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Journal of Financial Markets
Volumn 8, Issue 4, 2005, Pages 351-376
Liquidity commonality and return co-movement
Author keywords

Limit order book; Liquidity commonality; Return co movement
Indexed keywords

EID: 27644520566     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.finmar.2005.06.001     Document Type: Article
Times cited : (82)
References (14)
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    • Biais, B.1    Hillion, P.2    Spatt, C.3
  • 5
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    • Commonality in liquidity: Evidence from an order-driven market structure
    • P. Brockman D. Chung Commonality in liquidity: Evidence from an order-driven market structure Journal of Financial Research 25 2002 521-539
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    • Brockman, P.1    Chung, D.2
  • 7
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    • Liquidity in an automated auction
    • Working paper, Duke University
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    • (2000)
    • Coppejans, M.1    Domowitz, I.2    Madhavan, A.3
  • 8
    • 3042594278 scopus 로고    scopus 로고
    • Common market makers and commonality in liquidity
    • Coughenour, J., Saad, M., 2004. Common market makers and commonality in liquidity. Journal of Financial Economics 73, 37-70.
    • (2004) Journal of Financial Economics , vol.73 , pp. 37-70
    • Coughenour, J.1    Saad, M.2
  • 9
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    • Order flow composition and trading costs in a dynamic limit order market
    • T. Foucault Order flow composition and trading costs in a dynamic limit order market Journal of Financial Markets 2 1999 99-134
    • (1999) Journal of Financial Markets , vol.2 , pp. 99-134
    • Foucault, T.1
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    • Securities trading in the absence of dealers: Trades and quotes in the Tokyo Stock Exchange
    • Y. Hamao J. Hasbrouck Securities trading in the absence of dealers: trades and quotes in the Tokyo Stock Exchange Review of Financial Studies 8 1995 849-878
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    • Hamao, Y.1    Hasbrouck, J.2
  • 11
    • 0000760894 scopus 로고    scopus 로고
    • Common factors in prices, order flows and liquidity
    • J. Hasbrouck D. Seppi Common factors in prices, order flows and liquidity Journal of Financial Economics 59 2001 383-411
    • (2001) Journal of Financial Economics , vol.59 , pp. 383-411
    • Hasbrouck, J.1    Seppi, D.2
  • 13
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    • Liquidity beyond the inside spread: Measuring and using information in the limit order book
    • Working paper, Emory University
    • Irvine, P., Benston, G., Kandel, E., 2000. Liquidity beyond the inside spread: Measuring and using information in the limit order book. Working paper, Emory University.
    • (2000)
    • Irvine, P.1    Benston, G.2    Kandel, E.3
  • 14
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    • Order aggressiveness in limit order book markets
    • A. Ranaldo Order aggressiveness in limit order book markets Journal of Financial Markets 7 2004 53-74
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    • Ranaldo, A.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.