Stock market liquidity
Subtitle: implications for market microstructure and asset pricing
By: Francois-Serge Lhabitant, Greg N. Gregoriou.
Contributors: Lhabitant, Francois-Serge.; Gregoriou, Greg N., 1956-
Series: Wiley finance series
Publisher: J. Wiley & Sons
Published: 2007
Place of publication: Hoboken, NJ
Language: eng
ISBN-13: 9780470181690
Subjects: Stock exchanges; Liquidity (Economics); Capital assets pricing model
Notes: Includes bibliographical references and index.
Table of contents: title: Order imbalance, liquidity, and market returns / Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam; title: Liquidity provision in the Hong Kong warrants market evidence from equity, derivative and basket warrants / Paul Brockman and Dennis Y. Chung; title: Liquidity issues in the money markets / Mark D. Griffiths, Valdimir Kotomin and Drew B. Winters; title: Liquidity and the retail investor : the Australian market for retail CDOs / Paul U. Ali; title: Short-term interest rates volatility and liquidity risk / Cecilia Caglio, Giampaolo Gabbi and Giovanna Zanotti; title: Intraday liquidity in the Istanbul exchange / Cumhur Ekinci; title: International portfolio allocations during the Asian financial crisis : evidence from U.S. closed-end funds / Kalok Chan, Kee-Hong Bae and Wai-Ming Fongc; title: Evidence on the speed of convergence to market efficiency / Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam; title: Does market structure matter? Trading costs and return volatility around exchange listings / Hendrik Bessembinder and Subhrendu Rath; title: Tick size, market structure and trading costs / William G. Christie, Jeffrey H. Harris and Eugene Kandel; title: Intraday market dynamics around public information arrivals / Angelo Ranaldo; title: Returns, volatility and liquidity on the ASX : undisclosed vs. disclosed limit orders / David E. Allen.. [et al.]; title: Earnings surprise and stealth trading / Sugato Chakravarty, Chiraphol N. Chiyachantana and Christine Jiang; title: The impact of inter-dealer trading on market liquidity under asymmetric information / Kees G. Koedijk, Mathijs A. van Dijk and Irma W. van Leeuwen; title: Trading technology and stock market liquidity : a global perspective / Pankaj K. Jain and William F. Johnson; title: Increasing the liquidity of shares in Chinese companies / Margaret Wang; title: Stealth trading : which traders' trades move prices? / Sugato Chakravarty; title: Commonality in liquidity / Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam; title: On the dynamics of market illiquidity / Niklas Wagner; title: Liquidity and returns : the impact of inclusion into the S&P 500 Index / Tarun Chordia; title: The multiple dimensions of market-wide liquidity : implications for asset pricing / R. Burt Porter; title: Managing illiquidity : a hedge fund perspective / Greg N. Gregoriou and Francois-Serge Lhabitant; title: Liquidity asset pricing model in a segmented equity market / Zhian Chen and Peter Swan.