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An empirical analysis of stock and bond market liquidity

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2003 - [Elektronische Ressource]

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and...

Persistent link: https://www.econbiz.de/10001752003

Order flow volatility and equity costs of capital

Chordia, Tarun; Hu, Jianfeng; Subrahmanyam, Avanidhar; … - In: Management science : journal of the Institute for … 65 (2019) 4, pp. 1520-1551

Persistent link: https://www.econbiz.de/10012022640

Are capital market anomalies common to equity and corporate bond markets? : an empirical investigation

Chordia, Tarun; Goyal, Amit; Nozawa, Yoshio; … - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 4, pp. 1301-1342

Persistent link: https://www.econbiz.de/10011927915

Index option trading activity and market returns

Chordia, Tarun; Kurov, Alexander; Muravyev, Dmitriy; … - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1758-1778

Persistent link: https://www.econbiz.de/10012506034

Taxes and dividend clientele: Evidence from trading and ownership structure

Lee, Yi-tsung; Liu, Yu-jane; Roll, Richard; … - In: Journal of banking & finance 30 (2006) 1, pp. 229-246

Persistent link: https://www.econbiz.de/10003285601

Options trading activity and firm valuation

Roll, Richard; Schwartz, Eduardo S.; Subrahmanyam, Avanidhar - In: Journal of financial economics 94 (2009) 3, pp. 345-360

Persistent link: https://www.econbiz.de/10003918726

Liquidity skewness

Roll, Richard; Subrahmanyam, Avanidhar - In: Journal of banking & finance 34 (2010) 10, pp. 2562-2571

Persistent link: https://www.econbiz.de/10008858290

Liquidity and the law of one price : the case of the future-cash basis

Roll, Richard; Schwartz, Eduardo S.; Subrahmanyam, Avanidhar - In: The journal of finance : the journal of the American … 62 (2007) 5, pp. 2201-2234

Persistent link: https://www.econbiz.de/10003550022

Trading activity in the equity market and its contingent claims : an empirical investigation

Roll, Richard; Schwartz, Eduardo S.; Subrahmanyam, Avanidhar - In: Journal of empirical finance 28 (2014), pp. 13-35

Persistent link: https://www.econbiz.de/10011284514

O/S : the relative trading activity in options and stock

Roll, Richard; Schwartz, Eduardo S.; Subrahmanyam, Avanidhar - In: Journal of financial economics 96 (2010) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10003968029