When an event is not an event: the curious case of an emerging market

Continuous Auctions and Insider Trading

1985 • 9,651 citations

The Econometrics of Financial Markets

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Using daily stock returns

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An Empirical Evaluation of Accounting Income Numbers

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

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The Adjustment of Stock Prices to New Information

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Risk measurement when shares are subject to infrequent trading

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Time‐Varying World Market Integration

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EVENT STUDIES IN MANAGEMENT RESEARCH: THEORETICAL AND EMPIRICAL ISSUES.

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Optimal dealer pricing under transactions and return uncertainty

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THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS

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International Portfolio Investment Flows

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On the Usefulness of Earnings and Earnings Research: Lessons and Directions from Two Decades of Empirical Research

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A nonparametric test for abnormal security-price performance in event studies

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An Empirical Analysis of Illegal Insider Trading

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The Dynamics of Dealer Markets Under Competition

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Risk aversion, uncertain information, and market efficiency

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International Cross‐Listing and Order Flow Migration: Evidence from an Emerging Market

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The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements?

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Integration vs. Segmentation in the Canadian Stock Market

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International Listings and Stock Returns: Some Empirical Evidence

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Transaction taxes and the behavior of the Swedish stock market

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Market Segmentation and Stock Prices: Evidence from an Emerging Market

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Foreign ownership restrictions and stock prices in the Thai capital market

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U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration

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Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence

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International Listings of Stocks: The Case of Canada and the U.S.

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Standard Errors in Event Studies

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The impact of international cross listings on risk and return

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CROSS‐AUTOCORRELATION BETWEEN A SHARES AND B SHARES IN THE CHINESE STOCK MARKET

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Information, trading and stock returns: Lessons from dually-listed securities

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RATS handbook for econometric time series

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Country Fund Discounts and the Mexican Crisis of December 1994: Did Local Residents Turn Pessimistic before International Investors?

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Information Aggregation, Inflation, and the Pricing of Indexed Bonds

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Pricing Errors at the NYSE Open and Close: Evidence from Internationally Cross-Listed Stocks

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