrictions

Zhang, Zeyu; Ibikunle, Gbenga - 2022

Persistent link: https://www.econbiz.de/10014238962

Does the day of the week effect exist once transaction costs have been accounted for? : Evidence from the UK

Gregoriou, Andros; Kontonikas, A.; Tsitsianis, N. - In: Applied financial economics 14 (2004) 3, pp. 215-220

Persistent link: https://www.econbiz.de/10001915548

The impact of government expenditure on growth : empirical evidence from a heterogeneous panel

Gregoriou, Andros; Ghosh, Sugata - In: Bulletin of economic research 61 (2009) 1, pp. 95-102

Persistent link: https://www.econbiz.de/10003800459

Euro area inflation differentials : unit roots, structural breaks and non-linear adjustment

Gregoriou, Andros (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003519824

The composition of government spending and growth : is current or capital spending better?

Ghosh, Sugata; Gregoriou, Andros - In: Oxford economic papers 60 (2008) 3, pp. 484-516

Persistent link: https://www.econbiz.de/10003738714

Calculating and comparing security returns is harder than you think : a comparison between logarithmic and simple returns

Hudson, Robert; Gregoriou, Andros - In: International review of financial analysis 38 (2015), pp. 151-162

Persistent link: https://www.econbiz.de/10011337618

Market efficiency and the basis in the European Union Emissions Trading Scheme : new evidence from non linear mean reverting unit root tests

Gregoriou, Andros; Healy, Jerome; Savvides, Nicola - In: Journal of economic studies 41 (2014) 4, pp. 315-638

Persistent link: https://www.econbiz.de/10011338463

Calculating and Comparing Security Returns is Harder than you Think : A Comparison between Logarithmic and Simple Returns

Hudson, Robert - 2013

We show that there are some troubling differences between mean returns calculated using logarithmic returns and those calculated using simple returns. The mean of a set of returns calculated using logarithmic returns is less than the mean calculated using simple returns by an amount related to...

Persistent link: https://www.econbiz.de/10013095133