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Risk aversion, market liquidity, and price efficiency

Subrahmanyam, Avanidhar - In: The review of financial studies 4 (1991) 3, pp. 417-441

Persistent link: https://www.econbiz.de/10001329867

Transaction taxes and financial market equilibrium

Subrahmanyam, Avanidhar - In: The journal of business : B 71 (1998) 1, pp. 81-118

Persistent link: https://www.econbiz.de/10001233457

The determinants of average trade size

Brennan, Michael J. - In: The journal of business : B 71 (1998) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10001233463

The dynamics of market efficiency

Rösch, Dominik M.; Subrahmanyam, Avanidhar; Dijk, … - In: The review of financial studies 30 (2017) 4, pp. 1151-1187

Persistent link: https://www.econbiz.de/10011749349

An empirical analysis of stock and bond market liquidity

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

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and...

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

Determinants of daily fluctuations in liquidity and trading activity

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Cuadernos de economía 40 (2003), pp. 728-751

Persistent link: https://www.econbiz.de/10001900612

Market liquidity and trading activity

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: The journal of finance : the journal of the American … 56 (2001) 2, pp. 501-530

Persistent link: https://www.econbiz.de/10001604100

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]

-98 period. We find that spread changes in one market are affected by lagged spread and volume changes in both markets. Further …, spread and volume changes are predictable to a considerable degree using lagged market returns, lagged interest rates, lagged …

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

Trading activity and expected stock returns

Chordia, Tarun; Subrahmanyam, Avanidhar; Anshuman, V. Ravi - In: Journal of financial economics 59 (2001) 1, pp. 3-32

Persistent link: https://www.econbiz.de/10001540927

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

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2005

This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using data that spans more than 3,000 trading days. We find...

Persistent link: https://www.econbiz.de/10002746486