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Measuring liquidity in an emerging market : the Tunis Stock exchange
Rouetbi, Emna; Mamoghli, Chokri - In: International journal of economics and financial issues … 4 (2014) 4, pp. 920-929
Persistent link: https://www.econbiz.de/10010528495
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An empirical analysis of the Shanghai and Shenzhen limit order books
Chung, Huimin; Gao, Cheng; Lu, Jie; Mizrach, Bruce Marshall - In: Economic modelling 34 (2013), pp. 37-41
Persistent link: https://www.econbiz.de/10010360623
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The implications of a price anchoring effect at the upstairs market of the London Stock Exchange
Verousis, Thanos; Ap Gwilym, Owain - In: International review of financial analysis 32 (2014), pp. 37-46
Persistent link: https://www.econbiz.de/10010461347
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What is the point of (the hundreds of thousands of billions of) stock transactions?
Capelle-Blancard, Gunther - In: Comparative economic studies 60 (2018) 1, pp. 15-33
Persistent link: https://www.econbiz.de/10012171373
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The logarithmic ACD model : the microstructure of the German and Polish stock markets
Gurgul, Henryk; Syrek, Robert - In: Managerial economics 17 (2016) 1, pp. 77-92
The main goal of this paper is to compare the microstructure of selected stocks listed on the Frankfurt and Warsaw …
Persistent link: https://www.econbiz.de/10011736403
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Large trades on the Tunisian Stock Exchange : downstairs versus upstairs stock markets
Limem, Monia Antar; Jilani, Faouzi - In: The journal of asset management 14 (2013) 6, pp. 410-422
Persistent link: https://www.econbiz.de/10010258474
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Competition between equity markets : a review of the consolidation versus fragmentation debate
Gomber, Peter; Sagade, Satchit; Theissen, Erik; Weber, … - 2016
of all investors. Fragmentation of the marketplace can be seen as a direct outcome of this heterogeneity. In this article … fragmentation, the resulting implications for liquidity and price efficiency, and the role for public policy. Beyond the concerns …
Persistent link: https://www.econbiz.de/10012061046
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Corporate profits and investment in light of institutional and stock market turmoil : new evidence from the Warsaw Stock Exchange
Malinowska, Anna - In: Journal of economic issues 55 (2021) 1, pp. 14-37
Persistent link: https://www.econbiz.de/10012501579
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10010303678
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Does algorithmic trading improve liquidity?
Hendershott, Terrence; Jones, Charles M.; Menkveld, … - 2008
Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the two trends related? For a recent five-year panel of New York Stock Exchange (NYSE) stocks, we use a normalized measure of electronic message traffic (order submissions,...
Persistent link: https://www.econbiz.de/10010303736