Research Catalog

Title

Stock market liquidity : implications for market microstructure and asset pricing / [edited by] François-Serge Lhabitant, Greg N. Gregoriou.

Publication

Hoboken, N.J. : J. Wiley & Sons, c2008.

Supplementary Content

• Publisher description
• Contributor biographical information

Items in the Library & Off-site

Details

Additional Authors

• Lhabitant, François-Serge.
• Gregoriou, Greg N., 1956-

Description

xxiii, 475 p. : ill.; 26 cm.

Series Statement

Wiley finance series

Subject

• Stock exchanges
• Liquidity (Economics)
• Capital assets pricing model

Bibliography (note)

• Includes bibliographical references (p. 445-460) and index.

Contents

Order imbalance, liquidity, and market returns / Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam -- Liquidity provision in the Hong Kong warrants market / Paul Brockman and Dennis Y. Chung -- Liquidity issues in the money markets / Mark D. Griffiths, Valdimir Kotomin, and Drew B. Winters -- Liquidity and the retail investor / Paul U. Ali -- Short-term interest rates volatility and liquidity risk / Cecilia Caglio, Giampaolo Gabbi, and Giovanna Zanotti -- Intraday liquidity in the Istanbul stock exchange / Cumhur Ekinci -- International portfolio allocations during the Asian financial crisis / Kalok Chan, Kee-Hong Bae, and Wai-Ming Fong -- Evidence on the speed of convergence to market efficiency / Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam -- Does market structure matter? / Hendrik Bessembinder and Subhrendu Rath -- Tick size, market structure, and trading costs / William G. Christie, Jeffrey H. Harris, and Eugene Kandel -- Intraday market dynamics around public information arrivals / Angelo Ranaldo -- Returns, volatility, and liquidity on the ASX / David E. Allen ... [et al.] -- Earnings surprise and stealth trading / Sugato Chakravarty, Chiraphol N. Chiyachantana, and Christine Jiang -- The impact of interdealer trading on market liquidity under asymmetric information / Kees G. Koedijk, Mathijs A. van Dijk, and Irma W. van Leeuwen -- Trading technology and stock market liquidity / Pankaj K. Jain and William F. Johnson -- Increasing the liquidity of shares in Chinese companies / Margaret Wang -- Stealth trading / Sugato Chakravarty -- Commonality in liquidity / Tarun Chordia, Richard Rol,l and Avanidhar Subrahmanyam -- On the dynamics of market illiquidity / Niklas Wagner -- Liquidity and returns / Tarun Chordia -- The multiple dimensions of market-wide liquidity / R. Burt Porter -- Managing illiquidity / Greg N. Gregoriou and François-Serge Lhabitant -- Liquidity asset pricing model in a segmented equity market / Zhian Chen and Peter Swan.

Call Number

JBF 08-684

ISBN

• 9780470181690 (cloth)
• 0470181699 (cloth)

LCCN

2007026312

OCLC

156845773

Title

Stock market liquidity : implications for market microstructure and asset pricing / [edited by] François-Serge Lhabitant, Greg N. Gregoriou.

Imprint

Hoboken, N.J. : J. Wiley & Sons, c2008.

Series

Wiley finance series

Bibliography

Includes bibliographical references (p. 445-460) and index.

Connect to:

Publisher description

Table of contents only

Contributor biographical information

Added Author

Lhabitant, François-Serge.

Gregoriou, Greg N., 1956-

Research Call Number

JBF 08-684