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We examine a general class of volatility over volume liquidity proxies as computed from low frequency (daily) data. We … start from the Kyle and Obizhaeva (2016) hypothesis of transaction cost invariance to identify a new volatility over volume … liquidity proxy “VoV(%Spread)” for percent spread cost and a new volatility over volume liquidity proxy “VoV(λ)” for the slope …
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With the rapid globalization of financial markets during the 1980s and 1990s, increasingly more firms from around the world began cross-listing their shares on major overseas stock exchanges. During the past decade, however, the number of new international cross-listings on major exchanges...
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With the rapid globalization of financial markets during the 1980s and 1990s, increasingly more firms from around the world began cross-listing their shares on major overseas stock exchanges. During the past decade, however, the number of new international cross-listings on major exchanges...
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