SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Market Liquidity and Flow-driven Risk
16 references·2 citing·41 second hop
Market Liquidity and Flow-driven Risk (2011)Market Liquidity and Flow-driven RiskAn Empirical Analysis of Stock and Bond Market Liquidity (2004)An Empirical Analysis of Stoc…Intraday Price Formation in U.S. Equity Index Markets (2003)Intraday Price Formation in U…Identification Through Heteroskedasticity (2003)Identification Through Hetero…Order Flow and Exchange Rate Dynamics (2002)Order Flow and Exchange Rate …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 …Common factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Commonality in liquidity (2000)Commonality in liquidityTrading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…A Theory of Trading in Stock Index Futures (1991)A Theory of Trading in Stock …A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …Trading Volume and Asset Liquidity (1989)Trading Volume and Asset Liqu…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index (1987)The Temporal Price Relationsh…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Financial aid and financial inclusion: Does risk uncertainty matter? (2021)Financial aid and financial i…Identifying informed traders in futures markets (2011)Identifying informed traders …Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Noise Trader Risk in Financial Markets (1990)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Asset pricing and the bid-ask spread (1986)Order imbalance, liquidity, and market returns (2002)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Liquidity and Market Efficiency (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)The relationship between return and market value of common stocks (1981)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Business conditions and expected returns on stocks and bonds (1989)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Presidential Address: Discount Rates (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Empirical exchange rate models of the seventies (1983)Exchange Rate Dynamics Redux (1995)Exchange Rates, Equity Prices, and Capital Flows (2005)International Liquidity and Exchange Rate Dynamics * (2015)Trading and Arbitrage in Cryptocurrency Markets (2018)Investor Psychology and Security Market Under‐ and Overreactions (1998)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)
this work references cited by second hop

References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 2000Commonality in liquidity1,748 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 2002Order Flow and Exchange Rate Dynamics957 cited
  • 2003Identification Through Heteroskedasticity922 cited
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
  • 1989Trading Volume and Asset Liquidity628 cited
  • 1991A Theory of Trading in Stock Index Futures542 cited
  • 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index503 cited
  • 2003Intraday Price Formation in U.S. Equity Index Markets

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

502 cited

Cited by

  • 2021Financial aid and financial inclusion: Does risk uncertainty matter?79 cited
  • 2011Identifying informed traders in futures markets42 cited