Testing for micro-structure effects of international dual listings using intraday data

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

1985 • 6,148 citations

A Simple Model of Capital Market Equilibrium with Incomplete Information

1987 • 5,293 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

The Cost of Transacting

1968 • 1,909 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS

1978 • 1,374 citations

A Simple Model of Capital Market Equilibrium with Incomplete Information

1987 • 1,247 citations

Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis

1993 • 1,050 citations

Inferring Trade Direction from Intraday Data

1991 • 989 citations

An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

1992 • 906 citations

The Only Game in Town

1971 • 899 citations

THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS

1978 • 648 citations

Multimarket Trading and Market Liquidity

1991 • 634 citations

Estimation of the Bid–Ask Spread and Its Components: A New Approach

1991 • 630 citations

Determinants of bid-asked spreads in the over-the-counter market

1974 • 590 citations

The Summary Informativeness of Stock Trades: An Econometric Analysis

1991 • 571 citations

Corporate payout policy

1988 • 441 citations

Information Effects on the Bid-Ask Spread

1983 • 381 citations

Private Information, Trading Volume, and Stock-Return Variances

1990 • 363 citations

A Bayesian model of intraday specialist pricing

1991 • 357 citations

International Listings and Stock Returns: Some Empirical Evidence

1988 • 347 citations

An Empirical Study of Selected Factors Influencing the Decision to List on Foreign Stock Exchanges

1988 • 270 citations

The Supply of Dealer Services in Securities Markets

1978 • 261 citations

Managerial Perceptions of the Net Benefits of Foreign Listing: Canadian Evidence

1992 • 208 citations

Liquidity , Trading Rules and Electronic Trading Systems .

1990 • 208 citations

An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

1992 • 189 citations

The Pricing of Security Dealer Services: An Empirical Study of Nasdaq Stocks

1978 • 113 citations

Liquidity Effects of the Introduction of the S&P 500 Index Futures Contract on the Underlying Stocks

1993 • 111 citations

The Stock Price Impacts of Overseas Listings

1987 • 103 citations

The impact of international listings on risk

1990 • 97 citations

Potential Competition And Actual Competition In Equity Options

1987 • 76 citations

THE IMPACT OF OVERSEAS LISTINGS ON SHAREHOLDER WEALTH: THE CASE OF THE LONDON AND TORONTO STOCK EXCHANGES

1991 • 68 citations

Using intraday data to test for effects of index futures on the underlying stock markets

1994 • 62 citations

A Baysian Model of Intraday Specialist Pricing

1991 • 51 citations

International listings and risk

1993 • 37 citations

Potential Competition and Actual Competition in Equity Options

1987 • 17 citations

Foreign Companies and U.S. Securities Markets in a Time of Economic Transformation

1994 • 16 citations

Internationalization of Securities Markets

1987 • 7 citations