chordia, sarkar and subrahmanyam -an empirical analysis of stock and bond market liquidity

... the stock market tick size change from 1/8 to 1/16 was 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, ... Chordia and Subrahmanyam (1995) for a simple model of how spread levels depend on inventory. 13 The direction of market movements could also trigger asymmetric...

Ngày tải lên: 23/04/2014, 16:29

... practical standpoint, asset allocation strategies could 18 An Empirical Analysis of Stock and Bond Market Liquidity Tarun Chordia, Asani Sarkar, and Avanidhar Subrahmanyam Federal Reserve Bank of New ... in liquidity and increases (decreases) in stock and bond volatility. Finally, we find that flows to the stock and government bond sectors play an impo...

Ngày tải lên: 23/04/2014, 16:11

... rights of both the holders and the users of patented technology. It is only when we have an understanding of how the industry is operating and the true extent of the social benefits and costs ... compulsory licensing and government use provisions, the creation of a statutory licensing regime and use of clearing house mechanisms, and further consideration of the...

Ngày tải lên: 13/03/2014, 21:54

... fixed-income markets often characterised by flight-to-quality situations often generating low market liquidity and wide bid-offer spreads in a wide range of securities. For similar reasons and given ... to the US market, European and Japanese equity markets (developed markets) and emerging equity markets, we include MSCI US index, MSCI EU index, MSCI JP index, and the IFC eme...

Ngày tải lên: 16/04/2013, 20:00

... lo wer liquidit y of the off-the-run bond relative to the on-the- run bond. Treasury bonds are typically held by buy -and- hold investors, and older bonds are more difficult to find and to trade than ... ancial crisis of 2008 and 2009. We estimate the liquidity pre miu m on TIPS yields relat ive to nom in al Treasury bond yields using a variety of indicators of liquidity in...

Ngày tải lên: 16/02/2014, 02:20

... DeVany, A.S., and W.D. Walls (2004) “Motion Picture Profit, the Stable Paretian Hypothesis, and the Curse of the Superstar” Journal of Economic Dynamics and Control Elberse, A., and B. Anand (2005) ... examined the political tendencies and biases of news reporters (Adkins Convert and Wasburn, 2007, Gentzkow and Shapiro, 2006 and 2004, Groseclose and Milyo, 2005,...

Ngày tải lên: 19/02/2014, 10:20

... we examine the growth rate of total assets and of credit, and the breakdown of bank assets between loans and other earning assets. Finally, we look at the evolution of equity over assets to determine ... quintile of banks both credit and deposits decelerate substantially both in T and T+l. The decline in the rate of growth of these variables are of...

Ngày tải lên: 15/03/2014, 14:20

... Aycock and N. Friess. Spam Zombies from Outer Space, January 2006. [7] R. Boehme and T. Ho. The Effect of Stock Spam on Financial Markets. In Proceedings of the Fifth Workshop on the Economics of ... the cost of distribution is largely that of the labor used in the development and maintenance of the botnet software itself. While we are unable to provide any meaningful esti...

Ngày tải lên: 23/03/2014, 03:20

... of equation 2 separately by type of sex act. Most of the patterns observed in Table 5 for other variables like race of customer and Fourth of July holiday hold across the different types of ... are jointly determined by the amount of prostitution and the intensity of police enforcement. The correlation between the number of arrests and the amount of prostitution...

Ngày tải lên: 23/03/2014, 20:20

... measure of national banking system liquidity (cash plus holdings of Government bonds as a share of total assets) and an indicator of bank capitalization (capital and reserves as a share of total ... matrix of time (monthly) dummies; D i, t is a matrix of country dummies; in the notation of equation (2.b) we used vectors of dummies instead of matrices; α , β ,...

Ngày tải lên: 29/03/2014, 13:20