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When noise trading fades, volatility rises

Li, Jinliang - In: Review of quantitative finance and accounting 47 (2016) 3, pp. 475-512

Persistent link: https://www.econbiz.de/10011595653

Illiquidity and stock returns

Mooradian, Robert M. - In: Review of applied economics 16 (2020) 1/2, pp. 31-49

Persistent link: https://www.econbiz.de/10012670439

Corporate governance and market segmentation : evidence from the price difference between Chinese A and H shares

Guo, Lin; Tang, Liang; Yang, Shiawee - In: Review of quantitative finance and accounting 41 (2013) 2, pp. 385-416

Persistent link: https://www.econbiz.de/10009774409

Illiquidity and Stock Returns

Mooradian, Robert M. - In: Review of Applied Economics 06 (2010) 1-2

A quarterly time series of the aggregate commission rate of NYSE trading for the period 1980-2003 is developed. The aggregate commission rate is of significant size, captures trading cost, and reflects market illiquidity. Consistent with financial theory, I find a positive relation between...

Persistent link: https://www.econbiz.de/10010911561