Liquidity dynamics across small and large firms

Economic Notes

Volumn 33, Issue 1, 2004, Pages 111-143

  Chordia, Tarun ^a   Shivakumar, Lakshmanan ^b   Subrahmanyam, Avanidhar ^c  

^a EMORY UNIVERSITY   (United States)

^b LONDON BUSINESS SCHOOL   (United Kingdom)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL MARKET; FIRM SIZE; MARKET CONDITIONS; TIME SERIES;

EID: 2942541035     PISSN: 03915026     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0391-5026.2004.00127.x     Document Type: Article

References (16)

1. Y. AMIHUD - H. MENDELSON (1986), "Asset Pricing and the Bid-ask Spread", Journal of Financial Economics, 17, pp. 223-49.
2. C. BALL - T. CHORDIA (2000), "True Spread and Equilibrium Prices", forthcoming, Journal of Finance.
3. G. BENSTON - R. HAGERMAN (1974), "Determinants of Bid-asked Spreads in the Over-the-counter Market", Journal of Financial Economics, 1, pp. 353-64.
4. T. BOLLERSLEV - R. CHOU - K. KRONER (1992), "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence", Journal of Econometrics, 52, pp. 5-59.
5. B. BRANCH - W. FREED (1977), "Bid-Asked Spreads on the Amex and the Big Board", Journal of Finance, 32, pp. 159-63.
6. T. CHORDIA - A. SUBRAHMANYAM (1995), "Market-making, the Tick Size, and Payment-for-order-flow: Theory and Evidence", Journal of Business, 68, pp. 543-75.
7. T. CHORDIA - R. ROLL - A. SUBRAHMANYAM (2001), "Market Liquidity and Trading Activity", Journal of Finance, 56, pp. 501-30.
8. S. CORWIN - M. LIPSON (2000), "Order Flow and Liquidity around NYSE Trading Halts", Journal of Finance, 55, pp. 1771-805.
9. D. EASLEY - N KIEFER - M. O'HARA - J. PAPERMAN (1996), "Liquidity, Information, and Infrequently Traded Stocks", Journal of Finance, 51, pp. 1405-36.
10. L. GLOSTEN - L. HARRIS (1988), "Estimating the Components of the Bid/ask Spread", Journal of Financial Economics, 21, pp. 123-42.
11. M. GOLDSTEIN - K. KAVAJECZ (2000), "Eighths, Sixteenths, and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE", Journal of Financial Economics, 56, pp. 125-49.
12. A. KYLE (1985), "Continuous Auctions and Insider Trading", Econometrica, 53, 1315-35.
13. C. LEE - M. READY (1991), "Inferring Trade Direction from Intraday Data", Journal of Finance, 46, pp. 733-47.
14. H. STOLL (1978), "The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks", Journal of Finance, 33, pp. 1133-51.
15. H. STOLL (2000), "Presidential Address: Friction", Journal of Finance, 55, pp. 1479-514.
16. A. SUBRAHMANYAM (1991), "Risk Aversion, Market Liquidity, and Price Efficiency", Review of Financial Studies, 4, pp. 417-41.