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Liquidity commonality and high frequency trading: Evidence from the French stock market · Study

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ArticleLiquidity commonality and high frequency trading: Evidence from the French stock market

Panagiotis Anagnostidis2019

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Articlebronze2019

Liquidity commonality and high frequency trading: Evidence from the French stock market

Panagiotis Anagnostidis · Patrice Fontaine

21 citations·0/0 files stored·International Review of Financial Analysis

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling FinTech, Crowdfunding, Digital Finance

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References

2003Liquidity Risk and Expected Stock Returns 2008Market Liquidity and Funding Liquidity 2005Asset pricing with liquidity risk 1991Measuring the Information Content of Stock Trades 2000Commonality in liquidity 2011Does Algorithmic Trading Improve Liquidity?1997Intraday periodicity and volatility persistence in financial markets 2002Equilibrium and welfare in markets with financially constrained arbitrageurs

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2014The Empirical Analysis of Liquidityarticle · 22 shared references 2014Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-qualityarticle · 21 shared references 2021Liquidity Synchronization, Its Determinants and Outcomes under Economic Growth Volatility: Evidence from Emerging Asian Economiesarticle · 21 shared references 2013Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-qualityarticle · 19 shared references 2014Liquidity commonalities in the corporate CDS market around the 2007–2012 financial crisisarticle · 19 shared references 2019High frequency trading and comovement in financial marketsarticle · 18 shared references

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Year2019

Typearticle

Published2019-12-06

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations21

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.irfa.2019.101428

openalex_workW2992220753

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