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Interdependence between Monetary Policy and Stock Liquidity: A Panel VAR Approach
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Interdependence between Monetary Policy and Stock Liquidity: A Panel VAR Approach (2018)Interdependence between Monetary Policy a…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Financial development and dynamic investment behavior: Evidence from panel VAR (2006)Financial development and dyn…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Testing for unit roots in heterogeneous panels (2003)Testing for unit roots in het…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Unit root tests in panel data: asymptotic and finite-sample properties (2002)Unit root tests in panel data…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Commonality in liquidity (2000)Commonality in liquidityEstimating Vector Autoregressions with Panel Data (1988)Estimating Vector Autoregress…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Book Review: Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A simple panel unit root test in the presence of cross‐section dependence (2007)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)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market structure, information, futures markets, and price formation. (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Biases in Dynamic Models with Fixed Effects (1981)Formulation and estimation of dynamic models using panel data (1982)A Profitable Approach to Labor Supply and Commodity Demands over the Life-Cycle (1985)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Another look at the instrumental variable estimation of error-components models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A five-factor asset pricing model (2014)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)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)Bounds testing approaches to the analysis of level relationships (2001)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods23,139 cited
  • 2003Testing for unit roots in heterogeneous panels15,744 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,677 cited
  • 2002Unit root tests in panel data: asymptotic and finite-sample properties13,211 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2008Market Liquidity and Funding Liquidity5,147 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1988Estimating Vector Autoregressions with Panel Data4,273 cited
  • 2005Asset pricing with liquidity risk2,892 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 2006Financial development and dynamic investment behavior: Evidence from panel VAR1,790 cited
  • 2000Commonality in liquidity1,748 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 2009Do liquidity measures measure liquidity?☆

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