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Liquidity commonality in commodities · Study

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ArticleLiquidity commonality in commodities

Ben R. Marshall2012

OA

Articlegreen2012

Liquidity commonality in commodities

Ben R. Marshall · Nhut H. Nguyen · Nuttawat Visaltanachoti

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

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

2002Illiquidity and stock returns: cross-section and time-series effects 2008Market Liquidity and Funding Liquidity 2000Commonality in liquidity 2009Do liquidity measures measure liquidity?☆2006Facts and Fantasies about Commodity Futures 2001Common factors in prices, order flows, and liquidity 2004An Empirical Analysis of Stock and Bond Market Liquidity 2011Understanding commonality in liquidity around the world

Cited by

2017Futures Trading and the Excess Co-movement of Commodity Prices 2015Linking the gas and oil markets with the stock market: Investigating the U.S. relationship 2022Liquidity connectedness in cryptocurrency market 2019Derivatives pricing with liquidity risk

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2015Understanding FX Liquidityarticle · 14 shared references 2014The Empirical Analysis of Liquidityarticle · 13 shared references 2019Measuring the multi-faceted dimension of liquidity in financial markets: A literature reviewarticle · 13 shared references 2018Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activityarticle · 12 shared references 2016Commonality in Liquidity: A Demand-Side Explanationarticle · 11 shared references 2017The determinants and pricing of liquidity commonality around the worldarticle · 11 shared references

Details

Year2012

Typearticle

Published2012-08-23

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations85

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2012.08.013

openalex_workW3123564367

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