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Measuring Liquidity in Financial Markets
16 references·14 citing·39 second hop
Measuring Liquidity in Financial Markets (2002)Measuring Liquidity in Financial MarketsOrder Flow and Exchange Rate Dynamics (2002)Order Flow and Exchange Rate …Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong (2001)Limit Orders, Depth, and Vola…Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Price Formation and Liquidity…Order Flow and Exchange Rate Dynamics (1999)Order Flow and Exchange Rate …The Econometrics of Financial Markets (1997)The Econometrics of Financial…Market Microstructure Theory. (1996)Market Microstructure Theory.Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets (1993)Price Volatility, Trading Vol…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIAnatomy of a Financial Crisis (1991)Anatomy of a Financial CrisisLiquidity and Market Structure (1988)Liquidity and Market StructureThe Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The General Theory of Employment, Interest and Money. (1936)The General Theory of Employm…HOW DO YOU CAPTURE LIQUIDITY? A REVIEW OF THE LITERATURE ON LOW‐FREQUENCY STOCK LIQUIDITY (2020)HOW DO YOU CAPTURE LIQUIDITY?…Herding and equity market liquidity in emerging market. Evidence from Vietnam (2019)Herding and equity market liq…Dynamic herding analysis in a frontier market (2017)Dynamic herding analysis in a…Monetary Policy in the Presence of Islamic Banking (2016)Monetary Policy in the Presen…Measuring Market Liquidity in US Fixed Income Markets: A New Synthetic Indicator (2016)Measuring Market Liquidity in…Commonality in liquidity: Effects of monetary policy and macroeconomic announcements (2015)Commonality in liquidity: Eff…The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility (2013)The Impact of the French Secu…An Empirical Analysis of Liquidity and Its Determinants in the German Intraday Market for Electricity (2013)An Empirical Analysis of Liqu…Quantitative Spread Trading on Crude Oil and Refined Products Markets (2011)Quantitative Spread Trading o…Project Finance Collateralised Debt Obligations: an Empirical Analysis of Spread Determinants (2010)Project Finance Collateralise…Financial Soundness Indicators: Compilation Guide (2010)Financial Soundness Indicator…Global Financial Stability Report, April 2008: Containing Systemic Risks and Restoring Financial Soundness (2008)Global Financial Stability Re…Modalities of Moving to Inflation Targeting in Armenia and Georgia (2007)Modalities of Moving to Infla…Financial Soundness Indicators (2007)Financial Soundness IndicatorsCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)The Cost of Transacting (1968)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Liquidity and stock returns: An alternative test (1998)A New Estimate of Transaction Costs (1999)Commonality in liquidity (2000)The relationship between return and market value of common stocks (1981)Asset pricing and the bid-ask spread (1986)Market liquidity as a sentiment indicator (2004)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market microstructure: A survey (2000)Corporate Bond Market Transaction Costs and Transparency (2007)MIDAS Regressions: Further Results and New Directions (2007)Does the Stock Market Overreact? (1985)Introduction: epistemic communities and international policy coordination (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)Market Liquidity and Funding Liquidity (2008)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1936The General Theory of Employment, Interest and Money.14,486 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1996Market Microstructure Theory.1,152 cited
  • 2002Order Flow and Exchange Rate Dynamics957 cited
  • 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information799 cited
  • 1999Order Flow and Exchange Rate Dynamics790 cited
  • 1993Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets667 cited
  • 2001Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong308 cited
  • 1991Anatomy of a Financial Crisis

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304 cited

Cited by

  • 2020HOW DO YOU CAPTURE LIQUIDITY? A REVIEW OF THE LITERATURE ON LOW‐FREQUENCY STOCK LIQUIDITY98 cited
  • 2011Quantitative Spread Trading on Crude Oil and Refined Products Markets63 cited
  • 2017Dynamic herding analysis in a frontier market59 cited
  • 2016Measuring Market Liquidity in US Fixed Income Markets: A New Synthetic Indicator59 cited
  • 2010Financial Soundness Indicators: Compilation Guide58 cited
  • 2007Financial Soundness Indicators50 cited
  • 2019Herding and equity market liquidity in emerging market. Evidence from Vietnam42 cited
  • 2013An Empirical Analysis of Liquidity and Its Determinants in the German Intraday Market for Electricity39 cited
  • 2010Project Finance Collateralised Debt Obligations: an Empirical Analysis of Spread Determinants37 cited
  • 2016Monetary Policy in the Presence of Islamic Banking36 cited
  • 2008Global Financial Stability Report, April 2008: Containing Systemic Risks and Restoring Financial Soundness29 cited
  • 2015Commonality in liquidity: Effects of monetary policy and macroeconomic announcements27 cited
  • 2013The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility27 cited
  • 2007Modalities of Moving to Inflation Targeting in Armenia and Georgia23 cited