Stock market liquidity: implications for market microstructure and asset pricing
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2008
|
| Schriftenreihe: | Wiley finance
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturangaben |
| Beschreibung: | graph. Darst. |
| ISBN: | 9780470181690 |
Internformat
MARC
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| 650 | 7 | |a Liquiditeit |2 gtt | |
| 650 | 7 | |a Portfolio-analyse |2 gtt | |
| 650 | 4 | |a Capital assets pricing model | |
| 650 | 4 | |a Liquidity (Economics) | |
| 650 | 4 | |a Stock exchanges | |
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Datensatz im Suchindex
| _version_ | 1804137226309730304 |
|---|---|
| adam_text | Contents
Foreword
ix
About the Editors
xi
Acknowledgments
xiii
About the Contributors
xv
PARIÓME
Liquidity across Markets and Exchanges
CHAPTER
1
Order Imbalance, Liquidity, and Market Returns
3
Tarun Cbordia, Richard Roll, and Avanidhar Subrahmanyam
CHAPTER
2
Uquidity Provision in the Hong Kong Warrants Market
23
Faul
Broekman
and Dennis Y. Chung
CHAPTER
3
Liquidity Issues in the Money Markets
43
Mark D. Griffiths, Vladimir Kotomin, and Drew B. Winters
CHAPTER
4
Liquidity and the Retail Investor
59
Paul
U. Ali
CHAPTERS
Short-Term Interest Rates Volatility and Uquidity Risk
07
Cecilia
Caglio, Giampaolo Gabbi,
and
Giovanna Zanotti
CHAPTER
0
Intraday Liquidity in the Istanbul Stock Exchange
77
Cumhur Ekinci
Vi
_______________________________________________________________________________CONTENTS
CHAPTER
7
International Portfolio Allocations during the Asian Financial Crisis
95
Kalok Chan, Kee-Hottg
Вае,
and Wat-Ming Fong
PART TWO
.......,,,...........n,ni-„„„^-^„„n.....„.._.......„.„,,...-.-.■,.....
rrrri
.............„.........„..„.,,-■,_____......
т
________
Market Design, Corporate Events, and Liquidity
CHAPTER
8
Evidence on the Speed ot Convergence to Market Efficiency
117
Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam
CHAPTER
9
Does Market Structure Matter?
149
Hendrik Bessembinder
and Subhrendu Rath
CHAPTER
10
Tick Size, Market Structure, and Trading Costs
173
William G. Christie, Jeffrey H. Harris, and Eugene Kandel
CHAPTER
11
Intraday Market Dynamics around Public Information Arrivals
199
Angelo
Ranaldo
CHAPTER
12
Returns, Volatility, and Liquidity on the ASX
227
David E. Allen, Alexander Shu Sing Cheng, Carole Comerton-Forde,
and Joey Wenling Yang
CHAPTER
13
Earnings Surprise and Stealth Trading
247
Sugato
Chakravarty, Chiraphol
N.
Chiyachantana, and Christine Jiang
CHAPTER
14
The Impact of
Interdealer
Trading on Market Liquidity under
Asymmetric Information
287
Kees
G.
Koedijk, Mathijs
Α.
van Dijk,
and
Irma W. van Leeuwen
CHAPTER
15
Trading Technology and Stock Market Liquidity
287
Pankaj K. Jain and William F. Johnson
Contents_______________________________________________________________________
Vii
CHAPTER
16
Increasing the Liquidity of Shares in Chinese Companies
301
Margaret Wang
PART
тмит
,.,„............._,,,..........„,................,„.....„........................................................................._
^___,._
____
„,^
Asset Pricing, Liquidity Risk, Merger Arbitrage, and Vaiuation
CHAPTER
17
Stealth Trading
311
Sugato
Cb
akr
avar
ty
CHAPTER
18
Commonality in Liquidity
327
Tarun Chordia, Richard Roll, and Avanidbar Subrahmanyam
CHAPTER
19
On the Dynamics of Market (¡liquidity
349
Niklas
Wagner
CHAPTER
20
Liquidity and Returns
359
Tarun Chordia
CHAPTER
21
The Multiple Dimensions of Marketwide Uquidity
387
R.
Burt
Porter
CHAPTER
22
Managing
Illiquidii
v
407
Greg N.
Gregoriou and François-Serge Lhabitant
CHAPTER
23
Liquidity Asset Pricing Model in a Segmented Equity Market
417
Zhian Chen and Peter Sivan
Notes
445
Index
461
|
| adam_txt |
Contents
Foreword
ix
About the Editors
xi
Acknowledgments
xiii
About the Contributors
xv
PARIÓME
Liquidity across Markets and Exchanges
CHAPTER
1
Order Imbalance, Liquidity, and Market Returns
3
Tarun Cbordia, Richard Roll, and Avanidhar Subrahmanyam
CHAPTER
2
Uquidity Provision in the Hong Kong Warrants Market
23
Faul
Broekman
and Dennis Y. Chung
CHAPTER
3
Liquidity Issues in the Money Markets
43
Mark D. Griffiths, Vladimir Kotomin, and Drew B. Winters
CHAPTER
4
Liquidity and the Retail Investor
59
Paul
U. Ali
CHAPTERS
Short-Term Interest Rates Volatility and Uquidity Risk
07
Cecilia
Caglio, Giampaolo Gabbi,
and
Giovanna Zanotti
CHAPTER
0
Intraday Liquidity in the Istanbul Stock Exchange
77
Cumhur Ekinci
Vi
_CONTENTS
CHAPTER
7
International Portfolio Allocations during the Asian Financial Crisis
95
Kalok Chan, Kee-Hottg
Вае,
and Wat-Ming Fong
PART TWO
.,,,.n,ni-„„„^-^„„n.„._.„.„,,.-.-.■,.
rrrri
.„.„.„.,,-■,_.
т
_
Market Design, Corporate Events, and Liquidity
CHAPTER
8
Evidence on the Speed ot Convergence to Market Efficiency
117
Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam
CHAPTER
9
Does Market Structure Matter?
149
Hendrik Bessembinder
and Subhrendu Rath
CHAPTER
10
Tick Size, Market Structure, and Trading Costs
173
William G. Christie, Jeffrey H. Harris, and Eugene Kandel
CHAPTER
11
Intraday Market Dynamics around Public Information Arrivals
199
Angelo
Ranaldo
CHAPTER
12
Returns, Volatility, and Liquidity on the ASX
227
David E. Allen, Alexander Shu Sing Cheng, Carole Comerton-Forde,
and Joey Wenling Yang
CHAPTER
13
Earnings Surprise and Stealth Trading
247
Sugato
Chakravarty, Chiraphol
N.
Chiyachantana, and Christine Jiang
CHAPTER
14
The Impact of
Interdealer
Trading on Market Liquidity under
Asymmetric Information
287
Kees
G.
Koedijk, Mathijs
Α.
van Dijk,
and
Irma W. van Leeuwen
CHAPTER
15
Trading Technology and Stock Market Liquidity
287
Pankaj K. Jain and William F. Johnson
Contents_
Vii
CHAPTER
16
Increasing the Liquidity of Shares in Chinese Companies
301
Margaret Wang
PART
тмит
,.,„._,,,.„,.,„.„._
^_,._
_
„,^
Asset Pricing, Liquidity Risk, Merger Arbitrage, and Vaiuation
CHAPTER
17
Stealth Trading
311
Sugato
Cb
akr
avar
ty
CHAPTER
18
Commonality in Liquidity
327
Tarun Chordia, Richard Roll, and Avanidbar Subrahmanyam
CHAPTER
19
On the Dynamics of Market (¡liquidity
349
Niklas
Wagner
CHAPTER
20
Liquidity and Returns
359
Tarun Chordia
CHAPTER
21
The Multiple Dimensions of Marketwide Uquidity
387
R.
Burt
Porter
CHAPTER
22
Managing
Illiquidii
v
407
Greg N.
Gregoriou and François-Serge Lhabitant
CHAPTER
23
Liquidity Asset Pricing Model in a Segmented Equity Market
417
Zhian Chen and Peter Sivan
Notes
445
Index
461 |
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| spelling | Stock market liquidity implications for market microstructure and asset pricing Francois-Serge Lhabitant ... [ed.] Hoboken, NJ Wiley 2008 graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance Literaturangaben Effectenhandel gtt Liquiditeit gtt Portfolio-analyse gtt Capital assets pricing model Liquidity (Economics) Stock exchanges Liquidität (DE-588)4035908-6 gnd rswk-swf Börse (DE-588)4007502-3 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Börse (DE-588)4007502-3 s Liquidität (DE-588)4035908-6 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s DE-604 Lhabitant, François-Serge 1966- Sonstige (DE-588)138924996 oth Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016215819&sequence=000006&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Stock market liquidity implications for market microstructure and asset pricing Effectenhandel gtt Liquiditeit gtt Portfolio-analyse gtt Capital assets pricing model Liquidity (Economics) Stock exchanges Liquidität (DE-588)4035908-6 gnd Börse (DE-588)4007502-3 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| subject_GND | (DE-588)4035908-6 (DE-588)4007502-3 (DE-588)4121078-5 (DE-588)4143413-4 |
| title | Stock market liquidity implications for market microstructure and asset pricing |
| title_auth | Stock market liquidity implications for market microstructure and asset pricing |
| title_exact_search | Stock market liquidity implications for market microstructure and asset pricing |
| title_exact_search_txtP | Stock market liquidity implications for market microstructure and asset pricing |
| title_full | Stock market liquidity implications for market microstructure and asset pricing Francois-Serge Lhabitant ... [ed.] |
| title_fullStr | Stock market liquidity implications for market microstructure and asset pricing Francois-Serge Lhabitant ... [ed.] |
| title_full_unstemmed | Stock market liquidity implications for market microstructure and asset pricing Francois-Serge Lhabitant ... [ed.] |
| title_short | Stock market liquidity |
| title_sort | stock market liquidity implications for market microstructure and asset pricing |
| title_sub | implications for market microstructure and asset pricing |
| topic | Effectenhandel gtt Liquiditeit gtt Portfolio-analyse gtt Capital assets pricing model Liquidity (Economics) Stock exchanges Liquidität (DE-588)4035908-6 gnd Börse (DE-588)4007502-3 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| topic_facet | Effectenhandel Liquiditeit Portfolio-analyse Capital assets pricing model Liquidity (Economics) Stock exchanges Liquidität Börse Capital-Asset-Pricing-Modell Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016215819&sequence=000006&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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