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

  • Berkman, Henk
  • Eleswarapu, Venkat R.

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/B6VBX-3SX82RY-5/2/44b89a887337ad18000e5f85ab45b0eb
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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  1. 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.
  2. 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-.
  3. Stiglitz, J.E., 1989. "Using Tax Policy To Curb Speculative Short-Term Trading," Papers t2, Columbia - Center for Futures Markets.
  4. 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.
  5. 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.
  6. Conrad, Jennifer, 1989. " The Price Effect of Option Introduction," Journal of Finance, American Finance Association, vol. 44(2), pages 487-98, June.
  7. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
  8. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
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