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Limit order trading and information asymmetry : empirical evidence about the evolution of liquidity on an order driven market
Allen, David E. (contributor); Yang, Joey W. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003760003
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Price dynamics and market liquidity : an intraday event study on Euronext
Mazza, Paolo - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 139-153
Persistent link: https://www.econbiz.de/10011574367
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The evolution of informed liquidity provision : evidence from an order-driven market
Wee, Marvin; Yang, Wenling - In: European financial management : the journal of the … 22 (2016) 5, pp. 882-915
Persistent link: https://www.econbiz.de/10011713172
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How does short selling affect liquidity in financial markets?
Blau, Benjamin; Whitby, Ryan J. - In: Finance research letters 25 (2018), pp. 244-250
Persistent link: https://www.econbiz.de/10012003551
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Commonality in liquidity in the context of different trading systems : evidence from an emerging market
Tayeh, Mohammad - In: International journal of economics and financial issues … 6 (2016) 4, pp. 1344-1353
Persistent link: https://www.econbiz.de/10011774856
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Optimal liquidation and adverse selection in dark pools
Kratz, Peter; Schöneborn, Torsten - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 177-210
Persistent link: https://www.econbiz.de/10011969158
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Public information and uninformed trading : implications for market liquidity and price efficiency
Han, Bing; Tang, Ya; Yang, Liyan - In: Journal of economic theory 163 (2016), pp. 604-643
Persistent link: https://www.econbiz.de/10011593469
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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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Intraday liquidity patterns in limit order books
Malik, Azeem; Wing Lon Ng - In: Studies in economics and finance 31 (2014) 1, pp. 46-71
Persistent link: https://www.econbiz.de/10010258798
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Flighty Liquidity
Boyarchenko, Nina - 2019
We study how the risks to future liquidity flow across corporate bond, Treasury, and stock markets. We document … distribution “flight-to-safety” effects: a deterioration in the liquidity of high-yield corporate bonds forecasts an increase in … the average liquidity of Treasury securities and a decrease in uncertainty about the liquidity of investment …
Persistent link: https://www.econbiz.de/10012897700