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Little guys, liquidity, and the informational efficiency of price : evidence from the Tokyo Stock Exchange on the effects of small investor participation

Ahn, Hee-joon; Cai, Jun; Hamao, Yasushi; Melvin, Michael - In: Pacific-Basin finance journal 29 (2014), pp. 163-181

Persistent link: https://www.econbiz.de/10010495719

Which liquidity proxy measures liquidity best in emerging markets?

Ahn, Hee-joon; Chai, Joseph C. H.; Yang, Cheol-Won - In: Economies : open access journal 6 (2018) 4/67, pp. 1-29

This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets. We carry out a comprehensive analysis using tick data that cover 1183 stocks from 21 emerging markets, while also comparing various low-frequency liquidity proxies with...

Persistent link: https://www.econbiz.de/10011956319

State-dependent illiquidity premium in the Korean stock market

Jang, Jeewon; Kang, Jangkoo; Lee, Changjun - In: Emerging markets finance & trade : a journal of the … 51 (2015) 2, pp. 400-417

Persistent link: https://www.econbiz.de/10011391814

Liquidity risk and expected stock returns in Korea : a new approach

Jang, Jeewon; Kang, Jangkoo; Lee, Changjun - In: Asia-Pacific journal of financial studies 41 (2012) 6, pp. 704-738

Persistent link: https://www.econbiz.de/10009705219

An analysis of the determinants of inflation-linked bond prices in Korea

Kang, Jangkoo; Lee, Soonhee - In: Asia-Pacific journal of financial studies 47 (2018) 5, pp. 605-633

Persistent link: https://www.econbiz.de/10012009586

Liquidity skewness premium

Jeong, Giho; Kang, Jangkoo; Kwon, Kyungyoon - In: The North American journal of economics and finance : a … 46 (2018), pp. 130-150

Persistent link: https://www.econbiz.de/10012036613

State-dependent variations in the expected illiquidity premium

Jang, Jeewon; Kang, Jangkoo; Lee, Changjun - In: Review of finance : journal of the European Finance … 21 (2017) 6, pp. 2277-2314

Persistent link: https://www.econbiz.de/10011804715

Tick size change and liquidity provision on the Tokyo stock exchange

Ahn, Hee-joon; Cai, Jun; Chan, Kalok; Hamao, Yasushi - In: Journal of the Japanese and international economies : … 21 (2007) 2, pp. 173-194

Persistent link: https://www.econbiz.de/10003496570

Little guys, liquidity, and the informational efficiency of price: Evidence from the Tokyo Stock Exchange on the effects of small investor participation

Ahn, Hee-Joon; Cai, Jun; Hamao, Yasushi; Melvin, Michael - In: Pacific-Basin Finance Journal 29 (2014) C, pp. 163-181

This paper provides an analysis of the equity-market effects of a substantial increase in individual shareholder participation in the market for a firm. The data are based on reductions in lot sizes or Minimum Trade Units (MTUs) on the Tokyo Stock Exchange (TSE). There is a shift in order flow...

Persistent link: https://www.econbiz.de/10011116389

Sentiment-dependent impact of funding liquidity shocks on futures market liquidity

Ryu, Doojin; Yu, Jinyoung - In: The journal of futures markets 42 (2022) 1, pp. 61-76

Persistent link: https://www.econbiz.de/10012796295