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Does stock market liquidity explain real economic activity? New evidence from two large European stock markets
16 references·3 citing·38 second hopsampled
Does stock market liquidity explain real economic activity? New evidence from two large European stock markets (2015)Does stock market liquidity explain real …Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Stock Markets, Banks, and Economic Growth (1999)Stock Markets, Banks, and Eco…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Stock Markets, Banks, and Economic Growth (1996)Stock Markets, Banks, and Eco…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Statistical inference in vector autoregressions with possibly integrated processes (1995)Statistical inference in vect…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Insiders and Outsiders: The Choice between Informed and Arm's-Length Debt (1992)Insiders and Outsiders: The C…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIAsset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia † (2021)Day‐of‐the‐week effect and ma…Retail investors’ trading and stock market liquidity (2020)Retail investors’ trading and…Understanding the impact of monetary policy announcements: The importance of language and surprises (2017)Understanding the impact of m…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Tourism as a long-run economic growth factor: the Spanish case (2002)Energy consumption, income, and carbon emissions in the United States (2006)Energy consumption, carbon emissions, and economic growth in China (2009)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Macroeconomics and Reality (1980)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Corporate financing and investment decisions when firms have information that investors do not have (1984)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A five-factor asset pricing model (2014)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Editor's Choice Digesting Anomalies: An Investment Approach
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,097 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1992Insiders and Outsiders: The Choice between Informed and Arm's-Length Debt3,902 cited
  • 1996Stock Markets, Banks, and Economic Growth3,889 cited
  • 1999Stock Markets, Banks, and Economic Growth2,881 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

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Cited by

  • 2020Retail investors’ trading and stock market liquidity37 cited
  • 2017Understanding the impact of monetary policy announcements: The importance of language and surprises36 cited
  • 2021Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia †29 cited