Dynamics of Market Liquidity of Japanese Stocks: An Analysis of Tick-by-Tick Data of the Tokyo Stock Exchange
In: Market Liquidity: Research Findings and Selected Policy Implications
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- Robert F. Engle & Joe Lange, 1997. "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market," NBER Working Papers 6129, National Bureau of Economic Research, Inc.
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