메뉴 건너뛰기




Volumn 31, Issue 1, 2008, Pages 25-40

Liquidity commonality beyond best prices

Author keywords

[No Author keywords available]

Indexed keywords


EID: 39349112540     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.2008.00230.x     Document Type: Article
Times cited : (39)

References (16)
  • 3
    • 11144259929 scopus 로고    scopus 로고
    • 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
  • 6
    • 3042594278 scopus 로고    scopus 로고
    • 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 scopus 로고    scopus 로고
    • Deutsche Boerse Group, Release 7.1.
    • Deutsche Boerse Group, 2004, Market model stock trading, Release 7.1.
    • (2004) Market Model Stock Trading
  • 9
    • 0000763880 scopus 로고
    • 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 scopus 로고    scopus 로고
    • 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 scopus 로고    scopus 로고
    • 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 scopus 로고
    • 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
  • 15
  • 16
    • 84944836686 scopus 로고
    • 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


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.