Stock market liquidity implications for market microstructure and asset pricing
Order imbalance, liquidity, and market returns / Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam -- Liquidity provision in the Hong Kong warrants market evidence from equity, derivative and basket warrants / Paul Brockman and Dennis Y. Chung -- Liquidity issues in the money markets / Mark D....
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| Weitere Verfasser: | , |
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| Format: | UnknownFormat |
| Sprache: | eng |
| Veröffentlicht: |
Hoboken, N.J.
Wiley
c 2008
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| Schriftenreihe: | Wiley finance
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| Schlagworte: | |
| Online Zugang: | Inhaltsverzeichnis Cover Table of contents only Contributor biographical information Publisher description |
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| Zusammenfassung: | Order imbalance, liquidity, and market returns / Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam -- Liquidity provision in the Hong Kong warrants market evidence from equity, derivative and basket warrants / Paul Brockman and Dennis Y. Chung -- Liquidity issues in the money markets / Mark D. Griffiths, Valdimir Kotomin and Drew B. Winters -- Liquidity and the retail investor : the Australian market for retail CDOs / Paul U. Ali -- Short-term interest rates volatility and liquidity risk / Cecilia Caglio, Giampaolo Gabbi and Giovanna Zanotti -- Intraday liquidity in the Istanbul exchange / Cumhur Ekinci -- International portfolio allocations during the Asian financial crisis : evidence from U.S. closed-end funds / Kalok Chan, Kee-Hong Bae and Wai-Ming Fongc -- Evidence on the speed of convergence to market efficiency / Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam -- Does market structure matter? Trading costs and return volatility around exchange listings / Hendrik Bessembinder and Subhrendu Rath -- Tick size, market structure and trading costs / William G. Christie, Jeffrey H. Harris and Eugene Kandel -- Intraday market dynamics around public information arrivals / Angelo Ranaldo -- Returns, volatility and liquidity on the ASX : undisclosed vs. disclosed limit orders / David E. Allen.. [et al.] -- Earnings surprise and stealth trading / Sugato Chakravarty, Chiraphol N. Chiyachantana and Christine Jiang -- The impact of inter-dealer trading on market liquidity under asymmetric information / Kees G. Koedijk, Mathijs A. van Dijk and Irma W. van Leeuwen -- Trading technology and stock market liquidity : a global perspective / Pankaj K. Jain and William F. Johnson -- Increasing the liquidity of shares in Chinese companies / Margaret Wang -- Stealth trading : which traders' trades move prices? / Sugato Chakravarty -- Commonality in liquidity / Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam -- On the dynamics of market illiquidity / Niklas Wagner -- Liquidity and returns : the impact of inclusion into the S&P 500 Index / Tarun Chordia -- The multiple dimensions of market-wide liquidity : implications for asset pricing / R. Burt Porter -- Managing illiquidity : a hedge fund perspective / Greg N. Gregoriou and Francois-Serge Lhabitant -- Liquidity asset pricing model in a segmented equity market / Zhian Chen and Peter Swan |
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| Beschreibung: | Includes bibliographical references and index. - Enth. 23 Beitr |
| Beschreibung: | XXIII, 475 S. graph. Darst. |
| ISBN: | 9780470181690 978-0-470-18169-0 0470181699 0-470-18169-9 |