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Illiquidity Contagion and Liquidity Crashes · Study

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ArticleIlliquidity Contagion and Liquidity Crashes

Giovanni Cespa2012

OA

Articlegreen2012

Illiquidity Contagion and Liquidity Crashes

Giovanni Cespa · Thierry Foucault

264 citations·0/0 files stored·Review of Financial Studies

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Financial Markets and Investment Strategies Banking stability, regulation, efficiency Economic theories and models

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References

1985Continuous Auctions and Insider Trading 2003Liquidity Risk and Expected Stock Returns 1980On the Impossibility of Informationally Efficient Markets 2008Market Liquidity and Funding Liquidity 2005Asset pricing with liquidity risk 2000Commonality in liquidity 1988Estimating the components of the bid/ask spread 1990Transmission of Volatility between Stock Markets

Cited by

2014Information Diversity and Complementarities in Trading and Information Acquisition 2015Understanding FX Liquidity 2017Exchange-Traded Funds 2014The Empirical Analysis of Liquidity 2017Can ETFs Increase Market Fragility? Effect of Information Linkages in ETF Markets 2013Speculation and Hedging in Segmented Markets 2018The Flash Crash: A Cautionary Tale About Highly Fragmented Markets

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2014The Empirical Analysis of Liquidityarticle · 17 shared references 2013Market Liquidity—Theory and Empirical Evidencechapter · 17 shared references 2012Market Liquidity -- Theory and Empirical Evidencereport · 14 shared references 2012Market Liquidity: Asset Pricing, Risk, and Crisesbook · 14 shared references 2014Uncertainty, market structure, and liquidityarticle · 13 shared references 2015Understanding FX Liquidityarticle · 13 shared references

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Year2012

Typearticle

Published2012-01-01

VenueReview of Financial Studies

ISSN-L0893-9454

Languageen

Citations264

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1093/rfs/hhu016

openalex_workW2302747729

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