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Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity
16 references·4 citing·46 second hop
Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity (2021)Sentiment‐dependent impact of funding liq…Funding liquidity and bank risk taking (2016)Funding liquidity and bank ri…Sentiments (2013)SentimentsStock market liquidity and firm value☆ (2009)Stock market liquidity and fi…Money, Liquidity, and Monetary Policy (2009)Money, Liquidity, and Monetar…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Banks' Advantage in Hedging Liquidity Risk: Theory and Evidence from the Commercial Paper Market (2006)Banks' Advantage in Hedging L…Liquidity Black Holes (2004)Liquidity Black HolesShort-sale constraints and stock returns (2002)Short-sale constraints and st…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Commonality in liquidity (2000)Commonality in liquidityLiquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Noise (1986)NoiseSlow Moving CapitalSlow Moving CapitalVolatility forecasting and volatility-timing strategies: A machine learning approach (2024)Volatility forecasting and vo…Is a sentiment-based trading strategy profitable? (2022)Is a sentiment-based trading …Information contents of intraday SSE 50 ETF options trades (2022)Information contents of intra…Scheduled Macroeconomic News Announcements and Intraday Market Sentiment (2021)Scheduled Macroeconomic News …Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)Management ownership and market valuation (1988)Higher market valuation of companies with a small board of directors (1996)Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)Financial dependence and innovation: The case of public versus private firms (2016)Stock Liquidity and Stock Price Crash Risk (2017)The economic consequences associated with integrated report quality: Capital market and real effects (2017)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Predicting Volatility in the Foreign Exchange Market (1995)From value at risk to stress testing: The extreme value approach (2000)Asset pricing and the bid-ask spread (1986)The Components of the Bid-Ask Spread: A General Approach (1997)Liquidity and stock returns: An alternative test (1998)Market microstructure: A survey (2000)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)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)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)Efficient Capital Markets: II (1991)The Limits of Arbitrage (1995)DotCom Mania: The Rise and Fall of Internet Stock Prices (2003)Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Efficiency and the Bear: Short Sales and Markets Around the World (2007)The relationship between return and market value of common stocks (1981)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Prospect Theory: An Analysis of Decision under Risk (1979)The Framing of Decisions and the Psychology of Choice (1981)Do Demand Curves for Stocks Slope Down? (1986)The Noise Trader Approach to Finance (1990)Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies (1997)Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870-2008 (2009)Bank Risk-taking, Securitization, Supervision, and Low Interest Rates: Evidence from the Euro-area and the U.S. Lending Standards (2011)A Macroeconomic Model with a Financial Sector (2014)
this work references cited by second hop

References

  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1986Noise1,783 cited
  • 2000Commonality in liquidity1,748 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 2002Short-sale constraints and stock returns899 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 2009Stock market liquidity and firm value☆742 cited
  • 2009Money, Liquidity, and Monetary Policy646 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • 2006Banks' Advantage in Hedging Liquidity Risk: Theory and Evidence from the Commercial Paper Market611 cited
  • n.d.Slow Moving Capital464 cited
  • 2013Sentiments389 cited
  • 2004Liquidity Black Holes371 cited
  • 2016Funding liquidity and bank risk taking371 cited

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  • 2021Scheduled Macroeconomic News Announcements and Intraday Market Sentiment25 cited
  • 2022Is a sentiment-based trading strategy profitable?24 cited
  • 2024Volatility forecasting and volatility-timing strategies: A machine learning approach21 cited
  • 2022Information contents of intraday SSE 50 ETF options trades19 cited