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Momentum crashes and variations to market liquidity
Butt, Hilal Anwar; Virk, Nader Shahzad - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 1899-1911
Persistent link: https://www.econbiz.de/10013184407
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Momentum Crashes and Variations to Market Liquidity
Butt, Hilal Anwar - 2019
We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations surfaced on this topic. This relationship is driven by the asymmetric large return sensitivity of short-leg of momentum portfolio to changes in...
Persistent link: https://www.econbiz.de/10012895183
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Liquidity withdrawal in the FX spot market : a cross-country study using high-frequency data
Stenfors, Alexis; Susai, Masayuki - In: Journal of international financial markets, … 59 (2019), pp. 36-57
Persistent link: https://www.econbiz.de/10012127871
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Liquidity risk in limit order book markets
Mayston, Daniel (contributor) - 2006
Persistent link: https://www.econbiz.de/10003494297
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Essays in applied panel data econometrics
Kremer, Stephanie - 2011
Persistent link: https://www.econbiz.de/10009503994
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Die Informationseffizienz von commodity index futures : eine empirische Untersuchung auf der Basis von Intraday- und Tagesdaten
Becker, Hilger - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10013432175
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Effects of lit and dark market fragmentation on liquidity
Gresse, Carole - In: Journal of financial markets 35 (2017), pp. 1-20
Persistent link: https://www.econbiz.de/10011820138
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Mikrostruktur und Handelseffizienz von Wertpapiermärkten : Konzeption einer vergleichenden Analyse
Liesner, Jörg - 1996 - [Mikrofiche-Ausg.]
Persistent link: https://www.econbiz.de/10000939223
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A span of continuous trades and liquidity dynamics in foreign exchange markets
Chien, Chih-Chung; Chen, Shikuan; Chang, Ming-Jen - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 144-168
Persistent link: https://www.econbiz.de/10014253161
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International stock market liquidity : a review
Ma, Rui; Anderson, Hamish D.; Marshall, Ben R. - In: Managerial finance 42 (2016) 2, pp. 118-135
Persistent link: https://www.econbiz.de/10011539313