ENDOGENOUS MARKET THINNESS AND STOCK-PRICE VOLATILITY

[1] A Theory of Intraday Patterns: Volume and Price Variability [J]. REVIEW OF FINANCIAL STUDIES, 1988, 1 (01) : 3 - 40

[2] BERTONECHE ML, 1978, THESIS NW U

[3] DETERMINANTS OF COMMON STOCK RETURNS VOLATILITY - INTERNATIONAL COMPARISON [J]. JOURNAL OF FINANCE, 1976, 31 (02) : 733 - 752

[4] DELONG JB, 1987, NBER2395 WORK PAP

[5] TRANSACTIONS COSTS AND THEORY OF PORTFOLIO SELECTION [J]. JOURNAL OF FINANCE, 1976, 31 (04) : 1127 - 1139

[6] Kyle A. S, 1984, INT AGR TRADE ADV RE, P45

[7] CONTINUOUS AUCTIONS AND INSIDER TRADING [J]. ECONOMETRICA, 1985, 53 (06) : 1315 - 1335

[8] KYLE AS, 1986, 66 PRINC U FIN RES C

[9] TRANSACTION COSTS IN A MODEL OF CAPITAL-MARKET EQUILIBRIUM [J]. JOURNAL OF POLITICAL ECONOMY, 1979, 87 (04) : 673 - 700

[10] MAYSHAR J, 1983, AM ECON REV, V73, P114

[1] A Theory of Intraday Patterns: Volume and Price Variability [J]. REVIEW OF FINANCIAL STUDIES, 1988, 1 (01) : 3 - 40

[2] BERTONECHE ML, 1978, THESIS NW U

[3] DETERMINANTS OF COMMON STOCK RETURNS VOLATILITY - INTERNATIONAL COMPARISON [J]. JOURNAL OF FINANCE, 1976, 31 (02) : 733 - 752

[4] DELONG JB, 1987, NBER2395 WORK PAP

[5] TRANSACTIONS COSTS AND THEORY OF PORTFOLIO SELECTION [J]. JOURNAL OF FINANCE, 1976, 31 (04) : 1127 - 1139

[6] Kyle A. S, 1984, INT AGR TRADE ADV RE, P45

[7] CONTINUOUS AUCTIONS AND INSIDER TRADING [J]. ECONOMETRICA, 1985, 53 (06) : 1315 - 1335

[8] KYLE AS, 1986, 66 PRINC U FIN RES C

[9] TRANSACTION COSTS IN A MODEL OF CAPITAL-MARKET EQUILIBRIUM [J]. JOURNAL OF POLITICAL ECONOMY, 1979, 87 (04) : 673 - 700

[10] MAYSHAR J, 1983, AM ECON REV, V73, P114