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Citations for "Common market makers and commonality in liquidity"

by Coughenour, Jay F. & Saad, Mohsen M.

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  1. Anderson, Richard G. & Binner, Jane M. & Hagströmer, Björn & Nilsson, Birger, 2013. "Does Commonality in Illiquidity Matter to Investors?," Working Papers 2013:24, Lund University, Department of Economics.
  2. Chue, Timothy K. & Cook, David, 2008. "Emerging market exchange rate exposure," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1349-1362, July.
  3. Brockman, Paul & Chung, Dennis Y., 2008. "Commonality under market stress: Evidence from an order-driven market," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 179-196.
  4. Héléna Beltran-Lopez & Pierre Giot & Joachim Grammig, 2009. "Commonalities in the order book," Financial Markets and Portfolio Management, Springer, vol. 23(3), pages 209-242, September.
  5. Lee, Kuan-Hui, 2005. "The World Price of Liquidity Risk," Working Paper Series 2006-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  6. Karolyi, G. Andrew & Lee, Kuan Hui & van Dijk, Mathijs A., 2007. "Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World," Working Paper Series 2007-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  7. Allen, Linda & Gottesman, Aron A. & Peng, Lin, 2012. "The impact of joint participation on liquidity in equity and syndicated bank loan markets," Journal of Financial Intermediation, Elsevier, vol. 21(1), pages 50-78.
  8. Lasse Heje Pedersen, 2009. "When Everyone Runs for the Exit," NBER Working Papers 15297, National Bureau of Economic Research, Inc.
  9. Thomas Henker & Martin Martens, 2010. "Spread decomposition with common spread components," International Journal of Managerial Finance, Emerald Group Publishing, vol. 6(2), pages 88-115, April.
  10. Augusto de la Torre & Sergio L. Schmukler, 2007. "Emerging Capital Markets and Globalization : The Latin American Experience," World Bank Publications, The World Bank, number 7187.
  11. Rösch, Christoph G. & Kaserer, Christoph, 2013. "Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2284-2302.
  12. Anginer, Deniz, 2010. "Liquidity clienteles : transaction costs and investment decisions of individual investors," Policy Research Working Paper Series 5318, The World Bank.
  13. Bailey, Warren & Cai, Jun & Cheung, Yan Leung & Wang, Fenghua, 2009. "Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China," Journal of Banking & Finance, Elsevier, vol. 33(1), pages 9-19, January.
  14. Karolyi, G. Andrew & Lee, Kuan-Hui & van Dijk, Mathijs A., 2012. "Understanding commonality in liquidity around the world," Journal of Financial Economics, Elsevier, vol. 105(1), pages 82-112.
  15. Rösch, Christoph G. & Kaserer, Christoph, 2014. "Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 152-170.
  16. Cao, Melanie & Wei, Jason, 2010. "Option market liquidity: Commonality and other characteristics," Journal of Financial Markets, Elsevier, vol. 13(1), pages 20-48, February.
  17. Brockman, Paul & Chung, Dennis Y., 2006. "Index inclusion and commonality in liquidity: Evidence from the Stock Exchange of Hong Kong," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 291-305.
  18. Chuang, Wen-I & Lee, Hsiu-Chuan, 2010. "The Impact of Short-Sales Constraints on Liquidity and the Liquidity-Return Relations," Pacific-Basin Finance Journal, Elsevier, vol. 18(5), pages 521-535, November.
  19. Ling-Yun He, 2010. "Is Price Behavior Scaling and Multiscaling in a Dealer Market? Perspectives from Multi-Agent Based Experiments," Computational Economics, Society for Computational Economics, vol. 36(3), pages 263-282, October.
  20. Lee, Kuan-Hui, 2011. "The world price of liquidity risk," Journal of Financial Economics, Elsevier, vol. 99(1), pages 136-161, January.
  21. Sergio Mayordomo & Juan Ignacio Peña & María Rodríguez-Moreno, 2012. "Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis," Faculty Working Papers 23/12, School of Economics and Business Administration, University of Navarra.
  22. Kamara, Avraham & Lou, Xiaoxia & Sadka, Ronnie, 2008. "The divergence of liquidity commonality in the cross-section of stocks," Journal of Financial Economics, Elsevier, vol. 89(3), pages 444-466, September.
  23. Syamala, Sudhakar Reddy & Reddy, V. Nagi & Goyal, Abhinav, 2014. "Commonality in liquidity: An empirical examination of emerging order-driven equity and derivatives market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 317-334.
  24. Charles Ka Yui Leung & Chung-Yi Tse, 2012. "Flippers in Housing Market Search," 2012 Meeting Papers 434, Society for Economic Dynamics.
  25. Moulton, Pamela C. & Wei, Li, 2009. "A tale of two time zones: The impact of substitutes on cross-listed stock liquidity," Journal of Financial Markets, Elsevier, vol. 12(4), pages 570-591, November.
  26. Domowitz, Ian & Hansch, Oliver & Wang, Xiaoxin, 2005. "Liquidity commonality and return co-movement," Journal of Financial Markets, Elsevier, vol. 8(4), pages 351-376, November.
  27. Jiang, Lei, 2014. "Stock liquidity and the Taylor rule," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 202-214.
  28. Chung, Kee H. & Chuwonganant, Chairat, 2014. "Uncertainty, market structure, and liquidity," Journal of Financial Economics, Elsevier, vol. 113(3), pages 476-499.
  29. Nicole M. Boyson & Christof W. Stahel & René M. Stulz, 2010. "Hedge Fund Contagion and Liquidity Shocks," Journal of Finance, American Finance Association, vol. 65(5), pages 1789-1816, October.
  30. Paresh Kumar Narayan & Xinwei Zheng, 2011. "Asymmetric information and market collapse: Evidence from the Chinese Market," Financial Econometics Series 2011_09, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  31. Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene M., 2011. "Liquidity Shocks and Hedge Fund Contagion," Working Paper Series 2011-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  32. Dang, Tung Lam & Moshirian, Fariborz & Wee, Claudia Koon Ghee & Zhang, Bohui, 2015. "Cross-listings and liquidity commonality around the world," Journal of Financial Markets, Elsevier, vol. 22(C), pages 1-26.
  33. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," CORE Discussion Papers 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  34. Robert Battalio & Andrew Ellul & Robert Jennings, 2005. "Reputation effects in trading on the New York Stock Exchange," LSE Research Online Documents on Economics 24659, London School of Economics and Political Science, LSE Library.
  35. Shane A. Corwin & Jay F. Coughenour, 2008. "Limited Attention and the Allocation of Effort in Securities Trading," Journal of Finance, American Finance Association, vol. 63(6), pages 3031-3067, December.
  36. Corwin, Shane A. & Lipson, Marc L., 2011. "Order characteristics and the sources of commonality in prices and liquidity," Journal of Financial Markets, Elsevier, vol. 14(1), pages 47-81, February.
  37. Qian, Xiaolin & Tam, Lewis H.K. & Zhang, Bohui, 2014. "Systematic liquidity and the funding liquidity hypothesis," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 304-320.
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