Results 31 to 40 of about 3,417,588 (341)
Limit order books and trade informativeness [PDF]
, 2011 In the microstructure literature, information asymmetry is an important determinant of market liquidity. The classic setting is that uninformed dedicated liquidity suppliers charge price concessions when incoming market orders are likely to be ...
Beltran-Lopez, Hélena +2 more
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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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Liquidity and Asset Market Dynamics [PDF]
SSRN Electronic Journal, 2010 We study economies with an essential role for liquid assets in transactions. The model can generate multiple stationary equilibria, across which asset prices, market participation, capitalization, output and welfare are positively related. It can also generate a variety of nonstationary equilibria, even when fundamentals are deterministic and time ...
Randall Wright, Guillaume Rocheteau
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Liquidity connectedness in cryptocurrency market
Financial Innovation, 2022 We examine the dynamics of liquidity connectedness in the cryptocurrency market. We use the connectedness models of Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) and Baruník and Křehlík (J Financ Econom 16(2):271–296, 2018) on a sample of six ...
M. Hasan +4 more
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Stock market liquidity and firm performance [PDF]
Accounting, 2017 This paper investigates the relation between stock liquidity and firm performance. Liquidity plays an important role on performance of firms listed in Stock Exchange. When there is a good flow of trading stocks, people could expect more financing through
Tarika Singh +2 more
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Electronic vs. Open Outcry: Side-by-Side Trading of KCBT Wheat Futures
Journal of Agricultural and Resource Economics, 2011 This study compares liquidity costs of electronic and open-outcry wheat futures contracts traded side-by-side on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market. Liquidity costs in the electronic market are
Samarth Shah, B. Wade Brorsen
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Assessment of Stock Market Liquidity and Efficiency: Evidence from an Emerging Country
Organizations and Markets in Emerging Economies, 2023 The study examines the market efficiency, multi-dimensions of liquidity, and their interconnectedness for the Emerging Indian Stock Market. In contrast to the extant literature, the current study involves testing the market liquidity considering multi ...
Reema Monga +2 more
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Liquidity and market incompleteness [PDF]
Annals of Finance, 2007 This note shows that according to Lippman and McCall’s (Am Econ Rev 76, 43–55, 1986) operational definition of liquidity, incomplete markets are a necessary condition for illiquidity.
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Return and Liquidity Relationships on Market and Accounting Levels in Brazil
Revista Contabilidade & Finanças, 2016 This article discusses profitability-liquidity relationships on accounting and market levels for 872 shares of publicly-traded Brazilian companies, observed between 1994 and 2013.
Fernanda Finotti Cordeiro Perobelli +2 more
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Measuring liquidity in Indian stock market: A dimensional perspective.
PLoS ONE, 2020 Market liquidity ensures the marketability of security and is an indispensable feature of stock markets. Previous studies have emphasized the role of stock market liquidity in empirical finance.
Priyanka Naik, B G Poornima, Y V Reddy
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