Commonality in liquidity

Journal of Financial Economics

Volumn 56, Issue 1, 2000, Pages 3-28

  Chordia, Tarun ^a   Roll, Richard ^b   Subrahmanyam, Avanidhar ^b  

^a VANDERBILT UNIVERSITY   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Co movement; D82; G23; Liquidity; Microstructure; Trading costs

Indexed keywords

EID: 0002528964     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(99)00057-4     Document Type: Article

References (36)

1. Admati A., Pfleiderer P. A theory of intraday patterns. volume and price variability Review of Financial Studies. 1:1988;3-40.
2. Amihud Y., Mendelson H. Dealership market. market making with inventory Journal of Financial Economics. 8:1980;31-53.
3. Amihud Y., Mendelson H. Asset pricing and the bid-ask spread. Journal of Financial Economics. 17:1986;223-249.
4. Barclay, M., Warner, J., 1993. Stealth trading and volatility: which trades move prices? Journal of Financial Economics 34, 281-306.
5. Benston G., Hagerman R. Determinants of bid-asked spreads in the over-the-counter market. Journal of Financial Economics. 1:1974;353-364.
6. Brennan M., Subrahmanyam A. Market microstructure and asset pricing: on the compensation for illiquidity in stock returns. Journal of Financial Economics. 41:1996;441-464.
7. Chalmers J., Kadlec G. An empirical examination of the amortized spread. Journal of Financial Economics. 48:1998;159-188.
8. Chan L., Lakonishok J. The behavior of stock prices around institutional trades. Journal of Finance. 50:1997;1147-1174.
9. Copeland T., Galai D. Information effects on the bid-ask spread. Journal of Finance. 38:1983;1457-1469.
10. Demsetz H. The cost of transacting. Quarterly Journal of Economics. 82:1968;33-53.
11. Easley D., Kiefer N., O'Hara M. One day in the life of a very common stock. Review of Financial Studies. 10:1997;805-835.
12. Fama E., French K. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics. 33:1993;3-56.
13. Fama E., MacBeth J. Risk, return, and equilibrium. empirical tests Journal of Political Economy. 81:1973;607-636.
14. Garbade K., Silber W. Structural organization of secondary markets. clearing frequency, dealer activity and liquidity risk Journal of Finance. 34:1979;577-593.
15. Garman M. Market microstructure. Journal of Financial Economics. 3:1976;257-275.
16. Glosten L., Milgrom P. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics. 14:1985;71-100.
17. Grossman S., Miller M. Liquidity and Market Structure. Journal of Finance. 43:1988;617-633.
18. Harris L. Stock price clustering and discreteness. Review of Financial Studies. 4:1991;389-415.
19. Harris L. Minimum price variations, discrete bid-ask spreads, and quotation sizes. Review of Financial Studies. 7:1994;149-178.
20. Hasbrouck, J., Seppi, D., 1998. Common factors in prices, order flows and liquidity. Working Paper, New York University, unpublished.
21. Huberman, G. Halka, D., 1999. Systematic liquidity. Working Paper, Columbia Business School, unpublished.
22. Jones C., Kaul G., Lipson M. Transactions, volume, and volatility. Review of Financial Studies. 7:1994;631-651.
23. Judge, G., Griffiths, W., Hill, R., Lütkepohl, H., Lee, T., 1985. The Theory and Practice of Econometrics. Wiley, New York.
24. Keim D., Madhavan A. The upstairs market for large-block transactions. analysis and measurement of price effects Review of Financial Studies. 9:1996;1-36.
25. Kraus A., Stoll H. Price impacts of block trading on the New York stock exchange. Journal of Finance. 27:1972;569-588.
26. Kyle A. Continuous auctions and insider trading. Econometrica. 53:1985;1315-1335.
27. Lee C., Mucklow B., Ready M. Spreads, depths, and the impact of earnings information. an intraday analysis Review of Financial Studies. 6:1993;345-374.
28. Lee C., Ready M. Inferring trade direction from intraday data. Journal of Finance. 46:1991;733-746.
29. Lightfoot, L., Martin, P., Peterson, M., Sirri, E., 1999. Order preferencing and market quality on United States equity exchanges. Working Paper, Securities and Exchange Commission, unpublished.
30. Madhavan A. Trading mechanisms in securities markets. Journal of Finance. 47:1992;607-641.
31. Roll, R., 1988. The international crash of October 1987. Financial Analysts Journal, 19-35.
32. Roll R. Industrial structure and the comparative behavior of international stock market indices. Journal of Finance. 47:1992;3-41.
33. Stoll H. The supply of dealer services in securities markets. Journal of Finance. 33:1978;1133-1151.
34. Stoll H. The pricing of security dealer services. an empirical study of NASDAQ stocks Journal of Finance. 33:1978;1153-1172.
35. Wall Street Journal, 1998. Illiquidity is crippling bond world, October 19, C-1.
36. Wood R., McInish T., Ord J. An Investigation of Transactions Data for NYSE Stocks. Journal of Finance. 40:1985;723-739.