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Stock market liquidity : implications for market microstructure and asset pricing

Stock market liquidity : implications for market microstructure and asset pricing (5회 대출)

자료유형
단행본
개인저자
Lhabitant, Francois-Serge. Gregoriou, Greg N. , 1956-
서명 / 저자사항
Stock market liquidity : implications for market microstructure and asset pricing / Francois-Serge Lhabitant, Greg N. Gregoriou.
발행사항
Hoboken, NJ :   J. Wiley & Sons ,   2008.  
형태사항
xxiii, 475 p. ; 26 cm.
총서사항
Wiley finance series
ISBN
9780470181690 (cloth)
내용주기
Order imbalance, liquidity, and market returns / Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam -- Liquidity provision in the Hong Kong warrants market evidence from equity, derivative and basket warrants / Paul Brockman and Dennis Y. Chung -- Liquidity issues in the money markets / Mark D. Griffiths, Valdimir Kotomin and Drew B. Winters -- Liquidity and the retail investor : the Australian market for retail CDOs / Paul U. Ali -- Short-term interest rates volatility and liquidity risk / Cecilia Caglio, Giampaolo Gabbi and Giovanna Zanotti -- Intraday liquidity in the Istanbul exchange / Cumhur Ekinci -- International portfolio allocations during the Asian financial crisis : evidence from U.S. closed-end funds / Kalok Chan, Kee-Hong Bae and Wai-Ming Fongc -- Evidence on the speed of convergence to market efficiency / Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam -- Does market structure matter? Trading costs and return volatility around exchange listings / Hendrik Bessembinder and Subhrendu Rath -- Tick size, market structure and trading costs / William G. Christie, Jeffrey H. Harris and Eugene Kandel -- Intraday market dynamics around public information arrivals / Angelo Ranaldo -- Returns, volatility and liquidity on the ASX : undisclosed vs. disclosed limit orders / David E. Allen.. [et al.] -- Earnings surprise and stealth trading / Sugato Chakravarty, Chiraphol N. Chiyachantana and Christine Jiang -- The impact of inter-dealer trading on market liquidity under asymmetric information / Kees G. Koedijk, Mathijs A. van Dijk and Irma W. van Leeuwen -- Trading technology and stock market liquidity : a global perspective / Pankaj K. Jain and William F. Johnson -- Increasing the liquidity of shares in Chinese companies / Margaret Wang -- Stealth trading : which traders' trades move prices? / Sugato Chakravarty -- Commonality in liquidity / Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam -- On the dynamics of market illiquidity / Niklas Wagner -- Liquidity and returns : the impact of inclusion into the S&P 500 Index / Tarun Chordia -- The multiple dimensions of market-wide liquidity : implications for asset pricing / R. Burt Porter -- Managing illiquidity : a hedge fund perspective / Greg N. Gregoriou and Francois-Serge Lhabitant -- Liquidity asset pricing model in a segmented equity market / Zhian Chen and Peter Swan.
서지주기
Includes bibliographical references and index.
일반주제명
Stock exchanges. Liquidity (Economics) Capital assets pricing model.
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001 000045484142
005 20081110154616
008 070622s2008 nju b 001 0 eng
010 ▼a 2007026312
020 ▼a 9780470181690 (cloth)
035 ▼a (KERIS)REF000013171865
040 ▼a DLC ▼c DLC ▼d DLC ▼d 211009
050 0 0 ▼a HG4521 ▼b .S788 2007
082 0 0 ▼a 332.64/2 ▼2 22
090 ▼a 332.642 ▼b S8642
245 0 0 ▼a Stock market liquidity : ▼b implications for market microstructure and asset pricing / ▼c Francois-Serge Lhabitant, Greg N. Gregoriou.
260 ▼a Hoboken, NJ : ▼b J. Wiley & Sons , ▼c 2008.
300 ▼a xxiii, 475 p. ; ▼c 26 cm.
490 0 ▼a Wiley finance series
504 ▼a Includes bibliographical references and index.
505 0 ▼a Order imbalance, liquidity, and market returns / Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam -- Liquidity provision in the Hong Kong warrants market evidence from equity, derivative and basket warrants / Paul Brockman and Dennis Y. Chung -- Liquidity issues in the money markets / Mark D. Griffiths, Valdimir Kotomin and Drew B. Winters -- Liquidity and the retail investor : the Australian market for retail CDOs / Paul U. Ali -- Short-term interest rates volatility and liquidity risk / Cecilia Caglio, Giampaolo Gabbi and Giovanna Zanotti -- Intraday liquidity in the Istanbul exchange / Cumhur Ekinci -- International portfolio allocations during the Asian financial crisis : evidence from U.S. closed-end funds / Kalok Chan, Kee-Hong Bae and Wai-Ming Fongc -- Evidence on the speed of convergence to market efficiency / Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam -- Does market structure matter? Trading costs and return volatility around exchange listings / Hendrik Bessembinder and Subhrendu Rath -- Tick size, market structure and trading costs / William G. Christie, Jeffrey H. Harris and Eugene Kandel -- Intraday market dynamics around public information arrivals / Angelo Ranaldo -- Returns, volatility and liquidity on the ASX : undisclosed vs. disclosed limit orders / David E. Allen.. [et al.] -- Earnings surprise and stealth trading / Sugato Chakravarty, Chiraphol N. Chiyachantana and Christine Jiang -- The impact of inter-dealer trading on market liquidity under asymmetric information / Kees G. Koedijk, Mathijs A. van Dijk and Irma W. van Leeuwen -- Trading technology and stock market liquidity : a global perspective / Pankaj K. Jain and William F. Johnson -- Increasing the liquidity of shares in Chinese companies / Margaret Wang -- Stealth trading : which traders' trades move prices? / Sugato Chakravarty -- Commonality in liquidity / Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam -- On the dynamics of market illiquidity / Niklas Wagner -- Liquidity and returns : the impact of inclusion into the S&P 500 Index / Tarun Chordia -- The multiple dimensions of market-wide liquidity : implications for asset pricing / R. Burt Porter -- Managing illiquidity : a hedge fund perspective / Greg N. Gregoriou and Francois-Serge Lhabitant -- Liquidity asset pricing model in a segmented equity market / Zhian Chen and Peter Swan.
650 0 ▼a Stock exchanges.
650 0 ▼a Liquidity (Economics)
650 0 ▼a Capital assets pricing model.
700 1 ▼a Lhabitant, Francois-Serge.
700 1 ▼a Gregoriou, Greg N. , ▼d 1956-
945 ▼a KINS

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.642 S8642 등록번호 111508490 도서상태 대출가능 반납예정일 예약 서비스 B M

컨텐츠정보

저자소개

Francois-Serge Lhabitant(지은이)

<헤지펀드>

Greg N. Gregoriou(지은이)

정보제공 : Aladin

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