Price Discovery without Trading: Evidence from the Nasdaq Preopening

By Charles Cao, Eric Ghysels, Frank Hatheway. 2000

216 citations recorded by the source corpus.

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Price Discovery and Trading After Hours (2003, methodology): “Because we use only the binding ECN quotes during the preopen, it is possible that we misattribute some price discovery that occurs through market-makers' nonbinding quote changes as described in Cao, Ghysels, and Hatheway (2000).”
NASDAQ Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs (2002, background): “4 Cao et al. (2000) analyze the 90-minute morning preopen and find evidence of price discovery through the use of active quote revisions that often include crossed and locked inside quotes.”
How the Equity Market Responds to Unanticipated Events (2003, background): “Similar to Corwin and Lipson’s (2000) recent study, Cao et al. (2000) also document price discovery without trading.”
Screening Peers Softly: Inferring the Quality of Small Borrowers (2016, background): “By decomposing the extent of inference from different sources of information, the paper sheds light on the relevance of different types of information in markets (Crawford and Sobel, 1982; Farrell and Rabin, 1996; Berger et al., 2002; and Petersen, 2004).”
Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours (2004, methodology): “Cao, Ghysels, and Hatheway (2000) and Ciccotello and Hatheway (2000) investigate price discovery through nonbinding market-maker quotes prior to the Nasdaq opening.”