chordia, roll and subrahmanyam -market liquidity and trading activity

... strong evidence that liquidity and trading activity fall on Fri- days. • Tuesday tends to be accompanied by increased trading activity and in- creased liquidity. • Depth and trading activity tend to ... significantly affect liquidity as well as trading activity. There are strong day-of-the-week regularities in liquidity and in trading activity. Liquidity de...

Ngày tải lên: 23/04/2014, 16:29

... introduced on June 14, 1997, because this e®ect had an immediate and permanent impact on the stock market spread (see Chordia, Roll, and Subrahmanyam, 2001). 1 9 b e t we e n s t o c k a n d b o n ... return and the Lehman aggregate bond index return are signi¯cantly positively correlated with order °ow. We have run our forecasting regressions with and without the market variables...

Ngày tải lên: 23/04/2014, 16:29

... of liquidity in equity markets as well as in ¯xed-income markets. Hasbrouck and Seppi (2001), Huberman and Halka (2001), and Chordia, Roll and Subrahmanyam (2000) document commonality in trading ... predict trading activity, and, in turn, liquidity in another. Similarly, leads and lags in volatility and liquidity shocks may have cross-e®ects. For example, if syst...

Ngày tải lên: 23/04/2014, 16:11

... inter-dealer repos and dealer-to-client repos. Figures are outstanding volumes for a moving panel of dealers and might be double counting repos and reverse repos. 56 Gorton, Gary B. and Andrew Metrick ... liquid assets for financing and liquidity purposes – so they are a hybrid between the securities lending and repo financing segments of the market, and by design involve...

Ngày tải lên: 15/03/2014, 19:20

Ngày tải lên: 23/04/2014, 16:20

... market- and industry-wide liquidity. After controlling for well- known individual liquidity determinants, such as volatility, volume, and price, common in#uences remain signi"cant and material. ... of liquidity As a natural and simple "rst step on our empirical expedition, Section 3.1 below reports the empirical covariation between individual stock liquidity and mar...

Ngày tải lên: 23/04/2014, 16:29

... Allen and Gale (1994, 2004) or Brunnermeier and Pedersen (2005, 2009), and contribute toward commonality in liquid- ity across different securities and asset classes (Chordia, Subrahmanyam, and Roll, ... Subrahmanyam, and Roll, 2000; Hasbrouck and Seppi, 2001; Huberman and Halka, 2001; and Chordia, Sarkar, and Sub- rahmanyam, 2005). Support of this view is provided b...

Ngày tải lên: 15/03/2014, 10:20

... concentrated trading at higher price levels and fewer liquidity traders incur monitoring costs. There exists a tradeoff between an increasing adverse selection cost component and decreasing DRC and V.R. ... given that P tÀ1 and a à are common knowledge at time t; all market participants can infer the exact magnitude of DRC in the current period. 3.3. Strategic liquidity trading...

Ngày tải lên: 23/04/2014, 16:11

Ngày tải lên: 07/02/2013, 09:32

... the other hand, the number of Indian and Germanic students is not big and in general most of them expect level of salary is medium (over 30,000 -80, 000 USD/year). 2.2.2. Cross tables and charts ... 000 5 2 7 Grand Total 292 206 498 14 Chart 2.2.2. The distribution of data by gender and expected salary The chart and cross table above illustrate the connection between gender and...

Ngày tải lên: 19/07/2013, 09:49