This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Common factors in prices, order flows, and liquidity Author info | Abstract | Publisher info | Download info | Related research | Statistics Hasbrouck, Joel
Seppi, Duane J.
No abstract is available for
this item.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Article provided by Elsevier in its journal Journal of Financial Economics .
Volume (Year): 59 (2001)
Issue (Month): 3 (March)
Pages: 383-411
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Handle: RePEc:eee:jfinec:v:59:y:2001:i:3:p:383-411Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576
For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).
Keywords: Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006.
"Estimating Liquidity Using Information on the Multivariate Trading Process ,"
CoFE Discussion Paper
06-04, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
Other versions: Mardi Dungey & Charles Goodhart & Demosthenes Tambakis, 2005.
"The Us Treasury Market In August 1998: Untangling The Effects Og Hong Kong And Russia With High Frequency Data ,"
CAMA Working Papers
2005-25, Australian National University, Centre for Applied Macroeconomic Analysis.
[Downloadable!]
Other versions: Michael J. Fleming, 2001.
"Measuring treasury market liquidity ,"
Staff Reports
133, Federal Reserve Bank of New York.
[Downloadable!]
Other versions: Albert J. Menkveld & Siem Jan Koopman & André Lucas, 2003.
"Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence ,"
Tinbergen Institute Discussion Papers
03-037/2, Tinbergen Institute, revised 13 Oct 2003.
[Downloadable!]
Miguel A. Martínez & Belén Nieto & Gonzalo Rubio & Mikel Tapia, 2002.
"Asset Pricing And Systematic Liquidity Risk: An Empirical Investigation Of The Spanish Stock Market ,"
Business Economics Working Papers
wb026022, Universidad Carlos III, Departamento de Economía de la Empresa.
[Downloadable!]
Albert J. Menkveld & Asani Sarkar & Michel van der Wel, 2007.
"Macro News, Riskfree Rates, and the Intermediary ,"
Tinbergen Institute Discussion Papers
07-086/2, Tinbergen Institute.
[Downloadable!]
Albert J. Menkveld & Asani Sarkar & Michel van der Wel, 2007.
"Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures ,"
Staff Reports
307, Federal Reserve Bank of New York.
[Downloadable!]
Gonzalo Rubio & Miguel Angel A. Martinez & Belén Nieto, 2003.
"Asset pricing and systematic liquidity risk ,"
DFAEII Working Papers
200205, University of the Basque Country - Department of Foundations of Economic Analysis II.
[Downloadable!]
Gregory H. Bauer & Clara Vega, 2006.
"The monetary origins of asymmetric information in international equity markets ,"
International Finance Discussion Papers
872, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions: Chitru S. Fernando, 2002.
"Commonality in Liquidity: Transmission of Liquidity Shocks across Investors and Securities ,"
Center for Financial Institutions Working Papers
02-43, Wharton School Center for Financial Institutions, University of Pennsylvania.
[Downloadable!]
Access and
download statistics Did you know? You can use convenient plug-ins to search directly IDEAS from your browser.
This page was last updated on 2008-9-15.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .