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ArticleMeasuring the liquidity part of volume

Serge Darolles2014

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Articlegreen2014

Measuring the liquidity part of volume

Serge Darolles · Gaëlle Le Fol · Gulten Mero

33 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 2002Illiquidity and stock returns: cross-section and time-series effects 1990Noise Trader Risk in Financial Markets 2008Market Liquidity and Funding Liquidity 2005Asset pricing with liquidity risk 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation

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2012The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatilityarticle · 14 shared references 2010Stock Market Trading Volumechapter · 13 shared references 2008An examination of the complementary volume–volatility information theoriesarticle · 13 shared references 2006The Cross-Section of Expected Trading Activityarticle · 12 shared references 2014Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond marketarticle · 12 shared references 2011Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesisarticle · 11 shared references

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Year2014

Typearticle

Published2014-11-05

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations33

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2014.09.007

openalex_workW3121645554

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