Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing
John Wiley & Sons, Jan 9, 2008 - Business & Economics - 475 pages
A detailed look at the real role of liquidity in today's stock market Market liquidity plays an important role in financial markets--affecting not only pricing, but also market anomalies. Stock Market Liquidity brings together the best financial minds in the world to discuss the issue fully. The various contributors to this comprehensive collection study liquidity along many different lines and answer important questions on international exchanges, market design, and impact on asset prices. Stock Market Liquidity is an informative and insightful look into this area. Francois-Serge L'habitant, PhD (London, UK) is the Chief Investment Officer at Kedge Capital. He is also the author or coauthor of several books published by Wiley, including Handbook of Hedge Funds (978-0-470-02663-2). Greg N. Gregoriou, PhD (Plattsburgh, NY) is Professor of Finance in the School of Business and Economics at State University of New York (Plattsburgh). He is also the author or coauthor of several Wiley titles, including Evaluating Hedge Fund and CTA Performance (978-0-471-68185-4).
What people are saying - Write a review
We haven't found any reviews in the usual places.
abnormal returns adverse selection analysis asset pricing asymmetric information average basket warrants bid-ask spreads closed-end funds coefﬁcients correlation cross-sectional cumulative price change daily dealer market deﬁned depth discount earnings announcements efﬁciency empirical equity premium estimated evidence exchange listing ﬁnancial Financial Economics ﬁnd ﬁndings ﬁrm-speciﬁc ﬁrms ﬁrst ﬁve hedge funds hypothesis illiquidity increase inﬂuence informed traders institutional trades interdealer trading intraday Journal of Financial limit order liquidity risk market capitalization market liquidity market makers market order market returns median Nasdaq Nasdaq stocks negative NYSE odd-eighth odd-sixteenth order ﬂow order imbalance order submission p-value Panel Paris Bourse percent percentage portfolio price impact proﬁts quoted spread reduction regression return volatility Review of Financial sample period securities sell shares signiﬁcant signiﬁcantly speciﬁc statistically signiﬁcant stealth trading Stock Exchange stock price t-statistic Table tick trading activity trading costs trading day trading round trading volume transaction costs