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Dark matters : the effects of dark trading restrictions on liquidity and informational efficiency

Ibikunle, Gbenga; Li, Youwei; Mare, Davide Salvatore; … - In: Journal of international financial markets, … 75 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012820413

Informed trading and the price impact of block trades : a high frequency trading analysis

Sun, Yuxin; Ibikunle, Gbenga - In: International review of financial analysis 54 (2017), pp. 114-129

Persistent link: https://www.econbiz.de/10011878187

Informed Trading and the Price Impact of Block Trades : A High Frequency Trading Analysis

Sun, Yuxin - 2016

Using high frequency data from the London Stock Exchange (LSE), we investigate the relationship between informed trading and the price impact of block trades on intraday and inter-day basis. Price impact of block trades is stronger during the first hour of trading; this is consistent with the...

Persistent link: https://www.econbiz.de/10013005626

The paradoxical effects of market fragmentation on adverse selection risk and market efficiency

Ibikunle, Gbenga; Mare, Davide Salvatore; Sun, Yuxin - In: The European journal of finance 26 (2020) 14, pp. 1439-1461

Persistent link: https://www.econbiz.de/10012264977

City goes dark : dark trading and adverse selection in aggregate markets

Ibikunle, Gbenga; Aquilina, Matteo; Diaz-Rainey, Ivan; … - In: Journal of empirical finance 64 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10013259393

Aggregate market quality implications of dark trading

Aquilina, Matteo; Diaz-Rainey, Ivan; Ibikunle, Gbenga; … - 2017

Persistent link: https://www.econbiz.de/10013163735

A tale of two time zones : the impact of substitutes on cross-listed stock liquidity

Moulton, Pamela C.; Li, Wei - In: Journal of financial markets 12 (2009) 4, pp. 570-591

Persistent link: https://www.econbiz.de/10003902660

Public disclosure and private decisions : equity market execution quality and order routing

Boehmer, Ekkehart; Jennings, Robert H.; Li, Wei - In: The review of financial studies 20 (2007) 2, pp. 316-358

Persistent link: https://www.econbiz.de/10003554425

Daily institutional trades and stock price volatility in a retail investor dominated emerging market

Li, Wei; Wang, Steven Shuye - In: Journal of financial markets 13 (2010) 4, pp. 422-447

Persistent link: https://www.econbiz.de/10009262099

Ownership restriction, information diffusion speed, and the performance of technical trading rules in Chinese domestic and foreign shares markets

Li, Wei; Wang, Steven Shuye - In: Review of Pacific Basin financial markets and policies 10 (2007) 4, pp. 585-617

Persistent link: https://www.econbiz.de/10003675565