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The role of collateral in supporting liquidity
Baranova, Yuliya; Liu, Zijun; Noss, Joseph - In: The journal of financial market infrastructures 5 (2016) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10011673678
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Relative liquidity and future volatility
Valenzuela, Marcela; Zer, Ilknur; Fryzlewicz, Piotr; … - In: Journal of financial markets 24 (2015), pp. 25-48
Persistent link: https://www.econbiz.de/10011477230
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Optimal liquidation strategies and their implications
Ting, Christopher; Warachka, Mitch; Zhao, Yonggan - In: Journal of economic dynamics & control 31 (2007) 4, pp. 1431-1450
Persistent link: https://www.econbiz.de/10003443549
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Commonality in FX liquidity : high-frequency evidence
Sensoy, Ahmet; Uzun, Sevcan; Lucey, Brian M. - In: Finance research letters 39 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10012805184
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Trading Costs and Priced Illiquidity in High Frequency Trading Markets
Barardehi, Yashar H.; Bernhardt, Dan; Davies, Ryan J. - 2021
, due to endogenous variation in liquidity provision and consumption. After controlling for this endogenity, price impacts …
Persistent link: https://www.econbiz.de/10013241217
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Liquidity and capital under uncertainty and changing market sentiment : a simple analysis
Bossone, Biagio - In: Review of financial economics : RFE 23 (2014) 2, pp. 98-105
Persistent link: https://www.econbiz.de/10010442586
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The market impact puzzle
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494214
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Capital reallocation and liquidity
Eisfeldt, Andrea L.; Rampini, Adriano A. - In: Journal of monetary economics 53 (2006) 3, pp. 369-399
Persistent link: https://www.econbiz.de/10003317336
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Institutional Investment and Commonality in Liquidity : Evidence from Transaction Data
Aymo, Mahmoud - 2015
liquidity using data on actual institutional investors' trades. We fi nd strong empirical evidence that stocks that are highly … traded by institutions exhibit commonality in liquidity. This result appears to be the consequence of correlated trading, as …, we nd some evidence of a causal link between institutional investors' trades and stock liquidity covariation …
Persistent link: https://www.econbiz.de/10013034523
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How aggressive are high-frequency traders?
Hagströmer, Björn; Nordén, Lars; Zhang, Dong - In: The financial review : the official publication of the … 49 (2014) 2, pp. 395-419
Persistent link: https://www.econbiz.de/10010363573