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The Empirical Analysis of Liquidity

Citations

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Cited by:

  1. Das, Kuntal K. & Yaghoubi, Mona, 2024. "Migration fear and stock price crash risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  2. Gniadkowska-Szymańska Agata, 2017. "The impact of trading liquidity on the rate of return on emerging markets: the example of Poland and the Baltic countries," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 13(4), pages 136-148, December.
  3. Cici, Gjergji & Dahm, Laura K. & Kempf, Alexander, 2018. "Trading efficiency of fund families: Impact on fund performance and investment behavior," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 1-14.
  4. Lim, Kian-Ping & Thian, Tze-Chung & Hooy, Chee-Wooi, 2017. "Investor heterogeneity, trading account types and competing liquidity channels for Malaysian stocks," Research in International Business and Finance, Elsevier, vol. 41(C), pages 220-234.
  5. Fabisik, Kornelia & Fahlenbrach, Rüdiger & Stulz, René M. & Taillard, Jérôme P., 2021. "Why are firms with more managerial ownership worth less?," Journal of Financial Economics, Elsevier, vol. 140(3), pages 699-725.
  6. Marcin Kacperczyk & Emiliano S Pagnotta, 2019. "Chasing Private Information," Review of Financial Studies, Society for Financial Studies, vol. 32(12), pages 4997-5047.
  7. Jia Jia Hing & Yee Peng Chow, 2022. "Influence of institutional investor heterogeneity on stock liquidity and its underlying liquidity channels," International Journal of Business and Emerging Markets, Inderscience Enterprises Ltd, vol. 14(3), pages 252-278.
  8. 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.
  9. Thierry Foucault & Roman Kozhan & Wing Wah Tham, 2017. "Toxic Arbitrage," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1053-1094.
  10. Pham, Mia Hang, 2020. "In law we trust: Lawyer CEOs and stock liquidity," Journal of Financial Markets, Elsevier, vol. 50(C).
  11. Saad, Mohsen & Samet, Anis, 2017. "Liquidity and the implied cost of equity capital," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 15-38.
  12. 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.
  13. Maksym Odnorog & Nataliia Kraus & Kateryna Kraus, 2019. "The Features Of Entrepreneurial Interactions In The Agricultural Sector In Terms Of Institutional Transformations," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 5(4).
  14. Eaton, Gregory W. & Irvine, Paul J. & Liu, Tingting, 2021. "Measuring institutional trading costs and the implications for finance research: The case of tick size reductions," Journal of Financial Economics, Elsevier, vol. 139(3), pages 832-851.
  15. Alexander Brauneis & Roland Mestel & Ryan Riordan & Erik Theissen, 2018. "A High-Frequency Analysis of Bitcoin Markets," Working Paper Series, Social and Economic Sciences 2018-06, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
  16. Kung-Cheng Ho & Hung-Yi Huang & Shengnan Liu, 2022. "Information disclosure ratings and managerial short-termism: An empirical investigation of the Chinese stock market," International Entrepreneurship and Management Journal, Springer, vol. 18(1), pages 349-381, March.
  17. Bae, Kyounghun & Kim, Daejin, 2020. "Liquidity risk and exchange-traded fund returns, variances, and tracking errors," Journal of Financial Economics, Elsevier, vol. 138(1), pages 222-253.
  18. Linas Jurksas & Deimante Teresiene & Rasa Kanapickiene, 2021. "Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions," Economies, MDPI, vol. 9(1), pages 1-22, March.
  19. Lim, Kian-Ping & Thian, Tze-Chung & Hooy, Chee-Wooi, 2015. "Corporate Shareholdings and the Liquidity of Malaysian Stocks: Investor Heterogeneity, Trading Account Types and the Underlying Channels," MPRA Paper 67602, University Library of Munich, Germany.
  20. Kempf, Alexander & Mayston, Daniel & Gehde-Trapp, Monika & Yadav, Pradeep K., 2015. "Resiliency: A dynamic view of liquidity," CFR Working Papers 15-04, University of Cologne, Centre for Financial Research (CFR).
  21. Mohsin Sadaqat & Hilal Anwar Butt, 2017. "Role of Liquidity in Explaining Anomalous Returns: Evidence from Emerging Market," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(3), pages 1-35, September.
  22. O’Hara, Maureen, 2015. "High frequency market microstructure," Journal of Financial Economics, Elsevier, vol. 116(2), pages 257-270.
  23. Chen, Jiayuan & Gong, Di & Muckley, Cal, 2020. "Stock market illiquidity, bargaining power and the cost of borrowing," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 181-206.
  24. Efstathios Panayi & Gareth W. Peters & Ioannis Kosmidis, 2015. "Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data," Quantitative Finance, Taylor & Francis Journals, vol. 15(10), pages 1737-1758, October.
  25. Mr. Luis Brandão-Marques, 2016. "Stock Market Liquidity in Chile," IMF Working Papers 2016/223, International Monetary Fund.
  26. Han, Jianlei & Pan, Zheyao, 2017. "On the relation between liquidity and the futures-cash basis: Evidence from a natural experiment," Journal of Financial Markets, Elsevier, vol. 36(C), pages 115-131.
  27. Abdi, Farshid & Ranaldo, Angelo, 2016. "A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low PricesWe propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency e," Working Papers on Finance 1604, University of St. Gallen, School of Finance, revised Apr 2017.
  28. Szymon Stereńczak, 2020. "State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange," IJFS, MDPI, vol. 8(1), pages 1-24, March.
  29. Black, Jeffrey R. & Stock, Duane & Yadav, Pradeep K., 2016. "The pricing of different dimensions of liquidity: Evidence from government guaranteed bonds," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 119-132.
  30. Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2020. "Liquidity, implied volatility and tail risk: A comparison of liquidity measures," International Review of Financial Analysis, Elsevier, vol. 69(C).
  31. Ye, Mao & Zheng, Miles Y. & Zhu, Wei, 2023. "The effect of tick size on managerial learning from stock prices," Journal of Accounting and Economics, Elsevier, vol. 75(1).
  32. Ellington, Michael & Fu, Xi & Zhu, Yunyi, 2023. "Real estate illiquidity and returns: A time-varying regional perspective," International Journal of Forecasting, Elsevier, vol. 39(1), pages 58-72.
  33. Huong Le & Andros Gregoriou, 2020. "How Do You Capture Liquidity? A Review Of The Literature On Low‐Frequency Stock Liquidity," Journal of Economic Surveys, Wiley Blackwell, vol. 34(5), pages 1170-1186, December.
  34. Nguyen, Truong-Giang, 2020. "Stock liquidity and dividend policy: Evidence from an imputation tax environment," International Review of Financial Analysis, Elsevier, vol. 72(C).
  35. Staer, Arsenio & Sottile, Pedro, 2018. "Equivalent volume and comovement," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 143-157.
  36. Chakrabarti, Amit & Krishnan, Kaveri, 2021. "Change in Illiquidity of Family Firms with Institutional Pressure: Evidence from India," American Business Review, Pompea College of Business, University of New Haven, vol. 24(2), pages 173-197, November.
  37. Vladimir Nusinov & Ievgeniia Mishchuk & Yaroslav Izmaylov, 2019. "Development Of The Stereometric Method To The Analysis Of Economic Categories And Processes And Its Application In Security And Taxation," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 5(4).
  38. Emiliano Pagnotta, 2016. "Chasing Private Information," 2016 Meeting Papers 1673, Society for Economic Dynamics.
  39. Jurksas Linas, 2018. "What Factors Shape the Liquidity Levels of Euro Area Sovereign Bonds?," Open Economics, De Gruyter, vol. 1(1), pages 154-166, December.
  40. Rosanna Span? & Maurizio Massaro & Adele Caldarelli & Carlo Bagnoli, 2023. "Blockchain implications for the accounting realm: A critique of extant studies," MANAGEMENT CONTROL, FrancoAngeli Editore, vol. 2023(1), pages 21-42.
  41. Cici, Gjergji & Dahm, Laura K. & Kempf, Alexander, 2014. "Trading efficiency of fund families: Impact on fund performance and investment behavior," CFR Working Papers 14-14, University of Cologne, Centre for Financial Research (CFR).
  42. Efstathios Panayi & Gareth Peters & Ioannis Kosmidis, 2014. "Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data," Papers 1406.5486, arXiv.org.
  43. Ramos, Henrique Pinto & Perlin, Marcelo Scherer, 2020. "Does algorithmic trading harm liquidity? Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  44. 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.
  45. Albert S. Kyle & Anna A. Obizhaeva, 2016. "Market Microstructure Invariance: Empirical Hypotheses," Econometrica, Econometric Society, vol. 84(4), pages 1345-1404, July.
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