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Order imbalance and commonality : evidence from the options market
Omole, John; Sensoy, Ahmet; Gulay, Guzhan - In: Borsa Istanbul Review 22 (2022) 1, pp. 1-11
Using a market model and principal component analysis, we investigate the existence of common effects in order imbalance in the Borsa Istanbul's option market. Accordingly, we find the presence of commonality in order imbalance for call options and an even more dominant presence in put options....
Persistent link: https://www.econbiz.de/10012817765
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Institutional ownership and liquidity commonality : evidence from Australia
Bradrania, Reza; Elliott, Robert J.; Wu, Winston - In: Accounting and finance 62 (2022), pp. 1231-1272
Persistent link: https://www.econbiz.de/10013187784
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Firm size, ownership structure, and systematic liquidity risk : the case of an emerging market
Sensoy, Ahmet - In: Journal of financial stability 31 (2017), pp. 62-80
Persistent link: https://www.econbiz.de/10011877578
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Freedom of choice impact on country-specific liquidity commonality
Jain, Pawan; Mekhaimer, Mohamed; Spahr, Ronald W.; … - In: Review of quantitative finance and accounting 63 (2024) 1, pp. 265-309
Persistent link: https://www.econbiz.de/10014546451
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Dividend policy, systematic liquidity risk, and the cost of equity capital
Mazouz, Khelifa; Wu, Yuliang; Ebrahim, Rabab; Sharma, … - In: Review of quantitative finance and accounting 60 (2023) 3, pp. 839-876
Persistent link: https://www.econbiz.de/10014287033
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Failing to forecast rare events
Bond, Philip; Dow, James - In: Journal of financial economics 142 (2021) 3, pp. 1001-1016
Persistent link: https://www.econbiz.de/10012873306
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The microstructure of the bond market in the 20th century
Biais, Bruno; Green, Richard C. - In: Review of economic dynamics 33 (2019), pp. 250-271
Persistent link: https://www.econbiz.de/10012312210
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Female gender diversity on corporate board and bid ask spread
Daadaa, Wissem - In: Journal for studies in economics and econometrics : SEE 47 (2023) 1, pp. 61-74
Persistent link: https://www.econbiz.de/10014319259
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The impact of exchange rate risk on international asset pricing under various market structures
Bayraktar, Sema - In: Review of quantitative finance and accounting 32 (2009) 2, pp. 169-195
Persistent link: https://www.econbiz.de/10003832469
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Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
Wang, Dezhong; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 16 (2009) 2, pp. 201-215
Persistent link: https://www.econbiz.de/10003839259