Liquidity and Volatility
Price, Liquidity, Volatility, and Volume of Cross-listed Stocks
... The second important contribution is a direct comparison between the impact of a cross-listing and the impact of an admission to trade on a foreign exchange, referred to in this study as a cross-trading. Cross-listing is ...
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The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility
... However, after a certain point, the confusion caused by speculation creates a positive relationship between liquidity and excess volatility. Since theoretical predictions are ambiguous, it is important to ...
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Uncovering the time-varying relationship between commonality in liquidity and volatility
... in liquidity and market volatility is complex and ...that volatility Granger-causes commonality in liquidity throughout the entire sample ...market volatility leads to an increase in ...
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Impact of Regulated Short Sale: Study on Malaysia Stocks’ Liquidity and Volatility
... towards liquidity by using a regression model as demonstrated by Lobanova et ...to volatility, the coefficient of the dummy variable determines the direction of changes in regard to the liquidity of ...
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The effects of intraday news flow on dealers' quotations, market liquidity and volatility.
... providing liquidity on the system (Karam, ...price volatility, as shown by Irvine et ...intraday volatility, liquidity, trading activity, order imbalance, and, dealers’ behavior shortly prior ...
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Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time
... relevant auxiliary data. This paper examines magnitude and determinants of execution costs and analyzes the interactions between cost, liquidity, and volatility using panel-data for a broad sam- ple of 42 ...
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Intraday spot foreign exchange market. Analysis of efficiency, liquidity and volatility.
... efficiency, liquidity and risk seen by a trader, particularly concentrating on analysis of high frequency data for intraday ...its liquidity is being independent from regional trading ...The ...
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The Liquidity and Volatility Impacts of Day Trading by Individuals in. the Taiwan Index Futures Market
... Assistant Professor, Department of Finance, Feng Chia University ABSTRACT We investigate the investment strategies of individual day traders in the Taiwan Index Futures market, along with their impact on market ...
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Relationship between Liquidity, Volatility and Trading Activity: An Intraday Analysis of Indian Stock Market
... Intraday Liquidity, Ordinary Least Square Regression, Trading Activity, Volatility JEL Classifications: C1, G11, G12 ...The liquidity of a stock market indicates the occurrence of larger volumes of ...
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The Volatility of Liquidity and Expected Stock Returns
... in liquidity. Numerous studies have shown that the mean level of liquidity is positively priced in the cross-section of expected ...of liquidity is that investors who need to trade at random points ...
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Effects on Liquidity, Trading Activity and Volatility
... blue-chip index are included in the data set. If a blue-chip index contains more than 50 stocks- which is the case for two of ten exchanges-we sort the stocks according to their weights on the index and select the first ...
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Information asymmetries, volatility, liquidity, and the Tobin Tax
... Keywords: Information Based Trading, Asymmetric Informations, Time Varying Volatility, Liquidity, Trade Volume, Number of Trades, Stochastic Volatility, Tobin Tax. JEL classification: G12, D82. ∗ We ...
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A reexamination of the relationship between volatility, liquidity and trading activity
... market liquidity and return volatility at the portfolio level is similar to the relationship at the individual security ...greater liquidity and more volatile returns. However, despite the ...
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The Liquidity Crisis, Investor Sentiment, and REIT Returns and Volatility
... the liquidity crisis ∆II significantly impacts REIT excess returns whereas ∆AAII does ...to volatility whereas individual investor sentiment (∆AAII t ) is not a significant factor in explaining ...
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Price volatility and liquidity cost in grain futures markets
... pronounced in the nearby BAS and volume equations, and the deferred volume equation. In BAS equations, since the seasonal and day-of-the-week patterns are represented by dummy variables, these coefficients can be ...
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A reexamination of the relationship between volatility, liquidity and trading activity
... market liquidity and return volatility at the portfolio level is similar to the relationship at the individual security ...greater liquidity and more volatile returns. However, despite the ...
14
Preferences with Taste Shock Representations: Price Volatility and the Liquidity Premium
... price volatility in economy B and the liquidity premium for red trees is larger in economy B ...non-trivial liquidity premium (whenever ...price volatility they are often employed to explain, ...
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Interest Rate Option Markets: The Role of Liquidity in Volatility Smiles
... no liquidity costs. The problems in assuming away liquidity costs are exacerbated for options that are away-from-the-money, especially if there are volatility smiles/skews across strike rates in ...
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Identifying the value of liquidity : cash flow volatility, real asset liquidity and the implied cost of equity capital
... & Roll, 2006, p.12). These theories are supported by studies similar to this one, which mention that adjusting for survivorship bias generates similar results (e.g.: Welch, 2004; McInnis, 2010). Second, 10,444 8 firms ...
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An Alternative Stock Market Structure that Provides Automatic Liquidity and Reduced Volatility
... Excess volatility in the stock market can be interpreted as evidence of in- sucient information in the ...provide liquidity by selling high or buying ...excess volatility is posed as a problem of ...
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