Measuring the multi-faceted dimension of liquidity in financial markets: A literature review
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DOI: 10.1016/j.ribaf.2019.101079
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Citations
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- Emre Su & Kaya Tokmakçıoğlu, 2023. "Determinants of bid-ask spread in emerging sovereign bond markets," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 346-352, September.
- Priyanka Naik & B G Poornima & Y V Reddy, 2020. "Measuring liquidity in Indian stock market: A dimensional perspective," PLOS ONE, Public Library of Science, vol. 15(9), pages 1-17, September.
- Zeynep Cobandag Guloglu & Cumhur Ekinci, 2022. "Liquidity measurement: A comparative review of the literature with a focus on high frequency," Journal of Economic Surveys, Wiley Blackwell, vol. 36(1), pages 41-74, February.
- Thomas Paul & Thomas Walther & André Küster-Simic, 2022. "Empirical analysis of the illiquidity premia of German real estate securities," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 203-260, June.
- Będowska-Sójka, Barbara & Kliber, Agata, 2021. "Information content of liquidity and volatility measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
- Díaz, Antonio & Escribano, Ana, 2022. "Liquidity dimensions in the U.S. corporate bond market," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1163-1179.
- O’Sullivan, Conall & Papavassiliou, Vassilios G. & Wafula, Ronald Wekesa & Boubaker, Sabri, 2024.
"New insights into liquidity resiliency,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
- Conall O'Sullivan & Vassilios G. Papavassiliou & Ronald Wekesa Wafula & Sabri Boubaker, 2024. "New Insights into Liquidity Resiliency," Post-Print hal-04432411, HAL.
- Będowska-Sójka, Barbara, 2020. "Do aggressive orders affect liquidity? An evidence from an emerging market," Research in International Business and Finance, Elsevier, vol. 54(C).
- Artur Akhmetov & Anna Burova & Natalia Makhankova & Alexey Ponomarenko, 2024.
"Measuring Market Liquidity and Liquidity Mismatches Across Sectors,"
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- Arthur Akhmetov & Anna Burova & Natalia Makhankova & Alexey Ponomarenko, 2021. "Measuring Market Liquidity and Liquidity Mismatches across Sectors," Bank of Russia Working Paper Series wps82, Bank of Russia.
- Będowska-Sójka, Barbara & Echaust, Krzysztof, 2020. "What is the best proxy for liquidity in the presence of extreme illiquidity?," Emerging Markets Review, Elsevier, vol. 43(C).
- Priyanka Naik & Y. V. Reddy, 2021. "Stock Market Liquidity: A Literature Review," SAGE Open, , vol. 11(1), pages 21582440209, January.
- Chuliá, Helena & Mosquera-López, Stephania & Uribe, Jorge M., 2023. "Nonlinear market liquidity: An empirical examination," International Review of Financial Analysis, Elsevier, vol. 87(C).
- Bessler, Wolfgang & Vendrasco, Marco, 2021. "The 2020 European short-selling ban and the effects on market quality," Finance Research Letters, Elsevier, vol. 42(C).
- Dang, Tung Lam & Nguyen, Thi Minh Hue, 2020. "Liquidity risk and stock performance during the financial crisis," Research in International Business and Finance, Elsevier, vol. 52(C).
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More about this item
Keywords
Liquidity dimensions; Liquidity measures; Liquidity proxies; Literature review;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
Statistics
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