Systematic liquidity

Journal of Financial Research

Volumn 24, Issue 2, 2001, Pages 161-178

  Huberman, Gur ^a   Halka, Dominika ^a  

^a Columbia University ^*  (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0005105024     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.2001.tb00763.x     Document Type: Article

References (23)

1. Amihud, Y. and H. Mendelson, 1980, Dealership market: Market making with inventory, Journal of Financial Economics 8, 31–53.
2. Amihud, Y. and H. Mendelson, 1982, Asset price behavior in a dealership market, Financial Analyst Journal, 50–59.
3. Amihud, Y., H. Mendelson, and R. A. Wood, 1990, Liquidity and the 1987 stock market crash, Journal of Portfolio Management 16, 65–69.
4. Black, F., 1986, Noise, Journal of Finance 41, 529–43.
5. Charoenwong, C. and K. H. Chung, 2000, An empirical analysis of quoted depths of NYSE and AMEX stocks, Review of Quantitative Finance and Accounting 14, 85–102.
6. Chordia, T., R. Roll, and A. Subrahmanyam, 2000, Commonality in liquidity, Journal of Financial Economics 56, 3–28.
7. Clark, R. A., J. J. McConnell, and M. Singh, 1992, Seasonalities in NYSE bid-ask spreads and stock returns in January, Journal of Finance 47, 1999–2014.
8. Fortin, R. D., R. C. Grube, and O. M. Joy, 1989, Seasonality in NASDAQ dealer spreads, Journal of Financial and Quantitative Analysis 24, 395–407.
9. Foster, F. D. and S. Viswanathan, 1993, Variations in trading volume, return volatility, and trading costs: Evidence on recent price formation models, Journal of Finance 48, 187–211.
10. Glosten, L. R. and P. R. Milgrom, 1985, Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics 14, 71–100.
11. Harvey, A. C., 1989, Forecasting, structural time series models and the Kalman filter (Cambridge University Press, New York).
12. Hasbrouck, J. and D. J. Seppi, 2001, Common factors in prices, order flows and liquidity, Journal of Financial Economics 59, 383–411.
13. Ho, T. and H. R. Stoll, 1981, Optimal dealer pricing under transactions and return uncertainty, Journal of Financial Economics 9, 47–73.
14. Huberman, G. and S. Kandel, 1987, Value Line rank and firm size, Journal of Business 60, 577–89.
15. Huberman, G. and S. Kandel, 1990, Market efficiency and Value Line's record, Journal of Business 63, 187–216.
16. Kavajecz, K. A., 1996, A specialist's quoted depth as a strategic choice variable, Working paper, Rodney L. White Center for Financial Research, The Wharton School.
17. Kavajecz, K. A., 1999, A specialist's quoted depth and the limit order book, Journal of Finance 54, 747–71.
18. Kyle, A. S., 1985, Continuous auctions and insider trading, Econometrica 53, 1315–35.
19. Lee, C., M. C. B. Mucklow, and M. J. Ready, 1993, Spreads, depths, and the impact of earnings information: An intraday analysis, Review of Financial Studies 6, 345–74.
20. Lockwood, L. J. and S. C. Linn, 1990, An examination of stock market return volatility during overnight and intraday periods, 1964–1989, Journal of Finance 45, 591–601.
21. McInish, T. H. and R. A. Wood, 1992, An analysis of intraday patterns in bid/ask spreads for NYSE stocks, Journal of Finance 47, 753–64.
22. Milgrom, P. and N. Stokey, 1982, Information, trade, and common knowledge, Journal of Economic Theory 26, 17–27.
23. Rhodes-Kropf, M., 1998, Depth decisions, tick size and the upstairs market, Working paper, Columbia University.