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Optimal Liquidation of Stock

, 2016
openaire   +1 more source

Does stock market liquidity explain real economic activity? New evidence from two large European stock markets

Journal of International Financial Markets, Institutions and Money, 2015
This paper examines the relationship between stock market liquidity, which proxies for the implicit cost of trading shares, with macroeconomic conditions.
Nicholas Apergis
exaly   +2 more sources

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Stock Price Synchronicity and Liquidity

SSRN Electronic Journal, 2008
Abstract We argue and provide evidence that stock price synchronicity affects stock liquidity. Under the relative synchronicity hypothesis, higher return co-movement (i.e., higher systematic volatility relative to total volatility) improves liquidity.
Chan, K., Hameed, A., Kang, W.
openaire   +2 more sources

Liquidity Shocks and Stock Bubbles [PDF]

SSRN Electronic Journal, 2013
Abstract This study presents and empirically tests a simple framework that examines the effects of market liquidity (the ease with which stocks are traded) and funding liquidity (the ease with which market participants can obtain funding) on stock market bubbles. Three key findings emerge from this research.
openaire   +1 more source

The effects of stock splits on stock liquidity

Journal of Economics and Finance, 2013
This study examines the effects of stock splits on stock liquidity. We find that most liquidity measures increase substantially around the stock split announcement. After the announcement date, split firms’ liquidity declines, but is still above the pre-split level. However, after the ex-date, the liquidity drops below the pre-split level.
Gow-Cheng Huang, Kartono Liano, Ming-Shiun Pan   +2 more
openaire   +1 more source

Stock liquidity and the Taylor rule

Journal of Empirical Finance, 2010
Recent theoretical models have linked stock liquidity and commonality in liquidity to the market makers’ funding availability and financial constraints from liquidity supply side. This paper establishes the linkage between stock liquidity and real time macroeconomic variables through the Taylor rule, the monetary policy rule that Federal Reserve uses ...
openaire   +1 more source

An optimal stock liquidation rule

Proceedings of the 40th IEEE Conference on Decision and Control (Cat. No.01CH37228), 2002
Trading in stock markets consists of three major steps: select a stock, purchase a number of shares, and eventually sell them to make a profit. The timing to buy and sell is extremely crucial. A selling rule can be specified by two pre-selected levels: a target price and a stop-loss limit.
openaire   +1 more source