Page 190 - 34-2

Order Choices, Order Execution Quality and Trading Volume: Evidence from Reductions in the Call Auction
Interval

Garvey, R., and Wu, F. 2009. Intraday time and order execution quality dimensions.
Journal of Financial Markets, 12 (2): 203-228. https://doi.org/10.1016/
j.finmar.2008.09.002
Glosten, L. 1994. Is the electronic order book inevitable?. The Journal of Finance, 49 (4):
1127-1161. https://doi.org/10.1111/j.1540-6261.1994.tb02450.x

Greene, W. H. 2017. Econometric Analysis (8th ed.). New Jersey, U.S.: Pearson.
Griffiths, M. D., Smith, B. F., Turnbull, D. A. S., and White, R. W. 2000. The costs and the
determinants of order aggressiveness. Journal of Financial Economics, 56 (1):
65-88. https://doi.org/10.1016/S0304-405X(99)00059-8

Handa, P., and Schwartz, R. A. 1996. Limit order trading. The Journal of Finance, 51 (5):
1835-1861. https://doi.org/10.1111/j.1540-6261.1996.tb05228.x
Heimer, R., and Simsek, A. 2019. Should retail investor’ leverage be limited?.
Journal of Financial Economics, 132 (3): 1-21. https://doi.org/10.1016/
j.jfineco.2018.10.017

Hollifield, B., Miller, R. A., Sandås, P., and Slive, J. 2006. Estimating the gains from trade
in limit-order markets. The Journal of Finance, 61 (6): 2753-2804. https://doi.
org/10.1111/j.1540-6261.2006.01004.x
Hu, S. Y., and Chan, C. 2005. Trading frequency and noise. Applied Financial Economics
Letters, 1 (4): 243-247. https://doi.org/10.1080/17446540500143624

Hung, P. H. 2016. Investor sentiment, order submission, and investment performance
on the Taiwan Stock Exchange. Pacific-Basin Finance Journal, 39: 124-140.
https://doi.org/10.1016/j.pacfin.2016.06.005
Hung, P. H., and Lien, D. 2019. Trading aggressiveness, order execution quality, and
stock price movements: Evidence from the Taiwan stock exchange. Journal
of International Financial Markets, Institutions and Money, 60 (3): 231-251.
https://doi.org/10.1016/j.intfin.2019.01.002

Hvide, H. K., Meling, T. G., Mogstad, M., and Vestad, O. L. 2024. Broadband internet and
the stock market investments of individual investors. The Journal of Finance,
79 (3): 2163-2194.
Kalay, A., Wei, L., and Wohl, A. 2002. Continuous trading or call auctions: Revealed

preferences of investors at the Tel Aviv Stock Exchange. The Journal of
Finance, 57 (1): 523-542. https://doi.org/10.1111/1540-6261.00431
Khanthavit, A. 2020. Time paths of weather-induced mood effects on stock returns.

182