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.

Evaluation, Markets (Economics)

---

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.

Securities and Commodity Exchanges, Security and commodity exchanges, Securities Exchanges, Economics, Research and Development in the Social Sciences and Humanities, Stock-exchange, Stock exchanges, Economic research, Securities industry, Finance

---

Liquidity and autocorrelations in individual stock returns

Article Abstract:

A study is conducted to examine the relationship between short-run reversals and stock liquidity.

Science & research, Return on investment, Rate of return

Similar abstracts:

• Abstracts: Disclosure, liquidity, and the cost of capital. Liquidity shortages and banking crises. A theory of bank capital
• Abstracts: Net shoulder joint moment and muscular activity during light weight-handlingat different displacements and frequencies
• Abstracts: In search of the productivity miracle. Doubts about the US recovery. Fear, hope and wealth effects
• Abstracts: State tax trends. State tax trends: roundtable

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.