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Asymmetry in the permanent price impact of block purchases and sales : theory and empirical evidence

Frino, Alex; Mollica, Vito; Romano, Maria Grazia; Zhou, … - In: The journal of futures markets 37 (2017) 4, pp. 359-373

Persistent link: https://www.econbiz.de/10011950679

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

Commonality in Liquidity Across International Borders: Evidence from Futures Markets

Frino, Alex; Mollica, Vito; Zhou, Zeyang - In: Journal of Futures Markets 34 (2014) 8, pp. 807-818

<section xml:id="fut21663-sec-0001"> This study examines commonality in liquidity for stock index futures markets. We report strong evidence of commonality in global liquidity for nine index futures contracts over a 10‐year time period extending October 2002 to September 2012. Our results are robust to expiry effects and tests...</section>

Persistent link: https://www.econbiz.de/10011006037

Impact of algorithmic trading on speed of adjustment to new information : Evidence from interest rate derivatives

Frino, Alex; Garcia, Michael; Zhou, Zeyang - In: Journal of Futures Markets 40 (2020) 5, pp. 749-760

Persistent link: https://www.econbiz.de/10012189131

The sensitivity of trading to the cost of information

Frino, Alex; Kovačević, Ognjen; Mollica, Vito; Webb, … - In: Journal of Futures Markets 40 (2020) 10, pp. 1631-1644

Persistent link: https://www.econbiz.de/10012273042

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

The impact of co-location of securities exchanges' and traders' computer servers on market liquidity

Frino, Alex; Mollica, Vito; Webb, Robert I. - In: The journal of futures markets 34 (2014) 1, pp. 20-33

Persistent link: https://www.econbiz.de/10010254959

Information disclosure and stock liquidity : evidence from Borsa Italiana

Frino, Alex; Palumbo, Riccardo; Capalbo, Francesco; … - In: Abacus : a journal of accounting, finance and business … 49 (2013) 4, pp. 423-440

Persistent link: https://www.econbiz.de/10010236031

Accrual-based earnings management in state owned companies : implications for transnational accounting regulation

Capalbo, Francesco; Frino, Alex; Mollica, Vito; … - In: Accounting, auditing & accountability journal 27 (2014) 6, pp. 1026-1040

Persistent link: https://www.econbiz.de/10010409830

Transaction fees and trading strategies in financial markets

Frino, Alex; Mollica, Vito; Romano, Maria Grazia - In: Studi economici : rivista quadrimestrale 68 (2013) 3, pp. 25-49

Persistent link: https://www.econbiz.de/10010513389