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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

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

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

Common determinants of bond and stock market liquidity : the impact of financial crises, monetary policy, and mutual fund flows

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2001 - [Elektronische Ressource]

. Overall, this study deepens our understanding of the dynamics of liquidity in financial markets and suggests how asset …

Persistent link: https://www.econbiz.de/10001629622

An empirical analysis of stock and bond market liquidity

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2003 - [Elektronische Ressource]

. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid …

Persistent link: https://www.econbiz.de/10001752003

The joint dynamics of liquidity, returns, and volatility across small and large firms

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 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/10002746486

The weekend effect : an exploitable anomaly in the Ukrainian stock market?

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

This paper provides some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The analysis uses various statistical techniques (average analysis, Student's t-test, dummy variables, and fractional integration) to test for...

Persistent link: https://www.econbiz.de/10010488267

Calendar anomalies in the Ukrainian stock market

Caporale, Guglielmo Maria; Plastun, Alex - 2016

This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...

Persistent link: https://www.econbiz.de/10011456764

Calendar anomalies in the Ukrainian stock market

Caporale, Guglielmo Maria; Plastun, Alex - 2016

Persistent link: https://www.econbiz.de/10011458018

Abnormal returns and stock price movements : some evidence from developed and emerging markets

Caporale, Guglielmo Maria; Plastun, Alex - 2020

This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some developed (US, UK, Japan) and emerging (China, India) markets over the period 01.01.2010-01.01.2020. Average analysis, t-tests, CAR and trading simulation methods are used to test the...

Persistent link: https://www.econbiz.de/10012390869