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Macroeconomic-aware forecasting of construction costs in developing countries: Using gated recurrent unit and long short-term memory deep learning framework. [PDF]
PLoS OneAlzara M +6 more
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Stock Market Liquidity and Firm Investment in an Emerging Market
, 2015 Võ Xuân Vinh, Thanh Ha Doan
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The Relationship between Liquidity and Returns on the Chinese Stock Market
, 2011 Paresh Kumar Narayan, Xinwei Zheng
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Liquidity and market efficiency☆
Journal of Financial Economics, 2007Abstract Short-horizon return predictability from order flows is an inverse indicator of market efficiency. We find that such predictability is diminished when bid-ask spreads are narrower, and has declined over time with the minimum tick size. Variance ratio tests suggest that prices were closer to random walk benchmarks in the more liquid decimal ...
Chordia, Tarun +2 more
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2013
Abstract The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process.
Thierry Foucault +2 more
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Abstract The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process.
Thierry Foucault +2 more
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Liquidity Constrained Markets Versus Debt Constrained Markets
Econometrica, 2001Summary: This paper compares two different models in a common environment. The first model has liquidity constraints in that consumers save a single asset that they cannot sell short. The second model has debt constraints in that consumers cannot borrow so much that they would want to default, but is otherwise a standard complete markets model.
Kehoe, Timothy J., Levine, David K.
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Liquidity effects and market frictions [PDF]
Journal of Macroeconomics, 2001 The goal of this paper is to shed light on the nature of the monetary transmission mechanism. Specifically, we attempt to tackle two problems in standard limited-participation models: (1) the interest rate liquidity effect is not as persistent as in the data; and (2) some nominal variables are unrealistically volatile.
Hendry, Scott, Zhang, Guang-Jia
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Journal of Political Economy, 1997
Abstract Financial markets and banks are competing mechanisms that provide investors with liquidity by providing access to their capital, at good terms, on short notice. This chapter examines the impact of banks on the liquidity provided to investors and, in addition, on the liquidity provided by markets.
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Abstract Financial markets and banks are competing mechanisms that provide investors with liquidity by providing access to their capital, at good terms, on short notice. This chapter examines the impact of banks on the liquidity provided to investors and, in addition, on the liquidity provided by markets.
openaire +2 more sources