Research classified by Journal of Economic Literature (JEL) codes

2016

• Valerio Della Corte & Stefano Federico, 2016, "Foreign holders of Italian government debt securities: new evidence," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 363, Oct.
• Benavides Guillermo, 2016, "Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD," Working Papers, Banco de México, number 2016-11, Jun.
• Cañón Salazar Carlos Iván & Gallón Santiago & Olivar Santiago, 2016, "Functional Systemic Risk, Complementarities and Early Warnings," Working Papers, Banco de México, number 2016-12, Jul.
• Daniel Mariño Ustacara & Luis Fernando Melo Velandia, 2016, "Regresión Cuantílica Dinámica para la Medición del Valor en Riesgo: una Aplicación a Datos Colombianos," Borradores de Economia, Banco de la Republica de Colombia, number 939, May, DOI: 10.32468/be.939.
• Daniel Mariño-Ustacara & Luis Fernando Melo-Velandia, 2016, "Relación entre los valores en riesgo de los principales mercados financieros colombianos: un enfoque a través de modelos multivariados de regresión cuantílica," Borradores de Economia, Banco de la Republica de Colombia, number 975, Dec, DOI: 10.32468/be.975.
• Imran Riaz Malik & Attaullah Shah, 2016, "Resumption of Single Stock Futures (SSFs) with Stringent Regulations and their Impact on the Risk Characteristics of the Underlying Stocks," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, volume 8, issue 2, pages 1-22, October, DOI: dx.doi.org/10.22547/BER/8.2.1.
• Naimat U Khan & Sajjad Khan, 2016, "Weak Form of Efficient Market Hypothesis: Evidence from Pakistan," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, volume 8, issue SE, pages 1-18, March, DOI: dx.doi.org/10.22547/BER/8.SE.1.
• L. Chauvet & Luc Jacolin, 2016, "Financial Inclusion, Bank Concentration and Firm Performance," Working papers, Banque de France, number 615.
• François Ortalo-Magné & Andrea Prat, 2016, "Spatial Asset Pricing: A First Step," Economica, London School of Economics and Political Science, volume 83, issue 329, pages 130-171, January.
• Thomas Dimpfl & Stephan Jank, 2016, "Can Internet Search Queries Help to Predict Stock Market Volatility?," European Financial Management, European Financial Management Association, volume 22, issue 2, pages 171-192, March, DOI: 10.1111/eufm.12058.
• Thomas Nitschka, 2016, "Is There a Too-Big-to-Fail Discount in Excess Returns on German Banks’ Stocks?," International Finance, Wiley Blackwell, volume 19, issue 3, pages 292-310, December.
• Sanjay Banerji & Rajesh S. N. Raj & Kunal Sen, 2016, "Monitoring Costs, Credit Constraints and Entrepreneurship," Manchester School, University of Manchester, volume 84, issue 5, pages 573-599, September.
• Sourafel Girma & Sandra Lancheros & Alejandro Riaño, 2016, "Global Engagement and Returns Volatility," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 78, issue 6, pages 814-833, December.
• BUNESCU Liliana, 2016, "Current Market Of Government Bonds In Romania: Key Issues," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 68, issue 3, pages 8-23, December.
• MINCULETE (PIKO) Georgiana Daniela & GRIGOROI Lilia & RODEAN (COZMA) Maria Daciana, 2016, "The Evolution Of The Sustainable Growth Of Companies Within The Pharmaceutical Industry," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 68, issue 3, pages 94-102, December.
• Aziz Jaafar & M. Shahid Ebrahim & Fatma A. Omar & Murizah Osman Salleh, 2016, "Can Islamic Injunctions Indemnify the Structural Flaws of Securitized Debt?," Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales), number 16001, Jan.
• Evangelos Benos & Richard Payne & Michalis Vasios, 2016, "Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act," Bank of England Staff Working Paper series, Bank of England, number 580, Jan.
• Evangelos Benos & Filip Zikes, 2016, "Liquidity determinants in the UK gilt market," Bank of England Staff Working Paper series, Bank of England, number 600, May.
• Philippe Bracke & Edward Pinchbeck & James Wyatt, 2016, "The time value of housing: historical evidence on discount rates," Bank of England Staff Working Paper series, Bank of England, number 621, Oct.
• Rachel Lukasz & Jack Fisher, 2016, "Assessing vulnerabilities to financial shocks in some key global economies," Bank of England Staff Working Paper series, Bank of England, number 636, Dec.
• Richard Harris & Evarist Stoja & Linh Nguyen, 2016, "Systematic tail risk," Bank of England Staff Working Paper series, Bank of England, number 637, Dec.
• Beum-Jo Park, 2016, "Investors' Herd Behavior and its Relation with Volatility in the Korean Stock Market (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 22, issue 3, pages 70-93, September.
• Hosung Jung & Soonho Kim, 2016, "The Effects of Stock Holdings and Trading by Tax Haven Investors (in Korean)," Working Papers, Economic Research Institute, Bank of Korea, number 2016-9, Jun.
• Oguz Ersan & Cumhur Ekinci, 2016, "Algorithmic and high-frequency trading in Borsa Istanbul," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 16, issue 4, pages 233-248, December.
• Csóka Péter & Pintér Miklós, 2016, "On the Impossibility of Fair Risk Allocation," The B.E. Journal of Theoretical Economics, De Gruyter, volume 16, issue 1, pages 143-158, January, DOI: 10.1515/bejte-2014-0051.
• Nyasha S. & Odhiambo N. M., 2016, "The Impact of Bank-Based and Market-Based Financial Development on Economic Growth: Time-Series Evidence From the United Kingdom," Global Economy Journal, De Gruyter, volume 16, issue 2, pages 389-410, June, DOI: 10.1515/gej-2015-0036.
• Bohl Martin T., 2016, "Treiben Indexfonds Agrarrohstoffpreise? Nein!," Perspektiven der Wirtschaftspolitik, De Gruyter, volume 17, issue 2, pages 155-171, July, DOI: 10.1515/pwp-2016-0011.
• Vanessa Neumann Sulzbach & João Mergulhão & Pedro L. Valls Pereira, 2016, "The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 14, issue 1, pages 7-43.
• Hippolyte d’Albis, 2016, "Impact des évolutions démographiques sur l'épargne et les marchés financiers," Revue d'économie financière, Association d'économie financière, volume 0, issue 2, pages 165-178.
• Grégory Claeys, 2016, "Quelle place pour les marchés financiers en Europe ?," Revue d'économie financière, Association d'économie financière, volume 0, issue 3, pages 125-146.
• Graham McIntosh, 2016, "Socially Responsible Investment and Market Performance: The Case of Energy and Resource Firms," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1609, Feb.
• Xiaohong Chen & Oliver Linton & Stefan Schneeberger, 2016, "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1620, Mar.
• Jędrzej Białkowski & Laura T. Starks, 2016, "SRI Funds: Investor Demand, Exogenous Shocks and ESG Profiles," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 16/11, Mar.
• Sir Vince Cable, 2016, "Why Governments Won't Invest," CEP Reports, Centre for Economic Performance, LSE, number 33, Mar.
• Walter Kraemer, 2016, "A Neglected Semi-Stylized Fact of Daily Stock Returns," CESifo Working Paper Series, CESifo, number 5806.
• Bruno Chiarini & Maria Ferrara & Elisabetta Marzano, 2016, "Investment Shocks, Tax Evasion and the Consumption Puzzle: A DSGE Analysis with Financial Frictions," CESifo Working Paper Series, CESifo, number 6015.
• Giovanni Cespa & Xavier Vives, 2016, "Market Transparency and Fragility," CESifo Working Paper Series, CESifo, number 6279.
• Benjamin R. Auer & Benjamin Mögel, 2016, "How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?," CESifo Working Paper Series, CESifo, number 6288.
• Bolko Hohaus, 2016, "Share Buybacks and Employee Stock Options," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 16, issue 04, pages 79-81, January.
• Uluc Aysun, 2016, "The credit channel is alive at the zero lower bound but how does it operate? Firm level evidence on the asymmetric effects of U.S. monetary policy," Working Papers, University of Central Florida, Department of Economics, number 2016-01, Jun.
• Davide Melcangi, 2016, "Firm’s precautionary savings and employment during a credit crisis," Discussion Papers, Centre for Macroeconomics (CFM), number 1610, Mar.
• Albert S. Kyle & Anna Obizhaeva & Tugkan Tuzun, 2016, "Microstructure Invariance in U.S. Stock Market Trades," Working Papers, Center for Economic and Financial Research (CEFIR), number w0230, Apr.
• Ileana (BĂDULESCU) ANASTASE & Cornel GRIGORUȚ, 2016, "Contemporary Developments Of The Marketing Orientation And Activity," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, issue 11, pages 351-355, July.
• Gustavo Peralta, 2016, "The Nature of Volatility Spillovers across the International Capital Markets," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 6.
• Uribe Gil Jorge Mario, 2016, "Regímenes de riesgo en el mercado de acciones colombiano," Revista Sociedad y Economía, Universidad del Valle, CIDSE, volume 0, issue 30, pages 11-404.
• Jimmy Melo, 2016, "Arbitraje limitado bajo fondeo basado en desempeno," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 8, issue 1, pages 165-187.
• Dennis Sánchez Navarro & Juan Pablo Herrera Saavedra & Aura Mar�a Garc�a Pab�n & Jacobo Campo Robledo & jcampo@sic.gov.co, 2016, "Determinantes de la dinámica de la cuota de manejo de las tarjetas de crédito en Colombia: el caso de la franquicia VISA," Estudios Económicos SIC, Superintendencia de Industria y Comercio, number 17719, Dec.
• Katarzyna Kubiszewska, 2016, "The assessment of the situation in banking sectors in selected European countries," Ekonomia i Prawo, Uniwersytet Mikolaja Kopernika, volume 15, issue 2, pages 193-208, June, DOI: 10.12775/EiP.2016.012.
• Adrian, Tobias & Moench, Emanuel & Shin, Hyun Song, 2016, "Dynamic Leverage Asset Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 11466, Aug.
• Malamud, Semyon, 2016, "A Dynamic Equilibrium Model of ETFs," CEPR Discussion Papers, Centre for Economic Policy Research, number 11469, Aug.
• Albuquerque de Sousa, José & Beck, Thorsten & van Bergeijk, Peter A.G. & Van Dijk, Mathijs, 2016, "Nascent markets: Understanding the success and failure of new stock markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 11604, Nov.
• Martin, Ian & Wagner, Christian, 2016, "What is the Expected Return on a Stock?," CEPR Discussion Papers, Centre for Economic Policy Research, number 11608, Nov.
• Cespa, Giovanni & Colla, Paolo, 2016, "Market Fragmentation, Dissimulation, and the Disclosure of Insider Trades," CEPR Discussion Papers, Centre for Economic Policy Research, number 11690, Dec.
• Cespa, Giovanni & Vives, Xavier, 2016, "Market opacity and fragility: Why liquidity evaporates when it is most needed," CEPR Discussion Papers, Centre for Economic Policy Research, number 11732, Dec.
• Martin T. Bohl & Gerrit Reher & Bernd Wilfling, 2016, "Short selling constraints and stock returns volatility: empirical evidence from the German stock market," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 4516, Jan.
• Mathurin FOUNANOU & Zaka RATSIMALAHELO, 2016, "Regulation of Microfinance Institutions in Developing countries: an incentives theory approach," Working Papers, CRESE, number 2016-03, Mar.
• Michael Doumpos & Chrysovalantis Gaganis & Fotios Pasiouras, 2016, "Bank Diversification and Overall Financial Strength: International Evidence," Working Papers, University of Crete, Department of Economics, number 1602, Sep.
• Chrysovalantis Gaganis, 2016, "Assessing the Overall Performance of Microfinance Institutions," Working Papers, University of Crete, Department of Economics, number 1603, Sep.
• Pedro V. Piffaut & Damià Rey Miró, 2016, "Integración, contagio financiero y riesgo bursátil: ¿qué nos dice la evidencia empírica para el periodo 1995-2016?," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 39, issue 111, pages 138-147, Septiembr.
• Chordia, Tarun & Goyal, Amit & Jegadeesh, Narasimhan, 2016, "Buyers versus Sellers: Who Initiates Trades, and When?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 51, issue 5, pages 1467-1490, October.
• Csóka, Péter & Herings, Jean-Jacques P., 2016, "Decentralized Clearing in Financial Networks," Corvinus Economics Working Papers (CEWP), Corvinus University of Budapest, number 2016/14, Nov.
• G l YE L ELEB, 2016, "IX. European Conference on Social and Behavioral Sciences," Journal of Economics Library, EconSciences Journals, volume 3, issue 1, pages 163-164, March.
• Leroi RAPUTSOANE, 2016, "Financial Stress Indicator Variables and Monetary Policy in South Africa," Journal of Economics Bibliography, EconSciences Journals, volume 3, issue 2, pages 203-214, June.
• M. Akýn DOÐANAY, 2016, "The Twentieth Symposium of Finance," Journal of Economics Bibliography, EconSciences Journals, volume 3, issue 4, pages 644-645, December.
• Xiaohong Chen & Oliver Linton & Stefan Schneeberger & Yanping Yi, 2016, "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2033, Mar.
• Virgil DAMIAN & Cosmin – Octavian CEPOI, 2016, "Volatility Estimators With High-Frequency Data From Bucharest Stock Exchange," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 50, issue 3, pages 247-264.
• Rafał SIEDLECKI & Daniel PAPLA, 2016, "Conditional Correlation Coefficient As A Tool For Analysis Of Contagion In Financial Markets And Real Economy Indexes Based On The Synthetic Ratio," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 50, issue 4, pages 287-299.
• Kiesel, F. & Kolaric, S. & Schiereck, D., 2016, "Market integration and efficiency of CDS and equity markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 77819, Jul, DOI: 10.1016/j.qref.2016.02.010.
• Стефан Симеонов, 2016, "Измерители На Борсовата Активност – Изследване На Индикаторите И Анализ На Пазарния Тренд," "Economic World" Library, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 131 Year , pages 3-228.
• Maximilian Podstawski & Anton Velinov, 2016, "The State Dependent Impact of Bank Exposure on Sovereign Risk," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1550.
• Carl Grekou, 2016, "Does the exchange rate regime shape currency misalignments in emerging and developing countries?," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2016-26.
• Lauren Stagnol, 2016, "The Risk Parity Principle applied on a Corporate Bond Index using Duration Times Spread," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2016-27.
• Kariv, Shachar & Kotowski, Maciej H. & Leister, C. Matthew, 2016, "Liquidity Risk in Sequential Trading Networks," Working Paper Series, Harvard University, John F. Kennedy School of Government, number 16-039, Oct.
• Bartram, Sohnke M. & Brown, Gregory W. & Stulz, Rene M., 2016, "Why Does Idiosyncratic Risk Increase with Market Risk?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-13, Jul.
• Hou, Kewei & Kim, Sehoon & Werner, Ingrid M., 2016, "(Priced) Frictions," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-19, Nov.
• Lee, Charles M. C. & So, Eric C., 2016, "Uncovering Expected Returns: Information in Analyst Coverage Proxies," Research Papers, Stanford University, Graduate School of Business, number 3367, Jan.
• Melody Nyangara & Davis Nyangara & Godfrey Ndlovu & Takawira Tyavambiza, 2016, "An Empirical Test of the Validity of the Capital Asset Pricing Model on the Zimbabwe Stock Exchange," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 6, issue 2, pages 365-379.
• Omar Durrah & Abdul Aziz Abdul Rahman & Syed Ahsan Jamil & Nour Aldeen Ghafeer, 2016, "Exploring the Relationship between Liquidity Ratios and Indicators of Financial Performance: An Analytical Study on Food Industrial Companies Listed in Amman Bursa," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 6, issue 2, pages 435-441.
• Faisal Khan & Saif-Ur-Rehman Khan & Hashim Khan, 2016, "Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 6, issue 2, pages 551-561.
• Mohammad Tayeh, 2016, "Commonality in Liquidity in the Context of Different Trading Systems: Evidence from an Emerging Market," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 6, issue 4, pages 1344-1353.
• Charles O. Manasseh & Chukwuka Kenneth Ozuzu & Jonathan E. Ogbuabor, 2016, "Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 6, issue 4, pages 1474-1490.
• Charles O. Manasseh & Ambrose N. Omeje, 2016, "Application of Generalized Autoregressive Conditional Heteroschedasticity Model on Inflation and Share Price Movement in Nigeria," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 6, issue 4, pages 1491-1501.
• Modebe Nwanneka Judith & Ezeaku Hillary Chijindu, 2016, "Relationship between Financial Development and Economic Growth in Nigeria: A Triangulation Approach," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 6, issue 4, pages 1842-1850.
• Azam Mohammadzadeh & Mohammad Nabi Shahiki Tash & Reza Roshan, 2016, "Investigating and Comparing Some Consumption-based Asset Pricing Models: The Case of Iran," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 6, issue 4, pages 1884-1894.
• Faisal Faisal & Peshraw Majid Muhamad & Turgut Tursoy, 2016, "Impact of Economic Growth, Foreign Direct Investment and Financial Development on Stock Prices in China: Empirical Evidence from Time Series Analysis," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 6, issue 4, pages 1998-2006.
• Öykü YÜCEL, 2016, "BÝST Endekslerinin Risk Temelli Performans Karþýlaþtýrmasý," Isletme ve Iktisat Calismalari Dergisi, Econjournals, volume 4, issue 4, pages 151-164.
• Galindo, Arturo & Micco, Alejandro, 2016, "Protección de los acreedores, intercambio de información y crédito para pequeñas y medianas empresas: datos comparativos entre países," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
• Galindo, Arturo & Micco, Alejandro, 2016, "Creditor protection, information sharing and credit for small and medium-sized enterprises: cross-country evidence," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
• Walker, Clive B., 2016, "The direction of media influence: Real-estate news and the stock market," Journal of Behavioral and Experimental Finance, Elsevier, volume 10, issue C, pages 20-31, DOI: 10.1016/j.jbef.2016.02.001.
• Giusti, Giovanni & Jiang, Janet Hua & Xu, Yiping, 2016, "Interest on cash, fundamental value process and bubble formation: An experimental study," Journal of Behavioral and Experimental Finance, Elsevier, volume 11, issue C, pages 44-51, DOI: 10.1016/j.jbef.2016.07.001.
• Lawal, Tolulola, 2016, "Clustering of annual general meetings and stock returns: UK evidence," Journal of Behavioral and Experimental Finance, Elsevier, volume 11, issue C, pages 9-12, DOI: 10.1016/j.jbef.2016.05.001.
• Yang, Xiaolan & Zhu, Li, 2016, "Ambiguity vs risk: An experimental study of overconfidence, gender and trading activity," Journal of Behavioral and Experimental Finance, Elsevier, volume 9, issue C, pages 125-131, DOI: 10.1016/j.jbef.2016.01.003.
• Clare, Andrew & Seaton, James & Smith, Peter N. & Thomas, Stephen, 2016, "The trend is our friend: Risk parity, momentum and trend following in global asset allocation," Journal of Behavioral and Experimental Finance, Elsevier, volume 9, issue C, pages 63-80, DOI: 10.1016/j.jbef.2016.01.002.
• Kallunki, Juha-Pekka & Mikkonen, Jenni & Nilsson, Henrik & Setterberg, Hanna, 2016, "Tax noncompliance and insider trading," Journal of Corporate Finance, Elsevier, volume 36, issue C, pages 157-173, DOI: 10.1016/j.jcorpfin.2015.12.005.
• Sila, Vathunyoo & Gonzalez, Angelica & Hagendorff, Jens, 2016, "Women on board: Does boardroom gender diversity affect firm risk?," Journal of Corporate Finance, Elsevier, volume 36, issue C, pages 26-53, DOI: 10.1016/j.jcorpfin.2015.10.003.
• Ebrahim, M. Shahid & Jaafar, Aziz & Omar, Fatma A. & Salleh, Murizah Osman, 2016, "Can Islamic injunctions indemnify the structural flaws of securitized debt?," Journal of Corporate Finance, Elsevier, volume 37, issue C, pages 271-286, DOI: 10.1016/j.jcorpfin.2016.01.002.
• Nielsson, Ulf & Wójcik, Dariusz, 2016, "Proximity and IPO underpricing," Journal of Corporate Finance, Elsevier, volume 38, issue C, pages 92-105, DOI: 10.1016/j.jcorpfin.2016.03.012.
• Switzer, Lorne N. & Picard, Alan, 2016, "Stock market liquidity and economic cycles: A non-linear approach," Economic Modelling, Elsevier, volume 57, issue C, pages 106-119, DOI: 10.1016/j.econmod.2016.04.006.
• Bohl, Martin T. & Reher, Gerrit & Wilfling, Bernd, 2016, "Short selling constraints and stock returns volatility: Empirical evidence from the German stock market," Economic Modelling, Elsevier, volume 58, issue C, pages 159-166, DOI: 10.1016/j.econmod.2016.05.025.
• Chatterjee, Ujjal K., 2016, "Do stock market trading activities forecast recessions?," Economic Modelling, Elsevier, volume 59, issue C, pages 370-386, DOI: 10.1016/j.econmod.2016.08.007.
• Li, Mingsheng & Zhao, Xin, 2016, "Neighborhood effect on stock price comovement," The North American Journal of Economics and Finance, Elsevier, volume 35, issue C, pages 1-22, DOI: 10.1016/j.najef.2015.10.002.
• Lin, William T. & Tsai, Shih-Chuan & Chiu, Peter, 2016, "Do foreign institutions outperform in the Taiwan options market?," The North American Journal of Economics and Finance, Elsevier, volume 35, issue C, pages 101-115, DOI: 10.1016/j.najef.2015.10.005.
• Chen, Chen & Lee, Hsiu-Chuan & Liao, Tzu-Hsiang, 2016, "Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market," The North American Journal of Economics and Finance, Elsevier, volume 35, issue C, pages 203-225, DOI: 10.1016/j.najef.2015.10.010.
• Bekiros, Stelios & Gupta, Rangan & Kyei, Clement, 2016, "On economic uncertainty, stock market predictability and nonlinear spillover effects," The North American Journal of Economics and Finance, Elsevier, volume 36, issue C, pages 184-191, DOI: 10.1016/j.najef.2016.01.003.
• Tsai, I-Chun, 2016, "Wealth effect and investor sentiment," The North American Journal of Economics and Finance, Elsevier, volume 38, issue C, pages 111-123, DOI: 10.1016/j.najef.2016.09.001.
• Yang, Chunpeng & Zhou, Liyun, 2016, "Individual stock crowded trades, individual stock investor sentiment and excess returns," The North American Journal of Economics and Finance, Elsevier, volume 38, issue C, pages 39-53, DOI: 10.1016/j.najef.2016.06.001.
• Wu, Jilin, 2016, "A test for changing trends with monotonic power," Economics Letters, Elsevier, volume 141, issue C, pages 15-19, DOI: 10.1016/j.econlet.2016.01.006.
• Chen, Binbin & Liu, Shancun & Zhang, Qiang, 2016, "Can public information promote market stability?," Economics Letters, Elsevier, volume 143, issue C, pages 103-106, DOI: 10.1016/j.econlet.2016.04.008.
• Cronin, David & Flavin, Thomas J. & Sheenan, Lisa, 2016, "Contagion in Eurozone sovereign bond markets? The good, the bad and the ugly," Economics Letters, Elsevier, volume 143, issue C, pages 5-8, DOI: 10.1016/j.econlet.2016.02.031.
• Gogolin, Fabian & Kearney, Fearghal, 2016, "Does speculation impact what factors determine oil futures prices?," Economics Letters, Elsevier, volume 144, issue C, pages 119-122, DOI: 10.1016/j.econlet.2016.05.007.
• Mallick, Sushanta & Matousek, Roman & Tzeremes, Nickolaos G., 2016, "Financial development and productive inefficiency: A robust conditional directional distance function approach," Economics Letters, Elsevier, volume 145, issue C, pages 196-201, DOI: 10.1016/j.econlet.2016.06.019.
• Kim, Jong-Min & Jung, Hojin, 2016, "Linear time-varying regression with Copula–DCC–GARCH models for volatility," Economics Letters, Elsevier, volume 145, issue C, pages 262-265, DOI: 10.1016/j.econlet.2016.06.027.
• Wu, Jilin, 2016, "Detecting structural changes under nonstationary volatility," Economics Letters, Elsevier, volume 146, issue C, pages 151-154, DOI: 10.1016/j.econlet.2016.07.039.
• Pinter, Julien & Boissel, Charles, 2016, "The Eurozone deposit rates’ puzzle: Choosing the right benchmark," Economics Letters, Elsevier, volume 148, issue C, pages 33-36, DOI: 10.1016/j.econlet.2016.09.005.
• Jang, Woon Wook & Eom, Young Ho & Kang, Yong Joo, 2016, "Corporate bond pricing model with stochastically volatile firm value process," Economics Letters, Elsevier, volume 148, issue C, pages 41-44, DOI: 10.1016/j.econlet.2016.09.018.
• He, Jing & Chen, Song Xi, 2016, "Testing super-diagonal structure in high dimensional covariance matrices," Journal of Econometrics, Elsevier, volume 194, issue 2, pages 283-297, DOI: 10.1016/j.jeconom.2016.05.007.
• Song, Joonhyuk & Ryu, Doojin, 2016, "Credit cycle and balancing the capital gap: Evidence from Korea," Economic Systems, Elsevier, volume 40, issue 4, pages 595-611, DOI: 10.1016/j.ecosys.2016.02.006.
• Carrillo-Tudela, Carlos & Hobijn, Bart & She, Powen & Visschers, Ludo, 2016, "The extent and cyclicality of career changes: Evidence for the U.K," European Economic Review, Elsevier, volume 84, issue C, pages 18-41, DOI: 10.1016/j.euroecorev.2015.09.008.
• Cui, Wei, 2016, "Monetary–fiscal interactions with endogenous liquidity frictions," European Economic Review, Elsevier, volume 87, issue C, pages 1-25, DOI: 10.1016/j.euroecorev.2016.03.007.
• Cimadomo, Jacopo & Claeys, Peter & Poplawski-Ribeiro, Marcos, 2016, "How do experts forecast sovereign spreads?," European Economic Review, Elsevier, volume 87, issue C, pages 216-235, DOI: 10.1016/j.euroecorev.2016.03.002.
• Webb, Robert I. & Ryu, Doojin & Ryu, Doowon & Han, Joongho, 2016, "The price impact of futures trades and their intraday seasonality," Emerging Markets Review, Elsevier, volume 26, issue C, pages 80-98, DOI: 10.1016/j.ememar.2016.01.002.
• Auer, Benjamin R., 2016, "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, volume 27, issue C, pages 1-13, DOI: 10.1016/j.ememar.2016.02.005.
• Fakhfekh, Mohamed & Hachicha, Nejib & Jawadi, Fredj & Selmi, Nadhem & Idi Cheffou, Abdoulkarim, 2016, "Measuring volatility persistence for conventional and Islamic banks: An FI-EGARCH approach," Emerging Markets Review, Elsevier, volume 27, issue C, pages 84-99, DOI: 10.1016/j.ememar.2016.03.004.
• Karagiannidis, Iordanis & Vozlyublennaia, Nadia, 2016, "Limits to mutual funds' ability to rely on mean/variance optimization," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 282-292, DOI: 10.1016/j.jempfin.2016.01.008.
• Hu, Shing-yang & Lin, Yueh-Hsiang & Lai, Christine W., 2016, "The effect of overvaluation on investment and accruals: The role of information," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 181-201, DOI: 10.1016/j.jempfin.2016.06.004.
• Kim, Gi H. & Li, Haitao & Zhang, Weina, 2016, "CDS-bond basis and bond return predictability," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 307-337, DOI: 10.1016/j.jempfin.2016.07.006.
• Smales, Lee A., 2016, "News sentiment and bank credit risk," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 37-61, DOI: 10.1016/j.jempfin.2016.05.002.
• Qadan, Mahmoud & Kliger, Doron, 2016, "The short trading day anomaly," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 62-80, DOI: 10.1016/j.jempfin.2016.05.007.
• Tsvetanov, Daniel & Coakley, Jerry & Kellard, Neil, 2016, "Bubbling over! The behaviour of oil futures along the yield curve," Journal of Empirical Finance, Elsevier, volume 38, issue PB, pages 516-533, DOI: 10.1016/j.jempfin.2015.08.009.
• Lee, Ji Hyung & Phillips, Peter C.B., 2016, "Asset pricing with financial bubble risk," Journal of Empirical Finance, Elsevier, volume 38, issue PB, pages 590-622, DOI: 10.1016/j.jempfin.2015.11.004.
• Linton, Oliver & Smetanina, Ekaterina, 2016, "Testing the martingale hypothesis for gross returns," Journal of Empirical Finance, Elsevier, volume 38, issue PB, pages 664-689, DOI: 10.1016/j.jempfin.2016.02.010.
• Ghosh, Sajal & Kanjilal, Kakali, 2016, "Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests," Energy Economics, Elsevier, volume 53, issue C, pages 111-117, DOI: 10.1016/j.eneco.2014.11.002.
• Shalini, Velappan & Prasanna, Krishna, 2016, "Impact of the financial crisis on Indian commodity markets: Structural breaks and volatility dynamics," Energy Economics, Elsevier, volume 53, issue C, pages 40-57, DOI: 10.1016/j.eneco.2015.02.011.
• Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki, 2016, "Does the S&P500 index lead the crude oil dynamics? A complexity-based approach," Energy Economics, Elsevier, volume 56, issue C, pages 239-246, DOI: 10.1016/j.eneco.2016.02.001.
• Low, Rand Kwong Yew & Yao, Yiran & Faff, Robert, 2016, "Diamonds vs. precious metals: What shines brightest in your investment portfolio?," International Review of Financial Analysis, Elsevier, volume 43, issue C, pages 1-14, DOI: 10.1016/j.irfa.2015.11.002.
• Antonakakis, Nikolaos & Floros, Christos, 2016, "Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 111-122, DOI: 10.1016/j.irfa.2016.01.006.
• Ghadhab, Imen & Hellara, Slaheddine, 2016, "Price discovery of cross-listed firms," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 177-188, DOI: 10.1016/j.irfa.2016.01.017.
• Boako, Gideon & Alagidede, Paul, 2016, "Global commodities and African stocks: A ‘market of one?’," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 226-237, DOI: 10.1016/j.irfa.2016.02.009.
• Vo, Xuan Vinh, 2016, "Does institutional ownership increase stock return volatility? Evidence from Vietnam," International Review of Financial Analysis, Elsevier, volume 45, issue C, pages 54-61, DOI: 10.1016/j.irfa.2016.02.006.
• Lambe, Brendan J., 2016, "An unreliable canary: Insider trading, the cash flow hypothesis and the financial crisis," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 151-158, DOI: 10.1016/j.irfa.2016.05.005.
• Manahov, Viktor, 2016, "A note on the relationship between high-frequency trading and latency arbitrage," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 281-296, DOI: 10.1016/j.irfa.2016.06.014.
• Ding, David K. & Ferreira, Christo & Wongchoti, Udomsak, 2016, "Does it pay to be different? Relative CSR and its impact on firm value," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 86-98, DOI: 10.1016/j.irfa.2016.06.013.
• Chau, Frankie & Deesomsak, Rataporn & Koutmos, Dimitrios, 2016, "Does investor sentiment really matter?," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 221-232, DOI: 10.1016/j.irfa.2016.10.003.
• Tabner, Isaac T., 2016, "Buying versus renting – Determinants of the net present value of home ownership for individual households," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 233-246, DOI: 10.1016/j.irfa.2016.10.004.
• Baur, Dirk G. & Beckmann, Joscha & Czudaj, Robert, 2016, "A melting pot — Gold price forecasts under model and parameter uncertainty," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 282-291, DOI: 10.1016/j.irfa.2016.10.010.
• Smimou, K. & Khallouli, W., 2016, "On the intensity of liquidity spillovers in the Eurozone," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 388-405, DOI: 10.1016/j.irfa.2015.03.009.
• Byström, Hans, 2016, "Credit-implied forward volatility and volatility expectations," Finance Research Letters, Elsevier, volume 16, issue C, pages 132-138, DOI: 10.1016/j.frl.2015.10.027.
• Park, Heungju & Sohn, Bumjean, 2016, "Long-term perspective on the stock market matters in asset pricing," Finance Research Letters, Elsevier, volume 16, issue C, pages 162-170, DOI: 10.1016/j.frl.2015.10.022.
• Carr, Peter & Worah, Pratik, 2016, "Optimal rates from eigenvalues," Finance Research Letters, Elsevier, volume 16, issue C, pages 230-238, DOI: 10.1016/j.frl.2015.12.003.
• Kleine, Jens & Wagner, Niklas & Weller, Tim, 2016, "Openness endangers your wealth: Noise trading and the big five," Finance Research Letters, Elsevier, volume 16, issue C, pages 239-247, DOI: 10.1016/j.frl.2015.12.002.
• Guo, Biao & Xiao, Yugu, 2016, "A note on why doesn't the choice of performance measure matter?," Finance Research Letters, Elsevier, volume 16, issue C, pages 248-254, DOI: 10.1016/j.frl.2015.12.001.
• Auer, Benjamin R., 2016, "On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations," Finance Research Letters, Elsevier, volume 16, issue C, pages 255-267, DOI: 10.1016/j.frl.2015.12.009.
• de Paulo, Wanderlei Lima & de Oliveira, Estela Mara & do Valle Costa, Oswaldo Luiz, 2016, "Enhanced index tracking optimal portfolio selection," Finance Research Letters, Elsevier, volume 16, issue C, pages 93-102, DOI: 10.1016/j.frl.2015.10.005.
• Madan, Dilip B. & Wang, King, 2016, "Nonrandom price movements," Finance Research Letters, Elsevier, volume 17, issue C, pages 103-109, DOI: 10.1016/j.frl.2016.02.003.
• Smales, L.A., 2016, "Risk-on/Risk-off: Financial market response to investor fear," Finance Research Letters, Elsevier, volume 17, issue C, pages 125-134, DOI: 10.1016/j.frl.2016.03.010.
• Gurdgiev, Constantin & Harte, Gerard, 2016, "Tsallis entropy: Do the market size and liquidity matter?," Finance Research Letters, Elsevier, volume 17, issue C, pages 151-157, DOI: 10.1016/j.frl.2016.03.006.
• Apergis, Emmanuel & Apergis, Nicholas, 2016, "The 11/13 Paris terrorist attacks and stock prices: The case of the international defense industry," Finance Research Letters, Elsevier, volume 17, issue C, pages 186-192, DOI: 10.1016/j.frl.2016.03.002.
• Grobys, Klaus & Haga, Jesper, 2016, "Identifying portfolio-based systematic risk factors in equity markets," Finance Research Letters, Elsevier, volume 17, issue C, pages 88-92, DOI: 10.1016/j.frl.2016.01.010.
• Alkhareif, Ryadh, 2016, "Are there significant premiums in the Saudi stock market?," Finance Research Letters, Elsevier, volume 18, issue C, pages 108-115, DOI: 10.1016/j.frl.2016.04.007.
• Kayacetin, Volkan & Lekpek, Senad, 2016, "Turn-of-the-month effect: New evidence from an emerging stock market," Finance Research Letters, Elsevier, volume 18, issue C, pages 142-157, DOI: 10.1016/j.frl.2016.04.012.
• Bekiros, Stelios & Gupta, Rangan & Majumdar, Anandamayee, 2016, "Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis," Finance Research Letters, Elsevier, volume 18, issue C, pages 291-296, DOI: 10.1016/j.frl.2016.01.012.
• Kolaric, Sascha & Schiereck, Dirk, 2016, "Are stock markets efficient in the face of fear? Evidence from the terrorist attacks in Paris and Brussels," Finance Research Letters, Elsevier, volume 18, issue C, pages 306-310, DOI: 10.1016/j.frl.2016.05.003.
• Boako, Gideon & Alagidede, Paul, 2016, "African stock markets convergence: Regional and global analysis," Finance Research Letters, Elsevier, volume 18, issue C, pages 317-321, DOI: 10.1016/j.frl.2016.05.007.
• Economou, Fotini & Katsikas, Epameinondas & Vickers, Gregory, 2016, "Testing for herding in the Athens Stock Exchange during the crisis period," Finance Research Letters, Elsevier, volume 18, issue C, pages 334-341, DOI: 10.1016/j.frl.2016.05.011.
• Banerjee, Suman & Humphery-Jenner, Mark, 2016, "Directors’ duties of care and the value of auditing," Finance Research Letters, Elsevier, volume 19, issue C, pages 1-14, DOI: 10.1016/j.frl.2016.05.004.
• Jang, Woon Wook & Kim, Hak Kyum & Kang, Yong Joo, 2016, "Developing the exchange traded market for government bonds: Effect of recent quote rule changes in South Korea," Finance Research Letters, Elsevier, volume 19, issue C, pages 130-138, DOI: 10.1016/j.frl.2016.07.004.
• Li, Yong & Benson, Karen & Faff, Robert, 2016, "Political constraints and trading strategy in times of market stress: Evidence from the chinese national social security fund," Finance Research Letters, Elsevier, volume 19, issue C, pages 217-221, DOI: 10.1016/j.frl.2016.08.002.
• Chen, Haiwei, 2016, "A Tobin tax only on sellers," Finance Research Letters, Elsevier, volume 19, issue C, pages 83-89, DOI: 10.1016/j.frl.2016.06.007.
• Hao, (Grace) Qing, 2016, "Is there information leakage prior to share repurchase announcements? Evidence from daily options trading," Journal of Financial Markets, Elsevier, volume 27, issue C, pages 79-101, DOI: 10.1016/j.finmar.2015.11.003.
• Lasser, Dennis J. & Spizman, Joshua D., 2016, "The value of the wildcard option in cash-settled American index options," Journal of Financial Markets, Elsevier, volume 28, issue C, pages 116-131, DOI: 10.1016/j.finmar.2015.09.002.
• Broman, Markus S., 2016, "Liquidity, style investing and excess comovement of exchange-traded fund returns," Journal of Financial Markets, Elsevier, volume 30, issue C, pages 27-53, DOI: 10.1016/j.finmar.2016.05.002.
• Benos, Evangelos & Sagade, Satchit, 2016, "Price discovery and the cross-section of high-frequency trading," Journal of Financial Markets, Elsevier, volume 30, issue C, pages 54-77, DOI: 10.1016/j.finmar.2016.03.004.
• Rydqvist, Kristian & Wu, Mark, 2016, "Pre-auction inventory and bidding behavior: Evidence from Canadian Treasury auctions," Journal of Financial Markets, Elsevier, volume 30, issue C, pages 78-102, DOI: 10.1016/j.finmar.2016.07.001.
• Daskalaki, Charoula & Skiadopoulos, George, 2016, "The effects of margin changes on commodity futures markets," Journal of Financial Stability, Elsevier, volume 22, issue C, pages 129-152, DOI: 10.1016/j.jfs.2016.01.002.
• Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2016, "Model risk of risk models," Journal of Financial Stability, Elsevier, volume 23, issue C, pages 79-91, DOI: 10.1016/j.jfs.2016.02.002.
• Campbell, Gareth & Coyle, Christopher & Turner, John D., 2016, "This time is different: Causes and consequences of British banking instability over the long run," Journal of Financial Stability, Elsevier, volume 27, issue C, pages 74-94, DOI: 10.1016/j.jfs.2016.09.007.
• Slim, Skander & Dahmene, Meriam, 2016, "Asymmetric information, volatility components and the volume–volatility relationship for the CAC40 stocks," Global Finance Journal, Elsevier, volume 29, issue C, pages 70-84, DOI: 10.1016/j.gfj.2015.04.001.
• Knispel, Thomas & Laeven, Roger J.A. & Svindland, Gregor, 2016, "Robust optimal risk sharing and risk premia in expanding pools," Insurance: Mathematics and Economics, Elsevier, volume 70, issue C, pages 182-195, DOI: 10.1016/j.insmatheco.2016.05.012.
• Biagini, Francesca & Zhang, Yinglin, 2016, "Polynomial diffusion models for life insurance liabilities," Insurance: Mathematics and Economics, Elsevier, volume 71, issue C, pages 114-129, DOI: 10.1016/j.insmatheco.2016.08.008.
• Byström, Hans, 2016, "Language, news and volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 42, issue C, pages 139-154, DOI: 10.1016/j.intfin.2016.03.002.
• García Lara, Juan Manuel & García Osma, Beatriz & Penalva, Fernando, 2016, "Accounting conservatism and firm investment efficiency," Journal of Accounting and Economics, Elsevier, volume 61, issue 1, pages 221-238, DOI: 10.1016/j.jacceco.2015.07.003.
• Zuo, Luo, 2016, "The informational feedback effect of stock prices on management forecasts," Journal of Accounting and Economics, Elsevier, volume 61, issue 2, pages 391-413, DOI: 10.1016/j.jacceco.2016.03.001.
• Brown, Lawrence D. & Call, Andrew C. & Clement, Michael B. & Sharp, Nathan Y., 2016, "The activities of buy-side analysts and the determinants of their stock recommendations," Journal of Accounting and Economics, Elsevier, volume 62, issue 1, pages 139-156, DOI: 10.1016/j.jacceco.2016.06.002.
• Berger, Dave & Pukthuanthong, Kuntara, 2016, "Fragility, stress, and market returns," Journal of Banking & Finance, Elsevier, volume 62, issue C, pages 152-163, DOI: 10.1016/j.jbankfin.2015.11.003.
• Cho, Jin-Wan & Choi, Joung Hwa & Kim, Taeyong & Kim, Woojin, 2016, "Flight-to-quality and correlation between currency and stock returns," Journal of Banking & Finance, Elsevier, volume 62, issue C, pages 191-212, DOI: 10.1016/j.jbankfin.2014.09.003.
• Caglio, Cecilia & Mayhew, Stewart, 2016, "Equity trading and the allocation of market data revenue," Journal of Banking & Finance, Elsevier, volume 62, issue C, pages 97-111, DOI: 10.1016/j.jbankfin.2015.10.002.
• Norden, Lars & Roosenboom, Peter & Wang, Teng, 2016, "The effects of corporate bond granularity," Journal of Banking & Finance, Elsevier, volume 63, issue C, pages 25-34, DOI: 10.1016/j.jbankfin.2015.11.001.
• Hoffmann, Peter, 2016, "Adverse selection, market access, and inter-market competition," Journal of Banking & Finance, Elsevier, volume 65, issue C, pages 108-119, DOI: 10.1016/j.jbankfin.2015.10.009.
• Choudhry, Taufiq & Papadimitriou, Fotios I. & Shabi, Sarosh, 2016, "Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests," Journal of Banking & Finance, Elsevier, volume 66, issue C, pages 89-101, DOI: 10.1016/j.jbankfin.2016.02.005.
• Malik, Sheheryar & Meldrum, Andrew, 2016, "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, volume 67, issue C, pages 85-102, DOI: 10.1016/j.jbankfin.2016.02.006.
• Garvey, Ryan & Huang, Tao & Wu, Fei, 2016, "Why do traders choose dark markets?," Journal of Banking & Finance, Elsevier, volume 68, issue C, pages 12-28, DOI: 10.1016/j.jbankfin.2016.02.011.
• Chacko, George & Das, Sanjiv & Fan, Rong, 2016, "An index-based measure of liquidity," Journal of Banking & Finance, Elsevier, volume 68, issue C, pages 162-178, DOI: 10.1016/j.jbankfin.2016.03.012.