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

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Edited by J. Wiley. Hoboken, N.J. - 2008

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.

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