Page 188 - 34-2
P. 188
Order Choices, Order Execution Quality and Trading Volume: Evidence from Reductions in the Call Auction
Interval
org/10.1086/250095
Bogousslavsky, V. 2021. The cross-section of intraday and overnight returns. Journal
of Financial Economics, 141 (1): 172-194. https://doi.org/10.1016/
j.jfineco.2020.07.020
Bogousslavsky, V., and Collin-Dufresne, P. 2023. Liquidity, volume, and order imbalance
volatility. The Journal of Finance, 78 (4): 2189-2232. https://dx.doi.
org/10.2139/ssrn.3336171
Brennan, M. J., and Cao, H. H. 1996. Information, trade, and derivative securities. The
Review of Financial Studies, 9 (1): 163-208. https://doi.org/10.1093/rfs/9.1.163
Budish, E., Cramton, P., and Shim, J. 2015. The high-frequency trading arms race:
Frequent batch auctions as a market design response. The Quarterly Journal of
Economics, 130 (4): 1547-1621. https://doi.org/10.1093/qje/qjv027
Budish, E., Lee, R. S., and Shim, J. J. 2024. A theory of stock exchange competition and
innovation: Will the market fix the market?. Journal of Political Economy, 132
(4): 1209-1246. https://dx.doi.org/10.2139/ssrn.3391461
Calomiris, C. W., and Mamaysky, H. 2019. How news and its context drive risk and
returns around the world?. Journal of Financial Economics, 133 (2): 299-336.
https://doi.org/10.1016/j.jfineco.2018.11.009
Cavagnaro, D. R., Sensoy, B. A., Wang, Y., and Weisbach, M. S. 2019. Measuring
institutional investors’ skill at making private equity investments. The Journal
of Finance, 74 (6): 3089-3134. https://doi.org/10.1111/jofi.12783
Chan, S., and Huang, Y. 2019. Call auction frequency and market quality: Active versus
inactive stocks. Academia Economic Papers, 47 (3): 449-484.
Chiao, C., Wang, Z., and Tong, S. 2017. Order cancellations across investor groups:
Evidence from an emerging order-driven market. Review of Quantitative
Finance and Accounting, 49 (4): 1167-1193. https://doi.org/10.1007/s11156-
017-0620-6
Chiu, J., Chung, H., and Wang, G. H. K. 2017. Order aggressiveness, trading patience, and
trader types in a limit order market. Journal of Futures Markets, 37 (11): 1094-
1123. https://doi.org/10.1002/fut.21832
Chou, R. K., and Wang, G. H. K. 2006. Transaction tax and market quality of the Taiwan
stock index futures. Journal of Futures Markets, 26 (12): 1195-1216. https://doi.
org/10.1002/fut.20238
180