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Common determinants of bond and stock market liquidity: The impact of financial crises, monetary policy, and mutual fund flows
Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - 2001
. Overall, this study deepens our understanding of the dynamics of liquidity in financial markets and suggests how asset …
Persistent link: https://www.econbiz.de/10010283309
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An empirical analysis of stock and bond market liquidity
Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - 2003
. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid …
Persistent link: https://www.econbiz.de/10010283415
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The joint dynamics of liquidity, returns, and volatility across small and large firms
Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - 2005
, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using …
Persistent link: https://www.econbiz.de/10010283461