Skip to main content
Log in

Intraday market liquidity on the Swiss Stock Exchange

  • Published:
Financial Markets and Portfolio Management Aims and scope Submit manuscript

This is a preview of subscription content, log in via an institution to check access.

Access this article

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

References

  • ADMATI, A. and P. PFLEIDERER (1988), “A theory of intraday patterns: volume and price variability”, Review of Financial Studies, 1(1), pp. 3–40.

    Article  Google Scholar 

  • AMIHUD, Y. and H. MENDELSON (1986), “Asset Pricing and the Bid Ask Spread”, Journal of Financial Economics, 17(2), pp. 223–249.

    Article  Google Scholar 

  • BECKER, K. G., J. E. FINNERTY and J. FRIEDMAN (1995), “Economic News and Equity Market Linkages between the US and UK”, Journal of Business, 19(7), pp. 1191–1210.

    Google Scholar 

  • BERNSTEIN, P. (1987), “Liquidity, Stock Markets and Market Makers”, Financial Management, Summer 1987, pp. 54–62.

  • BIAIS, B., P. HILLION, and C. SPATT (1995), “An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse”, Journal of Finance, 50(5), pp. 1655–1689.

    Google Scholar 

  • BROCK, W. and A. KLEIDON (1992), “Periodic Market Closure and Trading Volume”, Journal of Economic Dynamics and Control, 16, pp. 451–489.

    Article  Google Scholar 

  • CHAN, K., Y. P. CHUNG and H. JOHNSON (1995), “The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options”, Journal of Financial and Quantitative Analysis, 30(3), pp. 329–346.

    Google Scholar 

  • CHAN, L. and J. LAKONISHOK (1993), “Institutional Trading and Intraday Stock Price Behavior”, Journal of Financial Economics, 33, pp. 173–199.

    Article  Google Scholar 

  • CHAN, L. and J. LAKONISHOK (1995), “The Behavior of Stock Prices Around Institutional Trading”, Journal of Finance, 50, pp. 1147–1174.

    Google Scholar 

  • COOPER, S., J. GROTH, and W. AVERA (1985), “Liquidity, Exchange, and Common Stock Performance”, Journal of Economics and Business, 37, pp. 19–33.

    Google Scholar 

  • DIAMOND, D.W. and R. E. VERRECCHIA (1987), “Constraints on Short-Selling and Asset Price Adjustment to Private Information”, Journal of Financial Economics, 18, pp. 27–311.

    Article  Google Scholar 

  • EASLEY, D. and M. O'HARA (1992), “Time and Process of Security Price Adjustment”, Journal of Finance, 47(2), pp. 577–605.

    Google Scholar 

  • ENGLE, R. (2000), “The Econometrics of Ultra High-Frequency Data”, Econometrica, 68(1), pp. 1–22.

    Article  Google Scholar 

  • ENGLE, R. and J. LANGE, “Measuring, forecasting and explaining time varying liquidity in the stock exchange”, NBER Working Paper n. 6129, August 1997, pp. 1–22.

  • FOUCAULT, T. (1999), “Order Flow Composition and Trading Costs in a Dynamic Limit Order Market”, Journal of Financial Markets, 2, pp. 99–134.

    Article  Google Scholar 

  • GOURIÉROUX, C., J. JASIAK, and G. LE FOL, “Intraday market activity”, Working Paper, CREST, Paris, September 1997, pp. 1–39.

  • GROSSMAN, S. and M. MILLER (1988), “Liquidity and Market Structure”, Journal of Finance, 43(4), pp. 617–637.

    Google Scholar 

  • HANDA, P., R. A. SCHWARTZ and A. TIWARI (2000), “Quote Setting and Price Formation in an Order Driven Market”, Working Paper Iowa University.

  • HARRIS, L. (1986), “A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns”, Journal of Financial Economics, 16(1), pp. 99–117.

    Article  Google Scholar 

  • HASBROUCK, J. (1991), “The Summary Informativeness of Stock Trades: an Econometric Analysis”, Review of Financial Studies 4, pp. 571–595.

    Article  Google Scholar 

  • HASBROUCK, J., and R., SCHWARTZ (1988), “Liquidity and Execution Costs in Equity Markets”, Journal of Portfolio Management, 14(3), pp. 10–17.

    Article  Google Scholar 

  • JAIN, C. and G.-H. JOH, (1988), “The Dependence Between Hourly Prices and Trading Volume”, Journal of Financial and Quantitative Analysis 23, 269-83.

    Google Scholar 

  • JONES, C., G. KAUL and M. LIPSON (1994), “Transactions, Volume, and Volatility”, Review of Financial Studies, 7(4), pp. 631–651.

    Article  Google Scholar 

  • KIRCHNER, T. and C. SCHLAG (1998), “An Explorative Investigation of Intraday Trading on the German Stock Market”, Finanzmarkt und Portfolio Management 12(1), pp. 13–31

    Google Scholar 

  • KUGLER, B. and J. STEPHAN (1997), “Alternative Liquidity Measures and Stock Returns”, Review of Quantitative Finance and Accounting, 8, pp. 19–36.

    Google Scholar 

  • KYLE, A. (1985), “Continuos Auctions and Insider Trading”, Econometrica, 53(6), 1985, pp. 1315–1336.

    Google Scholar 

  • LEE, C., B. MUCKLOW and M. READY (1993), “Spreads, depth, and the impact of earnings information: an intraday analysis”, Review of Financial Studies, 6(2), pp. 345–347.

    Article  Google Scholar 

  • LIPPMAN, S. and J. MCCALL (1986), “An Operational Measure of Liquidity”, The American Economic Review, 76(1), pp. 43–55.

    Google Scholar 

  • LOCKWOOD, L. and S. LINN (1990), “An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989”, Journal of Finance, 42(2), pp. 591–601.

    Google Scholar 

  • MCINISH, T. and R. WOOD (1992), “An Analysis of Intraday Patterns in Bid-Ask Spreads for NYSE Stocks”, Journal of Finance, 47(2), pp. 753–765.

    Google Scholar 

  • RÖDER, K. (1996), “Intraday-Volatilität und Expiration-Day-Effekte bei DAX, IBIS-DAX und DAX-Future”, Finanzmarkt und Portfolio Management 10(4), pp. 463–477.

    Google Scholar 

  • RÖDER, K. and G. BAMBERG (1998), “Intraday-volatilität und expiration-day-effekte am deutschen aktienmarkt”, Kredit und Kapital, 29, pp. 244–276.

    Google Scholar 

  • SHEIKH, A. and E. RONN (1994), “A Characterization of Daily and Intraday Behavior of Returns on Options”, Journal of Finance, 49(2), pp. 557–579.

    Google Scholar 

  • SPIEGEL, M. and A. SUBRAHMANYAM (1995), “On Intraday Risk Premia”, Journal of Finance, 50(1), pp. 319–339.

    Google Scholar 

  • STOLL, H. (1989), “Inferring the Components of the Bid Ask Spread: Theory and Empirical Tests”, Journal of Finance 44, pp. 115–134.

    Google Scholar 

  • STOLL, H. and R. WHALEY (1990), “Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew”, Journal of Business, 63(1), pp. S165–S192.

    Article  Google Scholar 

  • SUSMEL, R. and R. ENGLE (1994), “Hourly volatility spillovers between international equity markets”, Journal of International Money and Finance, 13, pp. 3–25.

    Article  Google Scholar 

  • SWX (1996 a), “La Bourse Suisse”, December 1996, pp. 1–39

  • SWX (1996 b), “Matching Rules”, pp.1–44

  • ZOGG, W. C. and H. ZIMMERMANN, “Arbitrage in SMI Stock Index Futures: an Intraday Study”, NYU, Salomon Center Working Paper, November 1996.

Download references

Author information

Authors and Affiliations

Authors

Additional information

The views expressed herein are those of the author. The UBS AG does not take on any responsibility about the contents and the opinions expressed in this paper.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Ranaldo, A. Intraday market liquidity on the Swiss Stock Exchange. Fin Mkts Portfolio Mgmt 15, 309–327 (2001). https://doi.org/10.1007/s11408-001-0303-z

Download citation

  • Issue Date:

  • DOI: https://doi.org/10.1007/s11408-001-0303-z

Keywords

Navigation