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Order characteristics and the sources of commonality in prices and liquidity · Study

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ArticleOrder characteristics and the sources of commonality in prices and liquidity

Shane A. Corwin2010

OA

Articlegreen2010

Order characteristics and the sources of commonality in prices and liquidity

Shane A. Corwin · Marc Lars Lipson

47 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1995Size and Book-to-Market Factors in Earnings and Returns 1991Inferring Trade Direction from Intraday Data 2000Commonality in liquidity 1991Investor Sentiment and the Closed-End Fund Puzzle 2006Retail Investor Sentiment and Return Comovements 2001Common factors in prices, order flows, and liquidity 2008Individual Investor Trading and Stock Returns

Cited by

2015Dynamic convergence of commodity futures: Not all types of commodities are alike 2017Do ETFs Increase the Commonality in Liquidity of Underlying Stocks?2018Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach

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Details

Year2010

Typearticle

Published2010-08-04

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations47

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.finmar.2010.07.004

openalex_workW2053095746

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