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      KCI등재 SSCI

      Are Investors more Aggressive in Transparent Markets?

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      https://www.riss.kr/link?id=A103376372

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      참고문헌 (Reference)

      1 Pascual, R, "What Pieces of Limit Order Book Information Matter in Explaining the Behavior of Aggressive and Patient Traders?, Working paper (Universidad de las Islas Baleares)"

      2 Pagno, M, "Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading" 51 : 579-611, 1996

      3 Chan, K, "Trade Size, Order Imbalance, and the Volatility-Volume Relation" 57 : 247-273, 2000

      4 Hasbrouck, J, "The summary informativeness of stock trades: An econometric analysis" 4 : 571-595, 1991

      5 Ciner, C, "The Stock Price-Volume Linkage on the Toronto Stock Exchange: Before and After Automation" 19 : 335-349, 2002

      6 Cao, C, "The Informational Content of an Open Limit Order Book, Working paper (Pennsylvania State University)"

      7 Harris, L, "The Information-Content of the Limit Order Book: Evidence from NYSE Specialist Trading Decisions" 8 : 25-68, 2005

      8 Jain, P, "The Dependence between Hourly Prices and Trading Volume" 23 : 269-283, 1988

      9 Griffiths, M, "The Costs and the Determinants of Order Aggressiveness" 56 : 65-88, 2000

      10 Foster, F. Douglas, "Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information" 29 : 499-51, 1994

      1 Pascual, R, "What Pieces of Limit Order Book Information Matter in Explaining the Behavior of Aggressive and Patient Traders?, Working paper (Universidad de las Islas Baleares)"

      2 Pagno, M, "Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading" 51 : 579-611, 1996

      3 Chan, K, "Trade Size, Order Imbalance, and the Volatility-Volume Relation" 57 : 247-273, 2000

      4 Hasbrouck, J, "The summary informativeness of stock trades: An econometric analysis" 4 : 571-595, 1991

      5 Ciner, C, "The Stock Price-Volume Linkage on the Toronto Stock Exchange: Before and After Automation" 19 : 335-349, 2002

      6 Cao, C, "The Informational Content of an Open Limit Order Book, Working paper (Pennsylvania State University)"

      7 Harris, L, "The Information-Content of the Limit Order Book: Evidence from NYSE Specialist Trading Decisions" 8 : 25-68, 2005

      8 Jain, P, "The Dependence between Hourly Prices and Trading Volume" 23 : 269-283, 1988

      9 Griffiths, M, "The Costs and the Determinants of Order Aggressiveness" 56 : 65-88, 2000

      10 Foster, F. Douglas, "Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information" 29 : 499-51, 1994

      11 Foster, F. Douglas, "Strategic Trading When Agents Forecast the Forecasts of Others" 51 : 1437-1478, 1996

      12 French, K. R, "Stock Return Variances: The Arrival of Information and the Reaction of Traders" 17 : 5-26, 1986

      13 Tauchen, G. E, "Stock Prices and Volume" 5 : 199-242, 1992

      14 Ying, C. C., "Stock Market Prices and Volumes of Sales" 34 : 676-686, 1966

      15 Lo, A. W, "Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test" 1 : 41-66, 1988

      16 Kaniel, R, "So What Orders do Informed Traders Use" 79 : 1867-1914, 2006

      17 Madhavan, A, "Should Securities Markets be Transparent" 8 : 265-287, 2005

      18 Madhavan, A, "Security Prices and Market Transparency" 5 : 255-283, 1996

      19 Schwartz, R, "Reshaping the Equity Markets: A Guide for the 1990s" Harper Business, USA 1991

      20 Handa, P, "Quote Setting and Price Formation in an Order Driven Market" 6 : 461-489, 2003

      21 Flood, M. D, "Quote Disclosure and Price Discovery in Multiple-Dealer Financial Markets" 12 : 37-59, 1999

      22 Berry, T. D, "Public Information Arrival" 49 : 1331-1346, 1994

      23 Friedman, D, "Privileged Traders and Asset Market Efficiency: A laboratory Study" 28 : 515-534, 1993

      24 Parlour, C, "Price dynamics in limit order markets" 11 : 789-816, 1998

      25 Lakonishok, J, "Past Price Changes and Current Trading Volume" 15 : 18-24, 1989

      26 Beber, A, "Order Submission Strategies and Information: Empirical Evidence from The NYSE, Working paper, University of Lausanne"

      27 Foucault, T, "Order Flow Composition and Trading Costs in a Dynamic Limit Order Market" 2 : 99-134, 1999

      28 Ranaldo, R, "Order Aggressiveness in Limit Order Book Markets" 7 : 53-74, 2004

      29 Hasbrouck, J, "One security, many markets: Determining the contributions to price discovery" 50 : 1175-1199, 1995

      30 Gopinath, S, "Number of Transactions and Volatility: An Empirical Study Using High-Frequency Data from Nasdaq Stocks" 24 : 205-218, 2001

      31 Baig, T, "Monetary Policy in a Deflationary Environment, in Japan’s Lost Decade: Policies for Economic Revival, edited by Tim Callen and Jonathan D. Ostry, IMF"

      32 Tahir, R, "Modelling Bahrain’s Economy: a Vector Autoregression (VAR) Approach, EcoMod" 2005

      33 Hasbrouck, J, "Measuring the information content of stock trades" 46 : 179-207, 1991

      34 Harris, L, "Market versus Limit Orders: the SuperDOT Evidence on Order Submission Strategy" 31 : 213-231, 1996

      35 Madhavan, A, "Market Microstructure: A Survey" 3 : 205-258, 2000

      36 Gerke, W., "Liquidity and Volatility-Market Microstructure of Stock Exchanges in Experiments and in the Neuer Market, Working paper (Universit? Erlangen-N?nberg)" 1997

      37 Irvine, P, "Liquidity Beyond the Inside Spread: Measuring and Using Information in the Limit Order Book, Working paper (Emory University)"

      38 Al-Suhaibani, M, "Limit vs. Market Order Trading on the Saudi Stock Market, Working paper (EFMA 2001 Lugano Meetings)"

      39 "Limit order trading" 51 : 1835-1861, 1996

      40 Foucault, T, "Limit Order Book as a Market for Liquidity" 18 : 1171-1217, 2003

      41 Boehmer, E, "Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE" 60 : 783-815, 2005

      42 Hasbrouck, J, "Journal of Portfolio Management" 14 : 10-16, 1988

      43 Bae, K. H, "Journal of Financial Markets" 6 : 517-538, 2003

      44 Glosten, L, "Is the Electronic Limit Open Book Inevitable" 49 : 1127-1161, 1994

      45 Glosten, L. R, "Introductory comments: Bloomfield and O’Hara, and Flood, Huisman, Koedijk, and Mahieu" 12 : 1-3, 1999

      46 Menkhoff, L, "Informed Trading in Limit Order Markets: Evidence on Trinary Order Choice, Working paper, University of Hannover"

      47 L’horty, Y, "Inflation, Minimum Wage and Other Wages: an Econometric Study on French Macroeconomic Data" 36 : 277-290, 2004

      48 Back K, "Imperfect Competition among Informed Traders" 55 : 2117-2155, 2000

      49 Gonzalo, J, "Estimation of common long-memory components in cointegrated systems" 13 : 27-36, 1995

      50 Hollifield, B, "Empirical analysis of limit order markets" 71 : 1027-1063, 2004

      51 Anand, A, "Empirical Evidence on the Evolution of Liquidity: Choice of Market versus Limit Orders by Informed and Uninformed Traders" 8 : 289-309, 2005

      52 Angle, J, "Canadian shareowner" 8 : 18-20,

      53 Bloomfield, R, "Can Transparent Market Survive" 55 : 425-459, 2000

      54 Biais, B, "An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse" 50 : 1655-1689, 1995

      55 Aksu, C, "An Empirical Analysis of the Causal Relationship Between Short Interest and Stock Prices" 22 : 733-749, 1995

      56 Coppejans, M, "An Empirical Analysis of Trades, Orders, and Cancellations in a Limit Order Market, Working paper (Duke University)"

      57 Wright, J. H, "Alternative Variance-Ratio Tests Using Ranks and Signs" 18 : 1-9, 2000

      58 Chow, K. V, "A Simple Multiple Variance Ratio Test" 58 : 385-401, 1993

      59 Ma, T, "A Dynamic Model of Order Execution and the Intraday Cost of Limit Orders, Working paper (The 12th SFM Conference, National Sun-Yat-sen University, Taiwan)"

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      학술지 이력

      학술지 이력
      연월일 이력구분 이력상세 등재구분
      2023 평가예정 해외DB학술지평가 신청대상 (해외등재 학술지 평가)
      2020-01-01 평가 등재학술지 유지 (해외등재 학술지 평가) KCI등재
      2009-09-04 학술지명변경 한글명 : 증권학회지 -> Asia-Pacific Journal of Financial Studies KCI등재
      2009-01-01 평가 학술지 분리 (기타) KCI등재
      2006-01-01 평가 SSCI 등재 (등재유지) KCI등재
      2004-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2001-07-01 평가 등재학술지 선정 (등재후보2차) KCI등재
      1999-01-01 평가 등재후보학술지 선정 (신규평가) KCI등재후보
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      학술지 인용정보

      학술지 인용정보
      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 0.6 0.35 0.51
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      0.52 0.51 0.716 0
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