Results 11 to 20 of about 14,184 (310)
Liquidity Risk and Asset Pricing in Pakistan Stock Exchange
JISR Management and Social Sciences & Economics, 2021 This paper empirically investigates the impact of liquidity risk on stock returns in Pakistan and determines investors’ attitude under bull and bear market conditions. Specifically, the liquidity adjusted capital asset pricing model(CAPM) is modified by
Abdul Rashid, Asma Aib
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, 2012 This dissertation provides a solid and in-depth discussion of market liquidity in the financial markets. In particular, it focuses upon the empirical impact of the financial crisis, ownership concentration, different types of blockholders and insider trading on market liquidity.
Robert A. Schwartz, Lin Peng
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Stock Market Liquidity: A Literature Review
SAGE Open, 2021 The purpose of this study is to identify the key aspects that have been studied in the area of stock market liquidity, accumulate their important findings, and also provide a quantitative categorization of reviewed literature that will facilitate in ...
Priyanka Naik, Y. V. Reddy
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Liquidity in Asian Financial Markets: Crowding Out or Spillover Effect
Applied Finance Letters, 2020 The paper attempts to explore the relationship between the stock market and the corporate bond market, with a focus on the inter-dependency of liquidity between the two markets.
Sonal Thukral, Rahul Sikka
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Corporate Bond Pricing Model with Interaction between Liquidity and Credit Risk
Complexity, 2022 This study derives a liquidity and credit risk-adjusted capital asset pricing model and investigates the model using the data set in China's corporate bond market.
Zijian Wu, Baochen Yang, Yunpeng Su
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Liquidity and Market Structure [PDF]
The Journal of Finance, 1988 ABSTRACTMarket liquidity is modeled as being determined by the demand and supply of immediacy. Exogenous liquidity events coupled with the risk of delayed trade create a demand for immediacy. Market makers supply immediacy by their continuous presence and willingness to bear risk during the time period between the arrival of final buyers and sellers ...
Sanford J. Grossman, Merton H. Miller
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Journal of Mathematics, 2021 Liquidity reflects the quality of the market. When the market is short of liquidity, it often causes investors’ trading difficulties and stock price volatility, expanding the investment risk.
Hairong Cui, Jinfeng Fei, Xunfa Lu
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Journal of Business and Social Review in Emerging Economies, 2021 Purpose: This research examines the impact of oil prices, exchange rate, stock market index, market volatility and inflation on the stock market liquidity.
Muhammad Husnain +2 more
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Size Effect in Market-wide Liquidity Commonality: Evidence from the Indian Stock Market
Organizations and Markets in Emerging Economies, 2019 Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in market microstructure. Analyzing and identifying such commonality will enable the investor and policy maker to discover evidence ...
Namitha K. Cheriyan, Daniel Lazar
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An Entropy-Based Approach to Measurement of Stock Market Depth
Entropy, 2021 The aim of this study is to investigate market depth as a stock market liquidity dimension. A new methodology for market depth measurement exactly based on Shannon information entropy for high-frequency data is introduced and utilized.
Joanna Olbryś, Krzysztof Ostrowski
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