Research Catalog

Stock market liquidity : implications for market microstructure and asset pricing

Title
  1. Stock market liquidity : implications for market microstructure and asset pricing / [edited by] François-Serge Lhabitant, Greg N. Gregoriou.
Published by
  1. Hoboken, N.J. : J. Wiley & Sons, c2008.
Supplementary content
  1. Publisher description
  2. Contributor biographical information

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FormatBook/TextAccessUse in libraryCall numberJBF 08-684Item locationSchwarzman Building - General Research Room 315

Details

Additional authors
  1. Lhabitant, François-Serge.
  2. Gregoriou, Greg N., 1956-
Description
  1. xxiii, 475 p. : ill.; 26 cm.
Series statement
  1. Wiley finance series
Subject
  1. Liquidity (Economics)
  2. Capital assets pricing model
  3. Stock exchanges
Contents
  1. Order imbalance, liquidity, and market returns / Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam -- Liquidity provision in the Hong Kong warrants market / Paul Brockman and Dennis Y. Chung -- Liquidity issues in the money markets / Mark D. Griffiths, Valdimir Kotomin, and Drew B. Winters -- Liquidity and the retail investor / Paul U. Ali -- Short-term interest rates volatility and liquidity risk / Cecilia Caglio, Giampaolo Gabbi, and Giovanna Zanotti -- Intraday liquidity in the Istanbul stock exchange / Cumhur Ekinci -- International portfolio allocations during the Asian financial crisis / Kalok Chan, Kee-Hong Bae, and Wai-Ming Fong -- Evidence on the speed of convergence to market efficiency / Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam -- Does market structure matter? / Hendrik Bessembinder and Subhrendu Rath -- Tick size, market structure, and trading costs / William G. Christie, Jeffrey H. Harris, and Eugene Kandel -- Intraday market dynamics around public information arrivals / Angelo Ranaldo -- Returns, volatility, and liquidity on the ASX / David E. Allen ... [et al.] -- Earnings surprise and stealth trading / Sugato Chakravarty, Chiraphol N. Chiyachantana, and Christine Jiang -- The impact of interdealer trading on market liquidity under asymmetric information / Kees G. Koedijk, Mathijs A. van Dijk, and Irma W. van Leeuwen -- Trading technology and stock market liquidity / Pankaj K. Jain and William F. Johnson -- Increasing the liquidity of shares in Chinese companies / Margaret Wang -- Stealth trading / Sugato Chakravarty -- Commonality in liquidity / Tarun Chordia, Richard Rol,l and Avanidhar Subrahmanyam -- On the dynamics of market illiquidity / Niklas Wagner -- Liquidity and returns / Tarun Chordia -- The multiple dimensions of market-wide liquidity / R. Burt Porter -- Managing illiquidity / Greg N. Gregoriou and François-Serge Lhabitant -- Liquidity asset pricing model in a segmented equity market / Zhian Chen and Peter Swan.
Call number
  1. JBF 08-684
Bibliography (note)
  1. Includes bibliographical references (p. 445-460) and index.
Title
  1. Stock market liquidity : implications for market microstructure and asset pricing / [edited by] François-Serge Lhabitant, Greg N. Gregoriou.
Imprint
  1. Hoboken, N.J. : J. Wiley & Sons, c2008.
Series
  1. Wiley finance series
Bibliography
  1. Includes bibliographical references (p. 445-460) and index.
Connect to:
  1. Publisher description
  2. Table of contents only
  3. Contributor biographical information
Added author
  1. Lhabitant, François-Serge.
  2. Gregoriou, Greg N., 1956-
LCCN
  1. 2007026312
ISBN
  1. 9780470181690 (cloth)
  2. 0470181699 (cloth)
Research call number
  1. JBF 08-684
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