Liquidity and Market Incompleteness
AbstractThis note shows that according to Lipmann and McCallÂ´s (1986) operational definition of liquidity, incomplete markets are a necessary condition for illiquidity.
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Bibliographic InfoPaper provided by Instituto de Economia. Pontificia Universidad Católica de Chile. in its series Documentos de Trabajo with number 318.
Date of creation: 2007
Date of revision:
Other versions of this item:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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- Lippman, Steven A & McCall, John J, 1986. "An Operational Measure of Liquidity," American Economic Review, American Economic Association, vol. 76(1), pages 43-55, March.
- Felipe Zurita, 2001. "Liquidity as an Insurance Problem," Documentos de Trabajo 198, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Eichberger, Jurgen & Harper, Ian R., 1997. "Financial Economics," OUP Catalogue, Oxford University Press, number 9780198775409.
- Ioannis Polyrakis & Foivos Xanthos, 2011. "Maximal submarkets that replicate any option," Annals of Finance, Springer, vol. 7(3), pages 407-423, August.
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