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How do block orders affect trade premium and order execution quality on the Taiwan stock exchange?

Lien, Da-hsiang Donald; Hung, Pi-Hsia - 2025

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Broker ID transparency and price impact of trades : evidence from the Korean exchange

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An analytical measure of market underreaction to earnings news

Chung, Kee H.; Kim, Oliver; Lim, Steve C.; Yang, Sean - In: International review of economics & finance : IREF 64 (2019), pp. 612-624

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Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel

Freihube, Thorsten - 2004

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Reporting delays and the information content of off-market trades

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Price limit changes and market quality in the Taiwan Stock Exchange

Lien, Da-hsiang Donald; Hung, Pi-Hsia; Zhu, Jia-De; … - In: Pacific-Basin finance journal 55 (2019), pp. 239-258

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Three essays in market microstructure

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Security analysis, dealer-analyst collaboration, and market quality : evidence from the NASDAQ market in the USA

Chung, Kee H.; Li, Mingsheng; Zhao, Xin - In: Journal of business finance & accounting : JBFA 39 (2012) 9/10, pp. 1376-1402

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Order flows and limit order book resiliency on the Meso-scale

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The information content in trades of inactive Nasdaq stocks

Chen, Peter; Man, Kasing; Wu, Chunchi - In: Journal of entrepreneurial finance : JEF ; official … 8 (2003) 2, pp. 25-53

In this paper we analyze the frequency and information content of small Nasdaq stock trades and their impacts on return volatility at the intraday interval. We employ an autoregressive conditional duration (ACD) model to estimate the intensity of the arrival and information content of trades by...

Persistent link: https://www.econbiz.de/10009154225