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Chordia, Roll And Subrahmanyam Commonality In Liquidity

Chordia, Roll And Subrahmanyam Commonality In Liquidity
Chordia, Roll And Subrahmanyam Commonality In Liquidity

Traditionally and understandably, the microscope of market microstructure has focused on attributes of single assets. Little theoretical attention and virtually no empirical work has been devoted to common determinants of liquidity nor to their empirical manifestation, correlated movements in liquidity. But a wider-angle lens exposes an imposing image of commonality. Quoted spreads, quoted depth, and […]

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Chordia, Roll And Subrahmanyam -Commonality In Liquidity

Traditionally and understandably, the microscope of market microstructure has focused on attributes of single assets. Little theoretical attention and virtually no empirical work has been devoted to common determinants of liquidity nor to their empirical manifestation, correlated movements in liquidity. But a wider-angle lens exposes an imposing image of commonality. Quoted spreads, quoted depth, and e!ective spreads co-move with market- and industry-wide liquidity. After controlling for wellknown individual liquidity determinants, such as volatility, volume, and price, common in#uences remain signi"cant and material. Recognizing the existence of commonality is a key to uncovering some suggestive  evidence that inventory risks and asymmetric information both a!ect intertemporal changes in liquidity. ( 2000 Elsevier Science S.A. All rights reserved.

   

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  • عنوان مقاله : Chordia, Roll And Subrahmanyam Commonality In Liquidity
  • نوع فایل : PDF
  • حجم فایل : 170 کیلوبایت

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