Commonality in Liquidity in the Context of Different Trading Systems: Evidence from an Emerging Market
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References listed on IDEAS
- Acharya, Viral V. & Pedersen, Lasse Heje, 2005.
"Asset pricing with liquidity risk,"
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Elsevier, vol. 77(2), pages 375-410, August.
- Acharya, Viral V & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 3749, C.E.P.R. Discussion Papers.
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- Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
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More about this item
KeywordsLiquidity; Commonality; Market Microstructure; Information Asymmetry; Floor Trading System; Electronic Trading Systems;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
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