메뉴 건너뛰기




Volumn 25, Issue 4, 2002, Pages 521-539

Commonality in liquidity: Evidence from an order-driven market structure

Author keywords

G15

Indexed keywords


EID: 11144259929     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/1475-6803.00035     Document Type: Article
Times cited : (111)

References (17)
  • 1
    • 0011126122 scopus 로고    scopus 로고
    • Limit orders, depth, and volatility: Evidence from the Stock Exchange of Hong Kong
    • Ahn, H-J, K-H Bae, and K. Chan, 2001, Limit orders, depth, and volatility: Evidence from the Stock Exchange of Hong Kong, Journal of Finance 56, 767–88.
    • (2001) Journal of Finance , vol.56 , pp. 767-788
    • Ahn, H.-J.1    Bae, K.-H.2    Chan, K.3
  • 2
    • 0011025144 scopus 로고    scopus 로고
    • The intraday patterns of the spread and depth in a market without market makers: The Stock Exchange of Hong Kong
    • Ahn, H-J and Y-L Cheung, 1999, The intraday patterns of the spread and depth in a market without market makers: The Stock Exchange of Hong Kong, Pacific-Basin Finance Journal 7, 539–56.
    • (1999) Pacific-Basin Finance Journal , vol.7 , pp. 539-556
    • Ahn, H.-J.1    Cheung, Y.-L.2
  • 3
    • 0000820008 scopus 로고
    • Stealth trading and volatility: Which trades move prices?
    • Barclay, M. and J. Warner, 1993, Stealth trading and volatility: Which trades move prices? Journal of Financial Economics 34, 281–306.
    • (1993) Journal of Financial Economics , vol.34 , pp. 281-306
    • Barclay, M.1    Warner, J.2
  • 5
    • 0033474512 scopus 로고    scopus 로고
    • An analysis of depth behavior in an electronic, order-driven environment
    • Brockman, P. and D. Y. Chung, 1999a, An analysis of depth behavior in an electronic, order-driven environment, Journal of Banking and Finance 23, 1861–86.
    • (1999) Journal of Banking and Finance , vol.23 , pp. 1861-1886
    • Brockman, P.1    Chung, D.Y.2
  • 6
    • 0000746086 scopus 로고    scopus 로고
    • Bid-ask spread components in an order-driven environment
    • Brockman, P. and D. Y. Chung, 1999b, Bid-ask spread components in an order-driven environment, Journal of Financial Research 22, 227–46.
    • (1999) Journal of Financial Research , vol.22 , pp. 227-246
    • Brockman, P.1    Chung, D.Y.2
  • 7
    • 0002753080 scopus 로고    scopus 로고
    • Informed and uninformed trading in an electronic, order-driven environment
    • Brockman, P. and D. Y. Chung, 2000, Informed and uninformed trading in an electronic, order-driven environment, Financial Review 35, 125–46.
    • (2000) Financial Review , vol.35 , pp. 125-146
    • Brockman, P.1    Chung, D.Y.2
  • 9
    • 0011062942 scopus 로고    scopus 로고
    • The price impact of trading on the stock exchange of Hong Kong
    • Chan, Y-C, 2000, The price impact of trading on the stock exchange of Hong Kong, Journal of Financial Markets 3, 1–16.
    • (2000) Journal of Financial Markets , vol.3 , pp. 1-16
    • Chan, Y.-C.1
  • 12
    • 0040898818 scopus 로고    scopus 로고
    • Liquidity, information, and infrequently traded stocks
    • Easley, D., N. Keifer, M. O'Hara, and J. Paperman, 1996, Liquidity, information, and infrequently traded stocks, Journal of Finance 51, 1405–36.
    • (1996) Journal of Finance , vol.51 , pp. 1405-1436
    • Easley, D.1    Keifer, N.2    O'Hara, M.3    Paperman, J.4
  • 14
    • 0000760894 scopus 로고    scopus 로고
    • Common factors in prices, order flows and liquidity
    • Hasbrouck, J. and D. Seppi, 2001, Common factors in prices, order flows and liquidity, Journal of Financial Economics 59, 383–411.
    • (2001) Journal of Financial Economics , vol.59 , pp. 383-411
    • Hasbrouck, J.1    Seppi, D.2
  • 17
    • 0041737027 scopus 로고    scopus 로고
    • Interdaily volatility in a continuous order-driven market
    • Lam, P. H. L. and W. H. S. Tong, 1999, Interdaily volatility in a continuous order-driven market, Journal of Business Finance & Accounting 26, 1013–36.
    • (1999) Journal of Business Finance & Accounting , vol.26 , pp. 1013-1036
    • Lam, P.H.L.1    Tong, W.H.S.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.