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Liquidity and stock returns: Evidence from a pure order-driven market using a new liquidity proxy
Marshall, Ben R. - In: International review of financial analysis 15 (2006) 1, pp. 21-38
Persistent link: https://www.econbiz.de/10003286071
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Commonality in returns, order flows, and liquidity in the Greek stock market
Dunne, Peter G.; Moore, Michael J.; Papavassiliou, … - In: The European journal of finance 17 (2011) 7/8, pp. 577-587
Persistent link: https://www.econbiz.de/10009509845
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Short-sales constraints and liquidity change : cross-sectional evidence from the Hong Kong Market
Bai, Min; Qin, Yafeng - In: Pacific-Basin finance journal 26 (2014), pp. 98-122
Persistent link: https://www.econbiz.de/10010498757
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Special issue on asset price dynamics and risk management
Cheung, Yin-Wong (contributor) - 2000
Persistent link: https://www.econbiz.de/10001688733
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What drives stock market underreaction to liquidity shocks? : evidence from Korea
Jang, Jeewon - In: Asia-Pacific journal of financial studies 51 (2022) 1, pp. 44-80
Persistent link: https://www.econbiz.de/10013161902
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Time-Varying Liquidity and Momentum Profits
Avramov, Doron - 2019
are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time …
Persistent link: https://www.econbiz.de/10012905292
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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 … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …
Persistent link: https://www.econbiz.de/10012895183
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The Effect of Stock Market Liquidity on Daily Returns in the Nigerian Capital Market
Onoh, John Okey - 2016
investors. The ability to generate confidence among investors requires an understanding of the role liquidity plays in the … Ordinary least square in hypotheses testing using three liquidity measurement methods. The results revealed that the market …
Persistent link: https://www.econbiz.de/10012986324
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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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Illiquidity, duration and momentum profits: evidence from the Korean stock market
Bae, Jaewan; Lee, Changjun - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 49-72
This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this paper finds that duration factor defined as the difference...
Persistent link: https://www.econbiz.de/10012592791