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The joint dynamics of liquidity, returns, and volatility across small and large firms

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2005

This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using data that spans more than 3,000 trading days. We find...

Persistent link: https://www.econbiz.de/10002746486

Cross-sectional determinants of expected returns

Brennan, Michael J.; Chordia, Tarun; Subrahmanyam, Avanidhar - In: The legacy of Fischer Black, (pp. 161-186). 2005

Persistent link: https://www.econbiz.de/10003404044

Momentum, business cycle, and time-varying expected returns

Chordia, Tarun; Shivakumar, Lakshmanan - In: The journal of finance : the journal of the American … 57 (2002) 2, pp. 985-1019

Persistent link: https://www.econbiz.de/10001684740

Order imbalance, liquidity, and market returns

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Journal of financial economics 65 (2002) 1, pp. 111-130

Persistent link: https://www.econbiz.de/10001690219

True spreads and equilibrium prices

Ball, Clifford A.; Chordia, Tarun - In: The journal of finance : the journal of the American … 56 (2001) 5, pp. 1801-1835

Persistent link: https://www.econbiz.de/10001615430

Common determinants of bond and stock market liquidity : the impact of financial crises, monetary policy, and mutual fund flows

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2001 - [Elektronische Ressource]

We study common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991-98 period. We find that spread changes in one market are affected by lagged spread and volume changes in both markets. Further, spread and volume changes are predictable to a...

Persistent link: https://www.econbiz.de/10001629622

Market liquidity and trading activity

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: The journal of finance : the journal of the American … 56 (2001) 2, pp. 501-530

Persistent link: https://www.econbiz.de/10001604100

Determinants of daily fluctuations in liquidity and trading activity

Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: Cuadernos de economía 40 (2003), pp. 728-751

Persistent link: https://www.econbiz.de/10001900612

Trading volume and cross-autocorrelations in stock returns

Chordia, Tarun; Swaminathan, Bhaskaran - In: The journal of finance : the journal of the American … 55 (2000) 2, pp. 913-935

Persistent link: https://www.econbiz.de/10001497303

Trading activity and expected stock returns

Chordia, Tarun; Subrahmanyam, Avanidhar; Anshuman, V. Ravi - In: Journal of financial economics 59 (2001) 1, pp. 3-32

Persistent link: https://www.econbiz.de/10001540927