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Modelling impact of monetary policy on stock market liquidity : a dynamic copula approach
Chu, Xiaojun - In: Applied economics letters 22 (2015) 10/12, pp. 820-824
Persistent link: https://www.econbiz.de/10011286077
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Size effect in market-wide liquidity commonality : evidence from the Indian stock market
Cheriyan, Namitha K.; Lazar, Daniel - In: Organizations and markets in emerging economies 10 (2019) 2, pp. 335-355
Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in … evidence regarding the inventory risks and asymmetric information in uencing individual securities’ liquidity. Thus, this study … aims at documenting the liquidity commonality and measuring its extent in the Indian stock market. Employing fourteen …
Persistent link: https://www.econbiz.de/10012193362
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Is illiquidity risk priced? : the case of the Polish medium-size emerging stock market
Olbryś, Joanna - In: Bank i kredyt 45 (2014) 6, pp. 513-535
Persistent link: https://www.econbiz.de/10010481215
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Shareholder disputes and commonality in liquidity : evidence from the equity markets in China
Wang, Mu-Shun - In: Asia Pacific financial markets 29 (2022) 2, pp. 291-325
Persistent link: https://www.econbiz.de/10013260074
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The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets
Moriyasu, Hiroshi; Wee, Marvin; Yu, Jing - In: Pacific-Basin finance journal 49 (2018), pp. 103-128
Persistent link: https://www.econbiz.de/10012117677
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Monetary policy and liquidity of Vietnam's stock market
Tran Thi Hai Ly - In: Journal of economic development 23 (2016) 2, pp. 2-21
Persistent link: https://www.econbiz.de/10011647690
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Illiquidity premium and monetary conditions in emerging markets : an empirical examination of Taiwan stock markets
Chen, Chia-Cheng; Tai, Chia-Li; Liu, Yi-Sheng - In: International journal of economics and financial issues … 10 (2020) 1, pp. 109-117
Persistent link: https://www.econbiz.de/10012151235
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State-dependent illiquidity premium in the Korean stock market
Jang, Jeewon; Kang, Jangkoo; Lee, Changjun - In: Emerging markets finance & trade : a journal of the … 51 (2015) 2, pp. 400-417
Persistent link: https://www.econbiz.de/10011391814
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Stock market liquidity and macro-liquidity shocks : evidence from the 2007 - 2009 financial crisis
Florackis, Chris; Kontonikas, Alexandros; Kostakis, … - 2013
Persistent link: https://www.econbiz.de/10010235532
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Stock Market Liquidity and Macro-Liquidity Shocks : Evidence from the 2007-2009 Financial Crisis
Florackis, Chris - 2014
We develop an empirical framework that links micro-liquidity, macro-liquidity and stock prices. We provide evidence of … a strong link between macro-liquidity shocks and the returns of UK stock portfolios constructed on the basis of micro-liquidity … measures between 1999-2012. Specifically, macro-liquidity shocks, which are extracted on the meeting days of the Bank of …
Persistent link: https://www.econbiz.de/10013067362