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Stock Market Liquidity. Implications For Market Microestructure And Asset Pricing.

Stock Market Liquidity. Implications For Market Microestructure And Asset Pricing.

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  • ISBN:9780470181690
  • Editorial: Wiley & Sons Ltd.
  • Fecha de la edición:
  • Encuadernación:Tapa dura
  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:476
  • Idiomas:Ingles,Inglés

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Market microstructure, the study of financial market frictions at a micro level, helps us refine our understanding of what may be driving market liquidity and provides tools to investors of all stripes to profit from this knowledge. In "Stock Market Liquidity", editors and financial experts Francois-Serge Lhabitant and Greg Gregoriou bring together the best minds in the business to address this issue and discuss their thoughts on other innovative topics associated with liquidity in today's markets.

Liquidity across Markets and Exchanges
Ch. 1 Order Imbalance, Liquidity, and Market Returns by Tarun Chordia and Richard Roll and Avanidhar Subrahmanyam 3
Ch. 2 Liquidity Provision in the Hong Kong Warrants Market by Paul Brockman and Dennis Y. Chung 23
Ch. 3 Liquidity Issues in the Money Markets by Mark D. Griffiths and Vladimir Kotomin and Drew B. Winters 43
Ch. 4 Liquidity and the Retail Investor by Paul U. Ali 59
Ch. 5 Short-Term Interest Rates Volatility and Liquidity Risk by Cecilia Caglio and Giampaolo Gabbi and Giovanna Zanotti 67
Ch. 6 Intraday Liquidity in the Istanbul Stock Exchange by Cumhur Ekinci 77
Ch. 7 International Portfolio Allocations during the Asian Financial Crisis by Kalok Chan and Kee-Hong Bae and Wai-Ming Fong 95
Pt. 2 Market Design, Corporate Events, and Liquidity
Ch. 8 Evidence on the Speed of Convergence to Market Efficiency by Tarun Chordia and Richard Roll and Avanidhar Subrahmanyam 117
Ch. 9 Does Market Structure Matter? by Hendrik Bessembinder and Subhrendu Rath 149
Ch. 10 Tick Size, Market Structure, and Trading Costs by William G. Christie and Jeffrey H. Harris and Eugene Kandel 173
Ch. 11 Intraday Market Dynamics around Public Information Arrivals by Angela Ranaldo 199
Ch. 12 Returns, Volatility, and Liquidity on the ASX by David E. Allen and Alexander Shu Sing Cheng and Carole Comerton-Forde and Joey Wenling Yang 227
Ch. 13 Earnings Surprise and Stealth Trading by Sugato Chakravarty and Chiraphol N. Chiyachantana and Christine Jiang 247
Ch. 14 The Impact of Interdealer Trading on Market Liquidity under Asymmetric Information by Kees G. Koedijk and Mathijs A. van Dijk and Irma W. van Leeuwen 267
Ch. 15 Trading Technology and Stock Market Liquidity by Pankaj K. Jain and William F. Johnson

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