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Stock Market Declines and Liquidity · Study

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PreprintStock Market Declines and Liquidity

Wenjin Kang2006

OA

Preprintgreen2006

Stock Market Declines and Liquidity

Wenjin Kang · Allaudeen Hameed

94 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Banking stability, regulation, efficiency Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 2002Dynamic Conditional Correlation 2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread 2008Market Liquidity and Funding Liquidity 1987Expected stock returns and volatility 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?

Cited by

2016A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices 2011Liquidity risk and accounting information 2013Fire-sale Spillovers and Systemic Risk 2008Stock Market Liquidity and the Business Cycle 2011Monetary Policy and its Impact on Stock Market Liquidity: Evidence from the Euro Zone 2013Measuring Liquidity in Emerging Markets

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2010Stock Market Declines and Liquidityarticle · 28 shared references 2013Market Liquidity—Theory and Empirical Evidencechapter · 21 shared references 2012Market Liquidity -- Theory and Empirical Evidencereport · 20 shared references 2013Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-qualityarticle · 18 shared references 2012Market Liquidity: Asset Pricing, Risk, and Crisesbook · 18 shared references 2014Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-qualityarticle · 17 shared references

Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations94

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.889241

openalex_workW2138355167

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2014

Cross-listings and liquidity commonality around the world

2011Market Crashes and Institutional Trading