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Jeffrey H. Harris

American University

Gary Cohn Goldman Sachs Chair

Kogod School of Business

4400 Massachusetts Ave., N.W.

Washington, DC 20016-8044

United States

  • American University

    • Email
    • Tel: 202-885-6669
SCHOLARLY PAPERS

28

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304

Scholarly Papers (28)

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1.

Who Drove and Burst the Tech Bubble?

Journal of Finance, Forthcoming
Number of pages: 145 Posted: 24 Oct 2003 Last Revised: 17 Nov 2010
John M. Griffin, Jeffrey H. Harris, Tao Shu and Selim Topaloglu
University of Texas at Austin - Department of Finance, American University, University of Georgia - Department of Finance and Queen's University - Smith School of Business
Downloads 2,407 (3,620)
Citation 34

Abstract:

Stock Market Bubbles, Institutional Trading, Individual Trading

2.

The Role of Speculators in the Crude Oil Futures Market

Number of pages: 40 Posted: 16 Jul 2009
Jeffrey H. Harris and Bahattin Buyuksahin
American University and Bank of Canada
Downloads 1,455 (7,316)
Citation 10

Abstract:

Crude Oil, Futures Markets, Speculators, Granger Causality, Hedge Funds, Commodity Index Traders

3.

Fundamentals, Trader Activity and Derivative Pricing

EFA 2009 Bergen Meetings Paper
Number of pages: 56 Posted: 02 Mar 2007 Last Revised: 13 Feb 2009
Bahattin Buyuksahin, Michael S. Haigh, Jeffrey H. Harris, James A. Overdahl and Michel A. Robe
Bank of Canada, Standard Chartered Bank, American University, affiliation not provided to SSRN and American University - Kogod School of Business
Downloads 1,382 (8,382)
Citation 14

Abstract:

Crude Oil Futures, Maturity, Segmentation, Cointegration, Trading Activity, Fundamentals

4.

Trading Networks

Number of pages: 32 Posted: 17 Mar 2009 Last Revised: 14 Mar 2010
Lada Adamic, Celso Brunetti, Jeffrey H. Harris and Andrei A. Kirilenko
University of Michigan at Ann Arbor, Board of Governors of the Federal Reserve System, American University and Centre for Global Finance and Technology, Imperial College Business School
Downloads 1,131 (11,631)
Citation 2

Abstract:

trading networks, financial networks, limit order book, limit order markets

5.

Off But Not Gone: A Study of Nasdaq Delistings

Fisher College of Business Working Paper No. 2008-03-005 and Dice Center Working Paper No. 2008-6
Number of pages: 55 Posted: 08 Dec 2004 Last Revised: 13 Apr 2008
Jeffrey H. Harris, Venkatesh Panchapagesan and Ingrid M. Werner
American University, The Goldman Sachs Group, Inc. and The Ohio State University - Fisher College of Business
Downloads 771 (20,656)
Citation 10

Abstract:

delisting, market quality, Nasdaq

6.

The Dynamics of Institutional and Individual Trading

Downloads 731 ( 26,599)
Citation 112

The Dynamics of Institutional and Individual Trading

Number of pages: 55 Posted: 11 Jul 2002
John M. Griffin, Selim Topaloglu and Jeffrey H. Harris
University of Texas at Austin - Department of Finance, Queen's University - Smith School of Business and American University
Downloads 731 (26,174)
Citation 112

Abstract:

The Dynamics of Institutional and Individual Trading

Journal of Finance, Forthcoming
Posted: 02 Jan 2004
John M. Griffin, Jeffrey H. Harris and Selim Topaloglu
University of Texas at Austin - Department of Finance, American University and Queen's University - Smith School of Business

Abstract:

7.

Speculators, Prices and Market Volatility

Number of pages: 34 Posted: 10 Jan 2011
Celso Brunetti, Bahattin Buyuksahin and Jeffrey H. Harris
Board of Governors of the Federal Reserve System, Bank of Canada and American University
Downloads 581 (28,856)
Citation 6

Abstract:

Speculation, hedge funds, swap dealers, realized volatility, price

8.

The Prevalence, Sources, and Effects of Herding

Forthcoming, Journal of Futures Markets
Number of pages: 48 Posted: 15 Mar 2009 Last Revised: 28 Aug 2015
Naomi E. Boyd, Bahattin Buyuksahin, Michael S. Haigh and Jeffrey H. Harris
West Virginia University, Bank of Canada, Standard Chartered Bank and American University
Downloads 572 (33,697)
Citation 1

Abstract:

Herding, Hedge Funds, Futures Markets

9.

The Initial Listing Decisions of Firms that Go Public

Number of pages: 33 Posted: 27 Aug 1998
Shane A. Corwin and Jeffrey H. Harris
University of Notre Dame - Mendoza College of Business and American University
Downloads 560 (37,177)
Citation 20

Abstract:

10.

Effects of Central Bank Intervention on the Interbank Market during the Sub-Prime Crisis

Number of pages: 36 Posted: 02 Jul 2009
Celso Brunetti, Mario di Filippo and Jeffrey H. Harris
Board of Governors of the Federal Reserve System, World Bank Group and American University
Downloads 415 (49,495)
Citation 14

Abstract:

Central Bank, Interbank Market, Interventions, Volatility

11.

Opinion Divergence and Post-Earnings Announcement Drift

Number of pages: 47 Posted: 13 Mar 2007
Kirsten L. Anderson, Jeffrey H. Harris and Eric C. So
Georgetown University - Department of Accounting and Business Law, American University and Nasdaq, Inc. - Economic Research
Downloads 341 (65,419)
Citation 1

Abstract:

Opinion Divergence, Post-earnings announcement drift, Risk, Volume, Volatility

12.

Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs

Number of pages: 46 Posted: 20 Apr 2000
William G. Christie, Shane A. Corwin and Jeffrey H. Harris
Vanderbilt University - Finance, University of Notre Dame - Mendoza College of Business and American University
Downloads 319 (70,605)
Citation 21

Abstract:

13.

The Sound of Silence

Downloads 293 ( 83,465)

The Sound of Silence

Number of pages: 39 Posted: 26 Mar 2005
Jeffrey H. Harris and Mohsen Saad
American University and American University of Sharjah
Downloads 291 (83,672)

Abstract:

Nasdaq, Information, Predictability

The Sound of Silence

Financial Review, Vol. 49, Issue 2, pp. 203-230, 2014
Number of pages: 28 Posted: 08 Apr 2014
Jeffrey H. Harris and Mohsen Saad
American University and American University of Sharjah
Downloads 2 (554,297)

Abstract:

finance, stock market

14.

The Development of Secondary Market Liquidity for NYSE-Listed IPOs

Number of pages: 45 Posted: 23 Feb 2002
Shane A. Corwin, Jeffrey H. Harris and Marc L. Lipson
University of Notre Dame - Mendoza College of Business, American University and University of Virginia - Darden School of Business
Downloads 292 (81,198)
Citation 21

Abstract:

IPO, secondary market, liquidity, limit orders, stabilization

15.

The Behavior of Bid-Ask Spreads and Volume in Options Markets During the Competition for Listings in 1999

AFA 2003 Washington, DC Meetings
Number of pages: 38 Posted: 27 Dec 2002
Patrick de Fontnouvelle, Raymond P.H. Fishe and Jeffrey H. Harris
Federal Reserve Bank of Boston - Supervision and Regulation, University of Richmond - E. Claiborne Robins School of Business and American University
Downloads 257 (96,368)
Citation 23

Abstract:

Multiple Listing, Option Bid-Ask Spreads, Fragmented Markets

16.

Why are IPO Investors Net Buyers through Lead Underwriters?

AFA 2005 Philadelphia Meetings Paper, EFA 2005 Moscow Meetings Paper
Number of pages: 60 Posted: 07 Jan 2005
John M. Griffin, Jeffrey H. Harris and Selim Topaloglu
University of Texas at Austin - Department of Finance, American University and Queen's University - Smith School of Business
Downloads 240 (100,875)
Citation 14

Abstract:

17.

Error Trades in Futures Markets

Number of pages: 45 Posted: 15 Feb 2009 Last Revised: 27 May 2009
Bahattin Buyuksahin, Michael S. Haigh and Jeffrey H. Harris
Bank of Canada, Standard Chartered Bank and American University
Downloads 219 (109,488)

Abstract:

Error Trades, Futures Markets, Market Microstructure

18.

CoMargin

Number of pages: 66 Posted: 14 Oct 2011 Last Revised: 21 Dec 2015
Jorge Cruz Lopez, Christophe Hurlin, Jeffrey H. Harris and Christophe Perignon
Bank of Canada, University of Orleans, American University and HEC Paris - Finance Department
Downloads 197 (82,466)

Abstract:

Collateral, Counterparty Risk, Derivatives Markets, Extreme Dependence

19.

Do Institutional Traders Predict Bull and Bear Markets?

Number of pages: 41 Posted: 19 Sep 2011
Bahattin Buyuksahin, Celso Brunetti and Jeffrey H. Harris
Bank of Canada, Board of Governors of the Federal Reserve System and American University
Downloads 189 (122,771)

Abstract:

Markov regime-switching, hedge fund, swap dealer, institutional positions

20.

Interconnectedness in the Interbank Market

FEDS Working Paper No. 2015-090
Number of pages: 49 Posted: 17 Oct 2015
Celso Brunetti, Jeffrey H. Harris, Shawn Mankad and George Michailidis
Board of Governors of the Federal Reserve System, American University, Cornell University and University of Michigan at Ann Arbor
Downloads 93 (229,598)

Abstract:

Interconnectedness, correlation network, financial crisis, interbank market, physical network

21.

The Role of Speculators During Times of Financial Distress

Journal of Alternative Investments, Vol. 14, No. 1, 2011
Number of pages: 34 Posted: 28 Aug 2015 Last Revised: 05 Feb 2016
Naomi E. Boyd, Jeffrey H. Harris and Arkadiusz Nowak
West Virginia University, American University and Cornerstone Research
Downloads 5 (417,898)

Abstract:

Hedge Funds, Speculators, Futures Markets

22.

Informed Trading and Market Structure

European Financial Management, Vol. 21, Issue 1, pp. 148-177, 2015
Number of pages: 30 Posted: 29 Jan 2015
Charlie X. Cai, Jeffrey H. Harris, Robert Hudson and Kevin Keasey
University of Bradford - School of Management, American University, Newcastle University (UK) and University of Leeds - Division of Accounting and Finance
Downloads 0 (548,832)
Citation 1

Abstract:

market structure, informed trading, trading systems, London stock exchange

23.

Do Speculators Drive Crude Oil Futures Prices?

The Energy Journal, Vol. 32, No. 2, pp. 167-202, 2011
Posted: 20 Dec 2010
Bahattin Buyuksahin and Jeffrey H. Harris
Bank of Canada and American University

Abstract:

24.

How New Entry in Options Markets Affected Market Making and Trading Costs

Journal of Investment Management, Vol. 3, No. 2, Second Quarter 2005
Posted: 29 Apr 2005
Patrick de Fontnouvelle, Raymond P.H. Fishe and Jeffrey H. Harris
Federal Reserve Bank of Boston - Supervision and Regulation, University of Richmond - E. Claiborne Robins School of Business and American University

Abstract:

Bid-ask spreads, option markets, multiple

25.

Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs

Journal of Finance, Vol. 57, pp. 1443-1478, 2002
Posted: 29 Nov 2003
William G. Christie, Shane A. Corwin and Jeffrey H. Harris
Vanderbilt University - Finance, University of Notre Dame - Mendoza College of Business and American University

Abstract:

26.

Why did NASDAQ Market Makers Stop Avoiding Odd-Eighth Quotes?

JOURNAL OF FINANCE, VOL. 49, NO. 5, December 1994
Posted: 02 May 2000
William G. Christie, Jeffrey H. Harris and Paul H. Schultz
Vanderbilt University - Finance, American University and University of Notre Dame - Department of Finance

Abstract:

27.

The Trading Profits of SOES Bandits

Journal of Financial Economics, Vol. 50, No. 2, Oct. 1998
Posted: 30 Oct 1998
Jeffrey H. Harris and Paul H. Schultz
American University and University of Notre Dame - Department of Finance

Abstract:

28.

The Costs of Trading Nasdaq Issues: The Impact of Limit Orders and ECN Quotes

Posted: 10 Feb 1998
Michael J. Barclay, William G. Christie, Jeffrey H. Harris, Eugene Kandel and Paul H. Schultz
University of Rochester - Simon School (Deceased), Vanderbilt University - Finance, American University, Hebrew University of Jerusalem - Department of Economics and University of Notre Dame - Department of Finance

Abstract:

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