메뉴 건너뛰기




Volumn 32, Issue 3, 2008, Pages 55-79

An examination of commonality in liquidity: New evidence from the Australian stock exchange

Author keywords

[No Author keywords available]

Indexed keywords


EID: 58149374251     PISSN: 03796205     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (5)

References (25)
  • 2
    • 0013068840 scopus 로고    scopus 로고
    • Illiquidity and Stock Returns: Cross-Section and Time Series Effects
    • Amihud, Y (2002): "Illiquidity and Stock Returns: Cross-Section and Time Series Effects", Journal of Financial Markets, 5, 31-56.
    • (2002) Journal of Financial Markets , vol.5 , pp. 31-56
    • Amihud, Y.1
  • 4
    • 58149391332 scopus 로고    scopus 로고
    • ASX Fact Book 2003
    • ASX , Australian Stock Exchange
    • ASX (2003): "ASX Fact Book 2003", Australian Stock Exchange.
    • (2003)
  • 5
    • 33744963327 scopus 로고    scopus 로고
    • Active Investment Manager Portfolios and Preferences for Stock Characteristics: Australian Evidence
    • Brands, S, Gallagher, D R and Looi, A (2006): "Active Investment Manager Portfolios and Preferences for Stock Characteristics: Australian Evidence", Accounting and Finance, 46, 169-190.
    • (2006) Accounting and Finance , vol.46 , pp. 169-190
    • Brands, S.1    Gallagher, D.R.2    Looi, A.3
  • 6
    • 11144259929 scopus 로고    scopus 로고
    • Commonality in Liquidity: Evidence from an Order-Driven Market Structure
    • Brockman, P and Chung, D Y (2002): "Commonality in Liquidity: Evidence from an Order-Driven Market Structure", Journal of Financial Research, 25, 521-539.
    • (2002) Journal of Financial Research , vol.25 , pp. 521-539
    • Brockman, P.1    Chung, D.Y.2
  • 11
    • 42449162764 scopus 로고    scopus 로고
    • Commonality in Liquidity: Evidence from the Australian Stock Exchange
    • Fabre, J and Frino, A (2004): "Commonality in Liquidity: Evidence from the Australian Stock Exchange", Accounting and Finance, 44, 357-368.
    • (2004) Accounting and Finance , vol.44 , pp. 357-368
    • Fabre, J.1    Frino, A.2
  • 12
    • 0042357262 scopus 로고    scopus 로고
    • Commonality in Liquidity: Transmission of Liquidity Shocks across Investors and Securities
    • Fernando, C S (2003): "Commonality in Liquidity: Transmission of Liquidity Shocks across Investors and Securities", Journal of Financial Intermediation, 12, 233-254.
    • (2003) Journal of Financial Intermediation , vol.12 , pp. 233-254
    • Fernando, C.S.1
  • 13
    • 58149375838 scopus 로고    scopus 로고
    • Common Liquidity Risk and Market Collapse: Lessons from the Market for PERPS
    • Atlanta Meetings
    • Fernando, C S, Herring, R J and Subrahmanyam, A (2006): "Common Liquidity Risk and Market Collapse: Lessons from the Market for PERPS'", Unpublished Manuscript, AFA 2002 Atlanta Meetings.
    • (2006) Unpublished Manuscript, AFA 2002
    • Fernando, C.S.1    Herring, R.J.2    Subrahmanyam, A.3
  • 15
    • 0242468447 scopus 로고    scopus 로고
    • The Pricing of Systematic Liquidity Risk: Empirical Evidence from the U.S. Stock Market
    • Gibson, R and Mougeot, N (2003): "The Pricing of Systematic Liquidity Risk: Empirical Evidence from the U.S. Stock Market", Journal of Banking and Finance, 28, 157-178.
    • (2003) Journal of Banking and Finance , vol.28 , pp. 157-178
    • Gibson, R.1    Mougeot, N.2
  • 16
    • 58149389433 scopus 로고    scopus 로고
    • Crisis Strips $28bn from ASX
    • 13 September
    • Guy, R and Whyte, J (2001): "Crisis Strips $28bn from ASX", Australian Financial Review, 13 September 2001, 23.
    • (2001) Australian Financial Review , vol.2001 , pp. 23
    • Guy, R.1    Whyte, J.2
  • 17
    • 0000760894 scopus 로고    scopus 로고
    • Common Factors in Prices, Order Flows, and Liquidity
    • Hasbrouck, J and Seppi, D J (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.J.2
  • 20
    • 13844294125 scopus 로고    scopus 로고
    • Asset Pricing and Systematic Liquidity Risk: An Empirical Investigation of the Spanish Stock Market
    • Martinez, M A, Nieto, B, Rubio, G and Tapia, M (2005): "Asset Pricing and Systematic Liquidity Risk: An Empirical Investigation of the Spanish Stock Market", International Review of Economic and Finance, 14, 81-103.
    • (2005) International Review of Economic and Finance , vol.14 , pp. 81-103
    • Martinez, M.A.1    Nieto, B.2    Rubio, G.3    Tapia, M.4
  • 23
  • 24
    • 0000095552 scopus 로고
    • A Heteroscedasticity Consistent Covariance Matrix Estimator and a Direct Test of Heteroscedasticity
    • White, H (1980): "A Heteroscedasticity Consistent Covariance Matrix Estimator and a Direct Test of Heteroscedasticity", Econometrica, 48, 817-838.
    • (1980) Econometrica , vol.48 , pp. 817-838
    • White, H.1
  • 25
    • 58149380100 scopus 로고    scopus 로고
    • Investor Fears Trigger 4.8pc Fall
    • 18 September
    • Whyte, J (2001): "Investor Fears Trigger 4.8pc Fall", Australian Financial Review, 18 September 2001, 25.
    • (2001) Australian Financial Review , vol.2001 , pp. 25
    • Whyte, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.