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Liquidity commonality in commodities
16 references·6 citing·44 second hop
Liquidity commonality in commodities (2012)Liquidity commonality in commoditiesWhat Are the Best Liquidity Proxies for Global Research? (2011)What Are the Best Liquidity P…Understanding commonality in liquidity around the world (2011)Understanding commonality in …Stock Market Declines and Liquidity (2010)Stock Market Declines and Liq…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…How sensitive are consumer expenditures to retail energy prices? (2009)How sensitive are consumer ex…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…Striking oil: Another puzzle? (2008)Striking oil: Another puzzle?Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Pricing the commonality across alternative measures of liquidity (2007)Pricing the commonality acros…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…An Empirical Analysis of Stock and Bond Market Liquidity (2004)An Empirical Analysis of Stoc…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Common factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Hedging Pressure Effects in Futures Markets (2000)Hedging Pressure Effects in F…Commonality in liquidity (2000)Commonality in liquidityMarket microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Market microstructure and sec…Liquidity connectedness in cryptocurrency market (2022)Liquidity connectedness in cr…Derivatives pricing with liquidity risk (2019)Derivatives pricing with liqu…Futures Trading and the Excess Co-movement of Commodity Prices (2017)Futures Trading and the Exces…Are US-Dollar-Hedged-ETF investors aggressive on exchange rates? A panel VAR approach (2016)Are US-Dollar-Hedged-ETF inve…The linkage between aggregate investor sentiment and metal futures returns: A nonlinear approach (2015)The linkage between aggregate…Linking the gas and oil markets with the stock market: Investigating the U.S. relationship (2015)Linking the gas and oil marke…Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Trading and Arbitrage in Cryptocurrency Markets (2018)Law and Finance (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)How does competition affect bank systemic risk? (2013)How does deposit insurance affect bank risk? Evidence from the recent crisis (2013)Generalized impulse response analysis in linear multivariate models (1998)Liquidity Risk and Expected Stock Returns (2003)Market Liquidity and Funding Liquidity (2005)A liquidity-augmented capital asset pricing model (2006)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)Asset pricing with liquidity risk (2005)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Asset pricing and the bid-ask spread (1986)The Relation Between Price Changes and Trading Volume: A Survey (1987)Order imbalance, liquidity, and market returns (2002)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Liquidity and Market Efficiency (2007)Measuring security price performance (1980)A Theory of Intraday Patterns: Volume and Price Variability (1988)Presidential Address: Liquidity and Price Discovery (2003)Market transparency, liquidity externalities, and institutional trading costs in corporate bonds☆ (2006)Deviations from Put-Call Parity and Stock Return Predictability (2010)Options, Futures and Other Derivatives (2003)The Strategic and Tactical Value of Commodity Futures (2006)The Fundamentals of Commodity Futures Returns (2012)Financialization of Commodity Markets (2013)“Options, Futures, and Other Derivatives” (2016)Financialization, crisis and commodity correlation dynamics (2012)A Model of Financialization of Commodities (2016)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Market Liquidity and Trading Activity (2001)Market liquidity as a sentiment indicator (2004)
this work references cited by second hop

References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2000Commonality in liquidity1,748 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
  • 2011Understanding commonality in liquidity around the world723 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 1997Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange652 cited
  • 2010Stock Market Declines and Liquidity626 cited
  • 2008Striking oil: Another puzzle?616 cited
  • 2007Pricing the commonality across alternative measures of liquidity585 cited
  • 2009How sensitive are consumer expenditures to retail energy prices?580 cited
  • 2011What Are the Best Liquidity Proxies for Global Research?507 cited
  • 2000Hedging Pressure Effects in Futures Markets

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478 cited

Cited by

  • 2017Futures Trading and the Excess Co-movement of Commodity Prices87 cited
  • 2015Linking the gas and oil markets with the stock market: Investigating the U.S. relationship82 cited
  • 2022Liquidity connectedness in cryptocurrency market55 cited
  • 2019Derivatives pricing with liquidity risk35 cited
  • 2015The linkage between aggregate investor sentiment and metal futures returns: A nonlinear approach29 cited
  • 2016Are US-Dollar-Hedged-ETF investors aggressive on exchange rates? A panel VAR approach29 cited