Trading Mechanisms and Stock Returns: An Empirical Investigation

Amihud, Yakov; Mendelson, Haim

doi:10.2307/2328369

Cited by 325 publications

(394 citation statements)

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“…The positive relationship between volatility and marketability was, also, proved by Amihud and Mendelson (1987), Gerety and Mulherin (1994), Barber and Odean (2000), Stoll (2000) and Bessembinder and Rath (2008), while Hasbrouck and Schwartz (1988) and Werner and Kleidon (1996) found a similar relationship between volatility and transactions cost.…”

Section: Past Literaturementioning

confidence: 78%

Analysis of Intra-Day Volatility under Economic Crisis Conditions

Glezakos¹,

Vafiadis²,

Mylonakis³

2011

IJEF

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The purpose of this paper is to examine intra-day volatility of the Athens (GI), Frankfurt (DAX) and New York (DJ) Stock Markets under conditions of economic crisis. After utilizing 5 minutes intervals of the periods SeptemberDecember of 2008 and 2009, a U-shaped intra-day volatility pattern was observed for DJ and an L-shaped one for DAX and GI. The results indicate a sharp spike in the first 30 minutes and some weaker spikes for the rest of the trading. Moreover, the influence of the New York Stock market to the European markets was dominant. At the same time, GI and DAX exhibited a significantly positive correlation, particularly in last quarter of 2008. Finally, volatility of returns was unusually high in 2008, obviously due to the prevailing global financial crisis.

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Section: Past Literaturementioning

confidence: 78%

Analysis of Intra-Day Volatility under Economic Crisis Conditions

Glezakos¹,

Vafiadis²,

Mylonakis³

2011

IJEF

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“…Various explanations have been provided for such an observation. Amihud and Mendelson (1987) conclude that it is related to the differences in execution methods applied in the opening and closing transactions. Stoll and Whaley (1990b) suggest that the greater volatility at the open is attributable to private information revealed in trading and to temporary price deviations induced by specialist and other traders.…”

Section: Introductionmentioning

confidence: 94%

“…It is well documented that the variance of the open-to-open stock return is different from that of the close-to-close stock return although both of them span the same length of 24 h (see, e.g., the studies of Amihud and Mendelson 1987;Stoll and Whaley 1990b;Forster and George 1996 on the New York Stock Exchange (NYSE), and George and Hwang 1995 on the Tokyo Stock Exchange (TSE)). Various explanations have been provided for such an observation.…”

Section: Introductionmentioning

confidence: 99%

“…Based on the model formulation of George and Hwang (1995) and Amihud and Mendelson (1987) and using the Hong Kong data, we find that the extension of futures trading hour helps to reduce the opening pricing errors and change the correlations between daytime and overnight stock returns. Our finding adds to the literature that the trading behavior of derivatives has a significant influence on the transitory price changes of the underlying cash products.…”

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confidence: 99%

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Price reversals versus price continuations: the transitory price effects of futures trading extension on the underlying stock market

Chan

Cheng

2009

Rev Quant Finan Acc

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“…High price volatility at the open is attributed to the preceding non-trading period (Amihud and Mendelson 1987), the presence of informed traders (Admati and Pfleiderer 1988) and the trading mechanism used at the open (Amihud and Mendelson 1987;Stoll and Whaley 1990). A well designed call auction pre-open period facilitates learning about a stock's fundamental value prior to trading.…”

mentioning

confidence: 99%