-
1
-
-
0002816156
-
A theory of intraday patterns: volume and price variability
-
Admati A.R., and Pfeiderer P. A theory of intraday patterns: volume and price variability. Review of Financial Studies 1 (1988) 3-40
-
(1988)
Review of Financial Studies
, vol.1
, pp. 3-40
-
-
Admati, A.R.1
Pfeiderer, P.2
-
4
-
-
33646810351
-
-
Bekaert, G., Harvey, C.R., Lundblad, C., 2005. Liquidity and expected returns: lessons from emerging markets. NBER Working 11413.
-
-
-
-
5
-
-
42449156579
-
Generalized autoregressive conditional heteroscedasticity
-
Bollerslev T. Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics 31 (1986) 307-327
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
6
-
-
0030191751
-
Market microstructure and asset pricing: on the compensation for illiquidity in stock returns
-
Brennan M.J., and Subrahmanyam A. Market microstructure and asset pricing: on the compensation for illiquidity in stock returns. Journal of Financial Economics 41 (1996) 441-464
-
(1996)
Journal of Financial Economics
, vol.41
, pp. 441-464
-
-
Brennan, M.J.1
Subrahmanyam, A.2
-
7
-
-
0142219270
-
Investor protection and firm liquidity
-
Brockman P., and Chung D.Y. Investor protection and firm liquidity. Journal of Finance 58 (2003) 921-937
-
(2003)
Journal of Finance
, vol.58
, pp. 921-937
-
-
Brockman, P.1
Chung, D.Y.2
-
8
-
-
38249004459
-
Some empirical tests in the arbitrage pricing theory: macrovariables vs. derived factors
-
Chen S.-J., and Jordan B.D. Some empirical tests in the arbitrage pricing theory: macrovariables vs. derived factors. Journal of Banking and Finance 17 (1993) 65-89
-
(1993)
Journal of Banking and Finance
, vol.17
, pp. 65-89
-
-
Chen, S.-J.1
Jordan, B.D.2
-
13
-
-
0030356207
-
Efficient tests for an autoregressive unit root
-
Elliot G., Rothenberg T., and Stock J.H. Efficient tests for an autoregressive unit root. Econometrica 64 (1996) 813-836
-
(1996)
Econometrica
, vol.64
, pp. 813-836
-
-
Elliot, G.1
Rothenberg, T.2
Stock, J.H.3
-
18
-
-
33646774906
-
-
Green, S., 2003. China's Stock Market: Eight Myths and Some Reasons to be Optimistic. Royal Institute of International Affairs, Cambridge University.
-
-
-
-
19
-
-
33646789009
-
The Chinese stock market: pitfalls of a policy-driven market
-
Heilmann S. The Chinese stock market: pitfalls of a policy-driven market. China Analysis 15 (2002)
-
(2002)
China Analysis
, vol.15
-
-
Heilmann, S.1
-
20
-
-
0001913087
-
Optimal dealer pricing under transactions and return uncertainty
-
Ho T., and Stoll H.R. Optimal dealer pricing under transactions and return uncertainty. Journal of Financial Economics 9 9 (1981) 47-73
-
(1981)
Journal of Financial Economics
, vol.9
, Issue.9
, pp. 47-73
-
-
Ho, T.1
Stoll, H.R.2
-
21
-
-
0013466807
-
The capital asset pricing model and the liquidity effect: a theoretical approach
-
Jacoby G., Fowler D.J., and Gottesman A.A. The capital asset pricing model and the liquidity effect: a theoretical approach. Journal of Financial Markets 3 (2000) 69-81
-
(2000)
Journal of Financial Markets
, vol.3
, pp. 69-81
-
-
Jacoby, G.1
Fowler, D.J.2
Gottesman, A.A.3
-
22
-
-
84993907227
-
Returns to buying winners and selling losers: implications for stock market efficiency
-
Jegadeesh N., and Titman S. Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 48 (1993) 65-91
-
(1993)
Journal of Finance
, vol.48
, pp. 65-91
-
-
Jegadeesh, N.1
Titman, S.2
-
23
-
-
33646817950
-
-
Jin, X.B., Tang, L.M., 2001. On the Game Detween Government Policy and Stock Investors, Working Paper of Haitong Security Company.
-
-
-
-
25
-
-
0041029369
-
Stock market openings: expectations of emerging economies
-
Kim E.H., and Singal V. Stock market openings: expectations of emerging economies. Journal of Business 73 (2000) 25-66
-
(2000)
Journal of Business
, vol.73
, pp. 25-66
-
-
Kim, E.H.1
Singal, V.2
-
26
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle A.S. Continuous auctions and insider trading. Econometrica 53 (1985) 1315-1335
-
(1985)
Econometrica
, vol.53
, pp. 1315-1335
-
-
Kyle, A.S.1
-
27
-
-
84944838051
-
Volume for winners and losers: taxation and other motives for stock trading
-
Lakonishok J.A., and Smidt S. Volume for winners and losers: taxation and other motives for stock trading. Journal of Finance 41 (1986) 951-974
-
(1986)
Journal of Finance
, vol.41
, pp. 951-974
-
-
Lakonishok, J.A.1
Smidt, S.2
-
28
-
-
0346613552
-
Stock market, banks and economic growth
-
Levine R., and Zervos S. Stock market, banks and economic growth. American Economic Review 88 (1998) 537-558
-
(1998)
American Economic Review
, vol.88
, pp. 537-558
-
-
Levine, R.1
Zervos, S.2
-
29
-
-
0142188102
-
Presidential address: liquidity and price discovery
-
O'Hara M. Presidential address: liquidity and price discovery. Journal of Finance 58 (2003) 1335-1354
-
(2003)
Journal of Finance
, vol.58
, pp. 1335-1354
-
-
O'Hara, M.1
-
30
-
-
84977397160
-
An empirical investigation of the arbitrage pricing theory
-
Roll R., and Ross S.A. An empirical investigation of the arbitrage pricing theory. Journal of Finance 35 (1980) 1073-1103
-
(1980)
Journal of Finance
, vol.35
, pp. 1073-1103
-
-
Roll, R.1
Ross, S.A.2
-
31
-
-
84930063848
-
The disposition to sell winners too early and ride losers too long: theory and evidence
-
Shefrin H., and Statman M. The disposition to sell winners too early and ride losers too long: theory and evidence. Journal of Finance 40 (1985) 777-790
-
(1985)
Journal of Finance
, vol.40
, pp. 777-790
-
-
Shefrin, H.1
Statman, M.2
-
33
-
-
84977426528
-
The supply of dealer services in securities markets
-
Stoll H.R. The supply of dealer services in securities markets. Journal of Finance 33 (1978) 1133-1151
-
(1978)
Journal of Finance
, vol.33
, pp. 1133-1151
-
-
Stoll, H.R.1
|