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Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality

Citations

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Cited by:

  1. Son, D. Pham & Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2023. "Liquidity spillover between ETFs and their constituents," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 723-747.
  2. Matthias Fengler & Winfried Koeniger & Stephan Minger, 2024. "The Transmission of Monetary Policy to the Cost of Hedging," CESifo Working Paper Series 11556, CESifo.
  3. Ciccarone Giuseppe & Giuli Francesco & Marchetti Enrico, 2020. "Prospect Theory and sentiment-driven fluctuations," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(1), pages 1-25, January.
  4. Gaurav Kumar & Arun Kumar Misra & Abhay Pant & Molla Ramizur Rahman, 2024. "Assessing Commonality in Liquidity: Evidence from an Emerging Market’s Index Stocks," Global Business Review, International Management Institute, vol. 25(2), pages 302-322, April.
  5. Doojin Ryu & Jinyoung Yu, 2022. "Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 61-76, January.
  6. Suardi, Sandy & Xu, Caihong & Zhou, Z. Ivy, 2022. "COVID-19 pandemic and liquidity commonality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
  7. Castagneto-Gissey, G. & Nivorozhkin, E., 2016. "No contagion from Russia toward global equity markets after the 2014 international sanctions," Economic Analysis and Policy, Elsevier, vol. 52(C), pages 79-98.
  8. 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).
  9. Ana Fiorella Carvajal & Ricardo Bebczuk, 2024. "Liquidity In Corporate Markets," World Bank Publications - Reports 41408, The World Bank Group.
  10. Wu, Liang & Yan, Xin & Fu, Zhiming & Zhang, Rui, 2019. "Do investors choose trade-size according to liquidity, empirical evidence from the S&P 500 index future market," Finance Research Letters, Elsevier, vol. 28(C), pages 275-280.
  11. Abdulaziz Mohammed Alsahlawi & Mohammed Abdullah Ammer, 2017. "Corporate Governance, Ownership Structure and Stock Market Liquidity in Saudi Arabia: A Conceptual Research Framework," Accounting and Finance Research, Sciedu Press, vol. 6(4), pages 1-17, Novebmer.
  12. Apergis, Nicholas & Lau, Chi Keung & Xu, Bing, 2023. "The impact of COVID-19 on stock market liquidity: Fresh evidence on listed Chinese firms," International Review of Financial Analysis, Elsevier, vol. 90(C).
  13. Haghighi, Afshin & Faff, Robert & Oliver, Barry, 2024. "Retail traders and co-movement: Evidence from Robinhood trading activity," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  14. Múnera, Daimer J. & Agudelo, Diego A., 2022. "Who moved my liquidity? Liquidity evaporation in emerging markets in periods of financial uncertainty," Journal of International Money and Finance, Elsevier, vol. 129(C).
  15. Sensoy, Ahmet, 2017. "Firm size, ownership structure, and systematic liquidity risk: The case of an emerging market," Journal of Financial Stability, Elsevier, vol. 31(C), pages 62-80.
  16. Liu, Ziqiang & Gao, Xin & Xu, Hao & Xu, Weidong, 2024. "Climate change exposure and stock liquidity commonality: International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
  17. Nekhili, Ramzi & Sultan, Jahangir & Bouri, Elie, 2023. "Liquidity spillovers between cryptocurrency and foreign exchange markets," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
  18. Fu, Yumei & He, Feng & Li, Jintian & Zan, Bingyan, 2024. "Commonality in liquidity and corporate default risk - Evidence from China," Research in International Business and Finance, Elsevier, vol. 69(C).
  19. Sensoy, Ahmet, 2019. "Commonality in ask-side vs. bid-side liquidity," Finance Research Letters, Elsevier, vol. 28(C), pages 198-207.
  20. Sensoy, Ahmet, 2016. "Commonality in liquidity: Effects of monetary policy and macroeconomic announcements," Finance Research Letters, Elsevier, vol. 16(C), pages 125-131.
  21. Sara Longo & Antonio Parbonetti & Amedeo Pugliese, 2022. "Investors’ expectations around quantitative easing: does liquidity injection affect European banks equally?," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 26(3), pages 957-996, September.
  22. Cenesizoglu, Tolga & Grass, Gunnar, 2018. "Bid- and ask-side liquidity in the NYSE limit order book," Journal of Financial Markets, Elsevier, vol. 38(C), pages 14-38.
  23. Yu, Huaibing, 2022. "Does sustainable competitive advantage make a difference in stock performance during the Covid-19 pandemic?," Finance Research Letters, Elsevier, vol. 48(C).
  24. Luiz Augusto Magalhães & Thiago Christiano Silva & Benjamin Miranda Tabak, 2022. "Hedging commodities in times of distress: The case of COVID‐19," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1941-1959, October.
  25. Gao, Haoyu & Li, Jinxuan & Wen, Huiyu, 2023. "Bank funding costs during the COVID-19 pandemic: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  26. Chen, Chuanglian & Yuting, Lin & Bowei, Su & Shujie, Yao, 2025. "Peer effect of fund trading and the risk of individual stock," Journal of Asian Economics, Elsevier, vol. 97(C).
  27. Benzennou, Bouchra & ap Gwilym, Owain & Williams, Gwion, 2020. "Commonality in liquidity across options and stock futures markets," Finance Research Letters, Elsevier, vol. 32(C).
  28. Yuanyuan Xu & Jian Li & Linjie Wang & Xiaoli Etienne, 2025. "Examining the impact of trading volume on liquidity and prices in China's soybean complex," Agribusiness, John Wiley & Sons, Ltd., vol. 41(2), pages 342-362, April.
  29. Guglielmo Maria Caporale & Faek Menla-Ali, 2024. "Geopolitical Risk and Cross-Border Portfolio Flows: Effects and Channels," CESifo Working Paper Series 11337, CESifo.
  30. Liew, Ping-Xin & Lim, Kian-Ping & Goh, Kim-Leng, 2022. "The dynamics and determinants of liquidity connectedness across financial asset markets," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 341-358.
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