-
2
-
-
31044444418
-
-
and., Working paper, CORE, Louvain-La-Neuve.
-
Beltran, H., P. Giot, and J. Grammig, 2005, Commonalities in the order book, Working paper, CORE, Louvain-La-Neuve.
-
(2005)
Commonalities in the Order Book
-
-
Beltran, H.1
Giot, P.2
Grammig, J.3
-
3
-
-
11144259929
-
Commonality in liquidity: Evidence from an order-driven market structure
-
and.
-
Brockman, P. and D. Chung, 2002, Commonality in liquidity: Evidence from an order-driven market structure, Journal of Financial Research 25, 521 39.
-
(2002)
Journal of Financial Research
, vol.25
, pp. 521-39
-
-
Brockman, P.1
Chung, D.2
-
4
-
-
0002528964
-
Commonality in liquidity
-
and.
-
Chordia, T., R. Roll, and A. Subrahmanyam, 2000, Commonality in liquidity, Journal of Financial Economics 56, 3 28.
-
(2000)
Journal of Financial Economics
, vol.56
, pp. 3-28
-
-
Chordia, T.1
Roll, R.2
Subrahmanyam, A.3
-
5
-
-
0040162258
-
Market liquidity and trading activity
-
and.
-
Chordia, T., R. Roll, and A. Subrahmanyam, 2001, Market liquidity and trading activity, Journal of Finance 56, 501 30.
-
(2001)
Journal of Finance
, vol.56
, pp. 501-30
-
-
Chordia, T.1
Roll, R.2
Subrahmanyam, A.3
-
6
-
-
3042594278
-
Common market makers and commonality in liquidity
-
and.
-
Coughenour, J. and M. Saad, 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
-
7
-
-
39349086194
-
-
Deutsche Boerse Group, Release 7.1.
-
Deutsche Boerse Group, 2004, Market model stock trading, Release 7.1.
-
(2004)
Market Model Stock Trading
-
-
-
8
-
-
27644520566
-
Liquidity commonality and return co-movement
-
and.
-
Domowitz, I., O. Hansch, and X. Wang, 2005, Liquidity commonality and return co-movement, Journal of Financial Markets 8, 351 76.
-
(2005)
Journal of Financial Markets
, vol.8
, pp. 351-76
-
-
Domowitz, I.1
Hansch, O.2
Wang, X.3
-
9
-
-
0000763880
-
A theory of the interday variations in volume, variance, and trading costs in securities markets
-
and.
-
Foster, F. and S. Viswanathan, 1990, A theory of the interday variations in volume, variance, and trading costs in securities markets, Review of Financial Studies 3, 593 624.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 593-624
-
-
Foster, F.1
Viswanathan, S.2
-
10
-
-
0242468447
-
The pricing of systematic liquidity risk: Empirical evidence from the US stock market
-
and.
-
Gibson, R. and N. Mougeot, 2004, The pricing of systematic liquidity risk: Empirical evidence from the US stock market, Journal of Banking and Finance 28, 157 78.
-
(2004)
Journal of Banking and Finance
, vol.28
, pp. 157-78
-
-
Gibson, R.1
Mougeot, N.2
-
12
-
-
0000760894
-
Common factors in prices, order flows and liquidity
-
and.
-
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
-
14
-
-
0041785623
-
Anatomy of the trading process. Empirical evidence on the behaviour of institutional traders
-
and.
-
Keim, D. and A. Madhavan, 1995, Anatomy of the trading process. Empirical evidence on the behaviour of institutional traders, Journal of Financial Economics 37, 371 98.
-
(1995)
Journal of Financial Economics
, vol.37
, pp. 371-98
-
-
Keim, D.1
Madhavan, A.2
-
16
-
-
84944836686
-
An investigation of transaction data for NYSE stocks
-
and.
-
Wood, R., T. McInish, and J. Ord, 1985, An investigation of transaction data for NYSE stocks, Journal of Finance 40, 723 39.
-
(1985)
Journal of Finance
, vol.40
, pp. 723-39
-
-
Wood, R.1
McInish, T.2
Ord, J.3
|