Market liquidity and trading activity
Article Abstract:
This article evaluates aggregate market spreads, depths and trading activities to analyze liquidity in U.S. equities over an extended period of time. The authors find that liquidity plummets in down markets, volatility decreases trading activity and spreads, strong day-of-the-week effects exist, and that interest rates influence liquidity with increases in depth and trading activity just prior to macroeconomic announcements.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2001
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True spreads and equilbrium prices
Article Abstract:
The pricing of financial assets done on a fixed grid predicated upon minimal tick size yields quoted spreads and observed prices that are not congruent with the true spreads and equilibrium prices. A model is presented for accurately researching mid- and large-cap stocks.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2001
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Liquidity and autocorrelations in individual stock returns
Article Abstract:
A study is conducted to examine the relationship between short-run reversals and stock liquidity.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2006
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