Market microstructure effects on volatility at the TAIFEX

Robert I. Webb; Jayaram Muthuswamy; Reuben Segara

doi:10.1002/fut.20289

Market microstructure effects on volatility at the TAIFEX

Journal of Futures Markets ◽

10.1002/fut.20289 ◽

2007 ◽

Vol 27 (12) ◽

pp. 1219-1243 ◽

Cited By ~ 11

Author(s):

Robert I. Webb ◽

Jayaram Muthuswamy ◽

Reuben Segara

Keyword(s):

Market Microstructure ◽

Microstructure Effects

Download Full-text

The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System

SSRN Electronic Journal ◽

10.2139/ssrn.416300 ◽

2003 ◽

Cited By ~ 6

Author(s):

Emilio Barucci ◽

Claudio Impenna ◽

Roberto Reno

Keyword(s):

Market Microstructure ◽

Payment System ◽

Microstructure Effects ◽

Martingale Hypothesis

Download Full-text

THE ITALIAN OVERNIGHT MARKET: MICROSTRUCTURE EFFECTS, THE MARTINGALE HYPOTHESIS AND THE PAYMENT SYSTEM

Monetary Integration, Markets and Regulation - Research in Banking and Finance ◽

10.1016/s1567-7915(04)04013-3 ◽

2004 ◽

pp. 319-360 ◽

Cited By ~ 3

Author(s):

Emilio Barucci ◽

Claudio Impenna ◽

Roberto Renò

Keyword(s):

Market Microstructure ◽

Payment System ◽

Microstructure Effects ◽

Martingale Hypothesis

Download Full-text

Market Microstructure Effects

Encyclopedia of Quantitative Finance ◽

10.1002/9780470061602.eqf19013 ◽

2010 ◽

Author(s):

Jeffrey R. Russell

Keyword(s):

Market Microstructure ◽

Microstructure Effects

Download Full-text

Econometrics of Financial Models and Market Microstructure Effects

Journal of Financial and Quantitative Analysis ◽

10.2307/2331108 ◽

1994 ◽

Vol 29 (4) ◽

pp. 519 ◽

Cited By ~ 13

Author(s):

Tom Smith

Keyword(s):

Market Microstructure ◽

Financial Models ◽

Microstructure Effects

Download Full-text

Assessing Market Microstructure Effects via Realized Volatility Measures with an Application to the Dow Jones Industrial Average Stocks

Journal of Business and Economic Statistics ◽

10.1198/jbes.2009.0018 ◽

2009 ◽

Vol 27 (2) ◽

pp. 251-265 ◽

Cited By ~ 24

Author(s):

Basel Awartani ◽

Valentina Corradi ◽

Walter Distaso

Keyword(s):

Market Microstructure ◽

Realized Volatility ◽

Dow Jones Industrial Average ◽

Microstructure Effects

Download Full-text

Market Microstructure Effects on the Direct Measurement of the Early Exercise Premium in Exchange-Listed Options

10.20955/wp.1996.013 ◽

1996 ◽

Cited By ~ 1

Author(s):

Michael J. Dueker ◽

Thomas W. Miller Jr.

Keyword(s):

Direct Measurement ◽

Market Microstructure ◽

Early Exercise ◽

Microstructure Effects ◽

Early Exercise Premium

Download Full-text

Market Microstructure Effects of Government Intervention in the Foreign Exchange Market

Review of Financial Studies ◽

10.1093/rfs/4.3.513 ◽

1991 ◽

Vol 4 (3) ◽

pp. 513-541 ◽

Cited By ~ 59

Author(s):

Peter Bossaerts ◽

Pierre Hillion

Keyword(s):

Foreign Exchange ◽

Market Microstructure ◽

Foreign Exchange Market ◽

Government Intervention ◽

Exchange Market ◽

Microstructure Effects

Download Full-text

The Ex-dividend Day Behaviour of REITs: Tax or Market Microstructure Effects

European Financial Management ◽

10.1111/eufm.12093 ◽

2016 ◽

Vol 22 (3) ◽

pp. 341-366

Author(s):

Kose John ◽

Ravi S. Mateti ◽

Duong Nguyen ◽

Gopala Vasudevan

Keyword(s):

Market Microstructure ◽

Microstructure Effects

Download Full-text

Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment

10.3386/w6666 ◽

1998 ◽

Cited By ~ 5

Author(s):

Torben Anderson ◽

Tim Bollerslev ◽

Ashish Das

Keyword(s):

Market Microstructure ◽

Microstructure Effects ◽

Intraday Volatility

Download Full-text

Market microstructure effects of U.S.-Canada differences relating to reserve-based accounting disclosures

Journal of International Accounting Auditing and Taxation ◽

10.1016/s1061-9518(98)90014-3 ◽

1998 ◽

Vol 7 (2) ◽

pp. 195-214 ◽

Cited By ~ 3

Author(s):

Jeff P. Boone ◽

Robert G. Luther ◽

K.K. Raman

Keyword(s):

Market Microstructure ◽

Accounting Disclosures ◽

Microstructure Effects

Download Full-text