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Short-term traders and liquidity: a test using Bombay Stock Exchange data

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  • Berkman, Henk
  • Eleswarapu, Venkat R.
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-3SX82RY-5/2/44b89a887337ad18000e5f85ab45b0eb
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 47 (1998)
    Issue (Month): 3 (March)
    Pages: 339-355

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    Handle: RePEc:eee:jfinec:v:47:y:1998:i:3:p:339-355

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    Web page: http://www.elsevier.com/locate/inca/505576

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    1. Conrad, Jennifer, 1989. " The Price Effect of Option Introduction," Journal of Finance, American Finance Association, vol. 44(2), pages 487-98, June.
    2. Stiglitz, J.E., 1989. "Using Tax Policy To Curb Speculative Short-Term Trading," Papers t2, Columbia - Center for Futures Markets.
    3. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
    4. Summers, L.H. & Summers, V.P., 1989. "When Financial Markets Work Too Well : A Cautious Case For A Securities Transactions Tax," Papers t12, Columbia - Center for Futures Markets.
    5. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1996. "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns," Journal of Financial Economics, Elsevier, vol. 41(3), pages 441-464, July.
    6. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    7. Yakov Amihud & Haim Mendelson & Beni Lauterbach, 1996. "Market Microstructure and Securities Values: Evidence From the Tel Aviv Stock Exchange," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-7, New York University, Leonard N. Stern School of Business-.
    8. Detemple, Jerome & Jorion, Philippe, 1990. "Option listing and stock returns : An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 781-801, October.
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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. New insights into the events on the Indian stock market in the mid-1990s
      by Ajay Shah in Ajay Shah's blog on 2012-04-11 17:22:00
    2. New insights into the events on the Indian stock market in the mid-1990s
      by Ajay Shah in Citizen Economists on 2012-04-13 19:10:04
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    Cited by:
    1. Malhotra, Madhuri Malhotra & M., Thenmozhi & Gopalaswamy, Arun Kumar, 2012. "Liquidity changes around bonus and rights issue announcements: Evidence from manufacturing and service sectors in India," MPRA Paper 41216, University Library of Munich, Germany.
    2. J. Carlos Gómez Sala & Jorge Yzaguirre, 2003. "Presión sobre los precios en las revisiones del índice IBEX35," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 491-531, September.
    3. David McLean, R., 2011. "Share issuance and cash savings," Journal of Financial Economics, Elsevier, vol. 99(3), pages 693-715, March.
    4. Cannon, Susanne E. & Cole, Rebel A., 2008. "Changes in REIT liquidity 1988 - 2007: Evidence from daily data," MPRA Paper 24694, University Library of Munich, Germany, revised 20 Aug 2010.
    5. Jamshed Y. Uppal & Inayat U. Mangla, 2006. "Market Volatility, Manipulation, and Regulatory Response: A Comparative Study of Bombay and Karachi Stock Markets," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 45(4), pages 1071-1083.
    6. Jamshed Y. Uppal & Inayat U. Mangla, 2006. "Regulatory Response to Market Volatility and Manipulation: A Case Study of Mumbai and Karachi Stock Exchanges," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 11(2), pages 79-105, Jul-Dec.
    7. Goyenko, Ruslan Y. & Holden, Craig W. & Trzcinka, Charles A., 2009. "Do liquidity measures measure liquidity?," Journal of Financial Economics, Elsevier, vol. 92(2), pages 153-181, May.
    8. Siddiqi, Hammad, 2010. "Information transmission and the emergence of a peculiar trading facility in certain emerging markets," MPRA Paper 23925, University Library of Munich, Germany.
    9. Siddiqi, Hammad, 2009. "The Puzzle of a Unique Instrument in Emerging Markets of South Asia," MPRA Paper 21750, University Library of Munich, Germany.
    10. Siddiqi, Hammad, 2008. "Information Transmission in Emerging Markets: The Case of a Unique Financing Instrument," MPRA Paper 6714, University Library of Munich, Germany.
    11. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
    12. Khwaja, Asim Ijaz & Mian, Atif, 2005. "Unchecked intermediaries: Price manipulation in an emerging stock market," Journal of Financial Economics, Elsevier, vol. 78(1), pages 203-241, October.
    13. Himmelmann, Achim & Schiereck, Dirk, 2012. "Drug approval decisions: A note on stock liquidity effects," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 640-652.
    14. Iqbal, Javed, 2008. "Stock Market in Pakistan: An Overview," MPRA Paper 11868, University Library of Munich, Germany.
    15. Siddiqi, Hammad, 2009. "Information Transmission and Micro-structure rents in Emerging Markets," MPRA Paper 15452, University Library of Munich, Germany.

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