Similar Search Results

Order imbalance, liquidity, and market returns

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Stock market liquidity : implications for market …, (pp. 3-21). 2008

Persistent link: https://www.econbiz.de/10003650440

Evidence on the speed of convergence to market efficiency

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Stock market liquidity : implications for market …, (pp. 117-148). 2008

Persistent link: https://www.econbiz.de/10003650510

Commonality in liquidity

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Stock market liquidity : implications for market …, (pp. 327-348). 2008

Persistent link: https://www.econbiz.de/10003650781

Liquidity and the law of one price : the case of the future-cash basis

Roll, Richard; Schwartz, Eduardo S.; Subrahmanyam, Avanidhar - In: The journal of finance : the journal of the American … 62 (2007) 5, pp. 2201-2234

Persistent link: https://www.econbiz.de/10003550022

Trading activity in the equity market and its contingent claims : an empirical investigation

Roll, Richard; Schwartz, Eduardo S.; Subrahmanyam, Avanidhar - In: Journal of empirical finance 28 (2014), pp. 13-35

Persistent link: https://www.econbiz.de/10011284514

O/S : the relative trading activity in options and stock

Roll, Richard; Schwartz, Eduardo S.; Subrahmanyam, Avanidhar - In: Journal of financial economics 96 (2010) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10003968029

Market response to European regulation of business combinations

Aktas, Nihat; De Bodt, Eric; Roll, Richard - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 4, pp. 731-757

Persistent link: https://www.econbiz.de/10002494927

Order imbalances and market efficiency : evidence from the Taiwan stock exchange

Lee, Yi-tsung; Liu, Yu-jane; Roll, Richard; … - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 2, pp. 327-341

Persistent link: https://www.econbiz.de/10002103632

East Asia and Europe during the 1997 Asian collapse : a clinical study of a financial crisis

Chakrabarti, Rajesh; Roll, Richard - In: Journal of financial markets 5 (2002) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10001657063

Trading Activity in the Equity Market and Its Contingent Claims : An Empirical Investigation

Roll, Richard - 2012

Little is known about the joint dynamics of volume across the various contingent claims on the equity market. We study the time-series of trading activity in the cash S&P 500 index and its derivatives (options, the legacy and E-mini futures contracts, and the ETF), and consider their dynamic...

Persistent link: https://www.econbiz.de/10013115421