Trading and Returns under Periodic Market Closures

181 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

So What Orders Do Informed Traders Use (2006, background): “inventory exposure (see, for example, Hong and Wang (1995)). To help discern potential patterns in the behavior of informed traders throughout the day, we have also performed the analysis separately for the beginning (9:30 am-10:30 am), the middle (10:30 am-3:00 pm) and the end (3:00 pm-4:00 pm) of ”
Asset Prices and Trading Volume under Fixed Transactions Costs (2004, background): “As a result, its price carries an additional discount in equilibrium to compensate for illiquidity (see also Hong and Wang 2000).”
The Microstructure of the Euro Money Market (2001, unknown): “As discussed for example by Hong and Wang (2000), market participants are reluctant to hold open positions during long no-trading intervals, such as weekends.”
Dynamic Volume-Return Relation of Individual Stocks (2000, background): “See, for example, Hong and Wang (2000) for a more detailed discussion on this issue.”
The manipulation of closing prices (2004, background): “Since our model is consistent with many of the observed patterns in volatility, returns and volume during the last minute of trading, it also contributes to the theoretical literature on intraday price and volume dynamics, such as studies by Admati and Pfleiderer (1988) and Hong and Wang (2000).”
Time-Varying Periodicity in Intraday Volatility (2019, background): “, [1, 27]) and empirical evidence (see, e.”