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The dispersion effect in international stock returns
Leippold, Markus; Lohre, Harald - In: Journal of empirical finance 29 (2014), pp. 331-342
Persistent link: https://www.econbiz.de/10011300459
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Primary market characteristics and secondary market frictions of stocks
Boehme, Rodney; Çolak, Gönül - In: Journal of Financial Markets 15 (2012) 2, pp. 286-327
hot markets, with low offer price, low-reputation underwriters or no VC backing face higher liquidity frictions, higher …
Persistent link: https://www.econbiz.de/10011047532
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An empirical study on the decoupling movements between corporate bond and CDS spreads
Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009
factors and liquidity. Our analysis confirms the existence of a long-run relationship between the two markets, and the … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …
Persistent link: https://www.econbiz.de/10011605131
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Macroeconomic implications of financial imperfections: A survey
Claessens, Stijn; Kose, M. Ayhan - 2017
changes in financial intermediaries' balance sheets for the supply of credit, liquidity and asset prices, and, consequently …
Persistent link: https://www.econbiz.de/10012060201
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Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies
Petukhina, Alla A.; Reule, Raphael C. G.; Härdle, … - 2019
This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns. We study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of return correlations to CRIX (CRyptocurrency IndeX), as well...
Persistent link: https://www.econbiz.de/10012433234
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Bonding, Firm Value and Liquidity : An Analysis of Migrations Between the AIM and the Official List of the London Stock Exchange
Campbell, Kevin - 2011
categories of firm. Some of the changes in returns reflect changes in liquidity, while the remainder reflect adjustments to the …
Persistent link: https://www.econbiz.de/10013133544
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Investor Composition and Liquidity : An Analysis of Japanese Stocks
Jiang, Hao - 2014
liquidity. Our analysis of a panel of firm-level ownership data indicates that Japanese stocks that are held more by foreign …
Persistent link: https://www.econbiz.de/10013065675
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Asset Liquidity and Stock Liquidity : International Evidence
Charoenwong, Charlie - 2013
This study examines the relation between asset liquidity and stock liquidity across 47 countries. In support of the … valuation uncertainty hypothesis, we find that firms with greater asset liquidity on average have higher stock liquidity. More … importantly, our study shows that asset liquidity plays a more significant role in resolving valuation uncertainty in countries …
Persistent link: https://www.econbiz.de/10013071686
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Ex-Dividend Day Price Behavior and Liquidity in a Tax-Free Emerging Market
Dupuis, Daniel - 2018
This paper investigates the effect of liquidity on the ex-dividend day price premium. It is well documented that prices … impediments are absent, abnormal returns persist. Using a new measure of liquidity, we find that liquidity is economically and …
Persistent link: https://www.econbiz.de/10012926559
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A Reverse Index Futures Split Effect on Liquidity and Market Dynamics
Fassas, Athanasios - 2017
This paper examines the relationship between daily price variability and trading activity dynamics six months before and after the redesign of FTSE/ATHEX Large Cap futures contract in June 2016. Although contract and tick size is a critical factor for the viability of a futures market, there has...
Persistent link: https://www.econbiz.de/10012953866