메뉴 건너뛰기




Volumn 44, Issue 4, 2009, Pages 851-882

Commonality in liquidity: A global perspective

Author keywords

[No Author keywords available]

Indexed keywords


EID: 70450279296     PISSN: 00221090     EISSN: 17566916     Source Type: Journal    
DOI: 10.1017/S0022109009990123     Document Type: Article
Times cited : (162)

References (29)
  • 2
    • 0013068840 scopus 로고    scopus 로고
    • Illiquidity and Stock Returns: Cross-Section and Time-Series Effects
    • Amihud, Y. "Illiquidity and Stock Returns: Cross-Section and Time-Series Effects." Journal of Financial Markets, 5 (2002), 31-56.
    • (2002) Journal of Financial Markets , vol.5 , pp. 31-56
    • Amihud, Y.1
  • 3
    • 0002858629 scopus 로고
    • Corporate Payout Policy: Cash Dividends versus Open-Market Repurchases
    • Barclay, M., and C. Smith, Jr. "Corporate Payout Policy: Cash Dividends versus Open-Market Repurchases." Journal of Financial Economics, 22 (1988), 61-82.
    • (1988) Journal of Financial Economics , vol.22 , pp. 61-82
    • Barclay, M.1    Smith Jr., C.2
  • 4
    • 77049114343 scopus 로고    scopus 로고
    • Liquidity and Expected Returns: Lessons from Emerging Markets
    • Bekaert, G.; C. R. Harvey; and C. Lundblad. "Liquidity and Expected Returns: Lessons from Emerging Markets." Review of Financial Studies, 20 (2001), 1183-1831.
    • (2001) Review of Financial Studies , vol.20 , pp. 1183-1831
    • Bekaert, G.1    Harvey, C.R.2    Lundblad, C.3
  • 5
    • 0001168032 scopus 로고
    • Determinants of Bid-Asked Spreads in the Over-the-Counter Market
    • Benston, G., and R. Hagerman. "Determinants of Bid-Asked Spreads in the Over-the-Counter Market." Journal of Financial Economics, 1 (1914), 353-364.
    • (1914) Journal of Financial Economics , vol.1 , pp. 353-364
    • Benston, G.1    Hagerman, R.2
  • 6
    • 0033474512 scopus 로고    scopus 로고
    • An Analysis of Depth Behavior in an Electronic, Order-Driven Environment
    • Brockman, P., and D. Y. Chung. "An Analysis of Depth Behavior in an Electronic, Order-Driven Environment." Journal of Banking and Finance, 23 (1999), 1861-1886.
    • (1999) Journal of Banking and Finance , vol.23 , pp. 1861-1886
    • Brockman, P.1    Chung, D.Y.2
  • 7
    • 11144259929 scopus 로고    scopus 로고
    • Commonality in Liquidity: Evidence from an Order-Driven Market Structure
    • Brockman, P., and D. Y. Chung. "Commonality in Liquidity: Evidence from an Order-Driven Market Structure." Journal of Financial Research, 25 (2002), 521-539.
    • (2002) Journal of Financial Research , vol.25 , pp. 521-539
    • Brockman, P.1    Chung, D.Y.2
  • 11
    • 3042594278 scopus 로고    scopus 로고
    • Common Market Makers and Commonality in Liquidity
    • Coughenour, J. F., and M. M. Saad. "Common Market Makers and Commonality in Liquidity." Journal of Financial Economics, 13 (2004), 31-69.
    • (2004) Journal of Financial Economics , vol.13 , pp. 31-69
    • Coughenour, J.F.1    Saad, M.M.2
  • 14
    • 42449162764 scopus 로고    scopus 로고
    • Commonality in Liquidity: Evidence from the Australian Stock Exchange
    • Fabre, J., and A. Frino. "Commonality in Liquidity: Evidence from the Australian Stock Exchange." Accounting and Finance, 44 (2004), 351-368.
    • (2004) Accounting and Finance , vol.44 , pp. 351-368
    • Fabre, J.1    Frino, A.2
  • 15
    • 0004236492 scopus 로고    scopus 로고
    • 3rd ed. Baltimore, MD: Johns Hopkins University Press
    • Golub, G. H., and C. F. Van Loan. Matrix Computations, 3rd ed. Baltimore, MD: Johns Hopkins University Press (1996).
    • (1996) Matrix Computations
    • Golub, G.H.1    Van Loan, C.F.2
  • 16
    • 0000760894 scopus 로고    scopus 로고
    • Common Factors in Prices, Order Flows, and Liquidity
    • Hasbrouck, J., and D. J. Seppi. "Common Factors in Prices, Order Flows, and Liquidity." Journal of Financial Economics, 59 (2001), 383-411.
    • (2001) Journal of Financial Economics , vol.59 , pp. 383-411
    • Hasbrouck, J.1    Seppi, D.J.2
  • 20
    • 36849005472 scopus 로고    scopus 로고
    • Pricing the Commonality across Alternative Measures of Liquidity
    • Korajczyk, R. A., and R. Sadka. "Pricing the Commonality across Alternative Measures of Liquidity." Journal of Financial Economics, 87 (2008), 45-72.
    • (2008) Journal of Financial Economics , vol.87 , pp. 45-72
    • Korajczyk, R.A.1    Sadka, R.2
  • 22
    • 0001373089 scopus 로고    scopus 로고
    • The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements?
    • Morck, R.; B. Yeung; and W. Yu. "The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements?" Journal of Financial Economics, 58 (2000), 215-260.
    • (2000) Journal of Financial Economics , vol.58 , pp. 215-260
    • Morck, R.1    Yeung, B.2    Yu, W.3
  • 23
    • 0041402718 scopus 로고    scopus 로고
    • Liquidity Risk and Expected Stock Returns
    • Pastor, L., and R. Stambaugh. "Liquidity Risk and Expected Stock Returns." Journal of Political Economy, 113 (2003), 642-685.
    • (2003) Journal of Political Economy , vol.113 , pp. 642-685
    • Pastor, L.1    Stambaugh, R.2
  • 24
    • 33645958547 scopus 로고    scopus 로고
    • Momentum and Post-Earnings Announcement Drift Anomalies: The Role of Liquidity Risk
    • Sadka, R. "Momentum and Post-Earnings Announcement Drift Anomalies: The Role of Liquidity Risk." Journal of Financial Economics, 80 (2006), 309-349.
    • (2006) Journal of Financial Economics , vol.80 , pp. 309-349
    • Sadka, R.1
  • 27
    • 84977426528 scopus 로고
    • 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
  • 28
    • 77049104714 scopus 로고    scopus 로고
    • U.S. Treasury Department, Federal Reserve Bank of New York, and Board of Governors of the Federal Reserve System. Report on U.S. Portfolio Holdings of Foreign Securities (2005).
    • U.S. Treasury Department, Federal Reserve Bank of New York, and Board of Governors of the Federal Reserve System. Report on U.S. Portfolio Holdings of Foreign Securities (2005).
  • 29
    • 77049125338 scopus 로고    scopus 로고
    • How London Can Close Gap on Wall Street
    • March 30
    • Weinberg, P. "How London Can Close Gap on Wall Street." The Financial Times (March 30, 2006), 19.
    • (2006) The Financial Times , pp. 19
    • Weinberg, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.