1. Trading mechanisms and stock returns: An empirical investigation;Amihud;The Journal of Finance,1987
2. Volatility, efficiency, and trading: Evidence from the Japanese stock market;Amihud;The Journal of Finance,1991
3. Intraday periodicity and volatility persistence in financial markets;Andersen;Journal of Empirical Finance,1997
4. The efficiency of trading halts: Emerging market evidence;Bacha;International Journal of Banking and Finance,2008
5. When a halt is not a halt: An analysis of off-NYSE trading during NYSE market closures;Bidisha;Journal of Financial Intermediation,2011