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Commonality in ask-side vs. bid-side liquidity
Sensoy, Ahmet - In: Finance research letters 28 (2019), pp. 198-207
Persistent link: https://www.econbiz.de/10012388306
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Phantom liquidity and high-frequency quoting
Blocher, Jesse; Cooper, Rick; Seddon, Jonathan; Van … - In: The journal of trading 11 (2016) 3, pp. 6-15
Persistent link: https://www.econbiz.de/10011697583
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Phantom liquidity and high-frequency quoting
Blocher, Jesse; Cooper, Rick; Seddon, Jonathan; Van … - In: The journal of trading 13 (2018) 4, pp. 119-128
Persistent link: https://www.econbiz.de/10012017521
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Liquidity commonality in an emerging market : evidence from the Amman stock exchange
Tayeh, Mohammad; Bino, Adel; Abu Ghunmi, Diana; Tayem, Ghada - In: International journal of economics and finance 7 (2015) 2, pp. 203-213
Persistent link: https://www.econbiz.de/10010490196
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Stock repurchases and liquidity
Hillert, Alexander; Maug, Ernst; Obernberger, Stefan - In: Journal of financial economics 119 (2016) 1, pp. 186-209
Persistent link: https://www.econbiz.de/10011589751
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Liquidity components : commonality in liquidity, underreaction, and equity returns
Ince, Baris - In: Journal of financial markets 60 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013397975
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Phantom Liquidity and High Frequency Quoting
Blocher, Jesse - 2019
This paper examines every NASDAQ ITCH feed message for the S&P 500 stocks for 2012 and identifies clusters of extremely high and extremely low limit order cancellation activity. We find results consistent with the ideas that cancel clusters are the result of high frequency traders jockeying for...
Persistent link: https://www.econbiz.de/10012903353
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Central counterparties and liquidity provision in cash markets
Richter, Thomas - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26
This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance …-by-trade data from sovereign bond markets, we show that liquidity provision by CCP members decreased to a lesser extent following …
Persistent link: https://www.econbiz.de/10012798918
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Funding liquidity and stocks' market liquidity : structural estimation from high-frequency data
Aielli, Gian Piero; Pirino, Davide - 2023
Persistent link: https://www.econbiz.de/10014446493
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Do CDS spreads move with commonality in liquidity?
Meine, Christian; Supper, Hendrik; Weiß, Gregor - In: Review of derivatives research 18 (2015) 3, pp. 225-261
Persistent link: https://www.econbiz.de/10011477302