Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

Efficient Capital Markets: A Review of Theory and Empirical Work

1970 • 10,493 citations

Asset pricing and the bid-ask spread

1986 • 5,250 citations

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

1984 • 2,564 citations

Stock return variances

1986 • 1,878 citations

Noise

1986 • 1,665 citations

A transaction data study of weekly and intradaily patterns in stock returns

1986 • 828 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 780 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

Stock Market Structure and Volatility

1990 • 580 citations

Liquidity, Maturity, and the Yields on U.S. Treasury Securities

1991 • 520 citations

The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns

1989 • 483 citations

Private Information, Trading Volume, and Stock-Return Variances

1990 • 363 citations

An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989

1990 • 249 citations

Consolidation, Fragmentation, and Market Performance

1987 • 229 citations

A Day-End Transaction Price Anomaly

1989 • 217 citations

Market Behavior in a Clearing House

1982 • 195 citations

Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk

1979 • 179 citations

Market Making and the Changing Structure of the Securities Industry

1985 • 140 citations

Stock market microstructure and return volatility

1990 • 108 citations

European financial integration

1991 • 63 citations

Random competitive exchange: Price distributions and gains from trade

1985 • 62 citations

Market microstructure and price discovery on the Tokyo Stock Exchange

1989 • 46 citations

How (not) to integrate the European capital markets

1991 • 34 citations

Are Trading Rule Profits Feasible?

1987 • 8 citations

Deleted Work

1955 • 0 citations