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

ISBN: 978-0-470-18169-0 (rel)
0-470-18169-9 (rel)
Collection: Wiley finance
Note de bibliographie: Notes bibliogr. p. 445-460. Index.
Table des matières: P. 1 Part one, Liquidity across markets and exchanges P. 3 Chapter 1, Order imbalance, liquidity and market returns / Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam P. 23 Chapter 2, Liquidity provision in the Hong Kong warrants market / Paul Brockman and Dennis Y. Chung P. 43 Chapter 3, Liquidity issues in the money markets / Mark D. Griffiths, Vladimir Kotomin and Drew B. Winters P. 59 Chapter 4, Liquidity and the retail investor / Paul U. Ali P. 67 Chapter 5, Short-term interest rates volatility and liquidity risk / Cecilia Caglio, Giampaolo Gabii and Giovanna Zanotti P. 77 Chapter 6, Intraday liquidity in the Istanbul stock exchange / Cumbur Ekinci P. 95 Chapter 7, International portfolio allocations during the asian financial crisis / Kalok Chan, Kee-Hong Bae and Wai-Ming Fong P. 115 Part two, Market design, corporate events and liquidity P. 117 Chapter 8, Evidence on the speed of convergence to market efficiency / Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam P. 149 Chapter 9, Does market structure matter ? / Hendrik Bessembinder and Subhrendu Rath P. 173 Chapter 10, Tick size, market structure and trading costs / William G. Christie, Jeffrey H. Harris and Eugene Kandel P. 199 Chapter 11, Intraday market dynamics around public information arrivals / Angelo Ranaldo P. 227 Chapter 12, Returns, volatility and liquidity on the ASX / David E. Allen, Alexander Shu Sing Cheng, Carole Comerton-Forde and Joey Wenling Yang P. 247 Chapter 13, Earnings surprise and stealth trading / Sugato Chakravarty, Chiraphol N. Chiyachantana and Christine Jiang P. 267 CHapter 14, The impact of interdealer trading on market liquidity under asymmetric information / Kees G. Koediijk, Mathijs A. van Dijk and Irma W. van Leeuwen P. 287 Chapter 15, Trading technology and stock market liquidity / Pankaj K. Jain and William F. Johnson P. 301 Chapter 16, Increasing the liquidity of shares in chinese companies / Margaret Wang P. 309 Part three, Asset pricing, liquidity risk, merger arbitrage and valuation P. 311 Chapter 17, Stealth trading / Sugato Chakravarty P. 327 Chapter 18, Commonality in liquidity / Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam P. 349 Chapter 19, On the dynamcs of market illiquidity / Niklas Wagner P. 359 Chapter 20, Liquidity and returns / Tarun Chordia P. 387 Chapter 21, The multiple dimensions of marketwide liquidity / R. Burt Porter P. 407 Chapter 22, Managing illiquidity / Greg N. Gregoriou and Fançois-Serge Lhabitant P. 417 Chapter 23, Liquidity asset pricing model in a segmented equity market / Zhian Chen and Peter Swan
Note de contenu: 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