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Passive investors and concentration of intraday liquidity : evidence from the Tokyo Stock Exchange

Kitajima, Kiichi - In: Pacific-Basin finance journal 74 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013389468

The behavior of high-frequency traders under different market stress scenarios

Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54

Persistent link: https://www.econbiz.de/10011988891

Herd behavior and equity market liquidity : evidence from major markets

Galariotis, Emilios C.; Krokida, Styliani-Iris; Spyrou, … - In: International review of financial analysis 48 (2016), pp. 140-149

Persistent link: https://www.econbiz.de/10011624436

What drives stock market underreaction to liquidity shocks? : evidence from Korea

Jang, Jeewon - In: Asia-Pacific journal of financial studies 51 (2022) 1, pp. 44-80

Persistent link: https://www.econbiz.de/10013161902

Momentum and Illiquidity Premium in Indian Stock Market

Aziz, Tariq - 2015

This study links the role of momentum and illiquidity (as proxied by Amihud's Illiq) in the cross section of stock returns in India for the period 2000-2012. Illiquidity premium is more pronounced among winners. Illiquid winners outperform liquid winners by an average 2.7% per month. We report...

Persistent link: https://www.econbiz.de/10013033906

Investor heterogeneity and commonality in stock return and liquidity

Pan, Deng; Shi, Jing; Wu, Fei; Zhang, Bohui - In: Economic systems 39 (2015) 3, pp. 458-473

Persistent link: https://www.econbiz.de/10011532310

The effect of algorithmic trading on market liquidity : evidence around earnings announcements on Borsa Italiana

Frino, Alex; Mollica, Vito; Monaco, Eleonora; Palumbo, … - In: Pacific-Basin finance journal 45 (2017), pp. 82-90

Persistent link: https://www.econbiz.de/10011800818

Retail investors' trading and stock market liquidity

Abudy, Menachem - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012665114

Momentum crashes and variations to market liquidity

Butt, Hilal Anwar; Virk, Nader Shahzad - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 1899-1911

Persistent link: https://www.econbiz.de/10013184407

Liquidity, resiliency and market quality around predictable trades : theory and evidence

Bessembinder, Hendrik; Carrion, Allen; Tuttle, Laura; … - In: Journal of financial economics 121 (2016) 1, pp. 142-166

Persistent link: https://www.econbiz.de/10011590681

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