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Price discovery in Bitcoin spot or futures? : the jury is out

Frino, Alex; Gaudiosi, Robert; Webb, Robert I.; Zhou, Zeyang - 2025

Persistent link: https://www.econbiz.de/10015376617

The price impact of futures trades and their intraday seasonality

Webb, Robert I.; Ryu, Doojin; Ryu, Doowon; Han, Joongho - In: Emerging markets review 26 (2016), pp. 80-98

Persistent link: https://www.econbiz.de/10011670875

Market Microstructure Effects on Volatility at the TAIFEX

Muthuswamy, Jayaram - 2020

This study examines whether changes in the frequency of market clearing or changes in trading hours on competing exchanges that use different auction systems affect the volatility of futures prices. In particular, this study exploits a natural experiment in the frequency of market clearing of...

Persistent link: https://www.econbiz.de/10012835134

Liquidity-adjusted value-at-risk : a comprehensive extension with microstructural liquidity components

Ryu, Doojin; Webb, Robert I.; Yu, Jinyoung - In: The European journal of finance 28 (2022) 9, pp. 871-888

Persistent link: https://www.econbiz.de/10013373347

Asymmetric price behaviour surrounding block trades : a market microstructure explanation

Frino, Alex (contributor); Mollica, Vito (contributor); … - 2003 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001767506

Life in the pits: competitive market making and inventory control - further Australian evidence

Frino, Alex; Forrest, Peter; Duffy, Matthew - In: Journal of multinational financial management 9 (1999) 3/4, pp. 373-385

Persistent link: https://www.econbiz.de/10001506205

Stock market closure and intraday stock index futures market volatility : 'contagion', bid-ask bias or both?

Fong, Kingsley; Frino, Alex - In: Pacific-Basin finance journal 9 (2001) 3, pp. 219-232

Persistent link: https://www.econbiz.de/10001585394

The impact of transaction costs on price discovery : evidence from cross-listed stock index futures contracts

Frino, Alex; West, Andrew - In: Pacific-Basin finance journal 11 (2003) 2, pp. 139-151

Persistent link: https://www.econbiz.de/10001758257

The propensity for local traders in futures markets to ride losses : evidence of irrational or rational behavior?

Frino, Alex; Johnstone, David; Zheng, Hui - In: Journal of banking & finance 28 (2004) 2, pp. 353-372

Persistent link: https://www.econbiz.de/10001863273

A note on execution costs for stock index futures : information versus liquidity effects

Berkman, Henk; Brailsford, Timothy J.; Frino, Alex - In: Journal of banking & finance 29 (2005) 3, pp. 565-577

Persistent link: https://www.econbiz.de/10002516846