chordia, roll and subrahmanyam -market liquidity and trading activity
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 ... significantlyaffect liquidity as well as trading activity. There are strong day-of-the-weekregularities in liquidity and in trading activity. Liquidity declines and trad-ing activity slows on ... significant decrease in trading activity and liquidity, while Tuesdays display the opposite pattern. Long- and short-terminterest rates influence liquidity. Depth and trading activity increase just...
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chordia, sarkar and subrahmanyam -an empirical analysis of stock and bond market liquidity
... introduced on June 14, 1997, because this e®ect had an immediate and permanent impacton the stock market spread (see Chordia, Roll, and Subrahmanyam, 2001).1 9b e t we e n s t o c k a n d b o n ... return and the Lehman aggregate bond indexreturn are signi¯cantly positively correlated with order °ow. We have run our forecasting regressionswith and without the market variables and ¯nd ... io n15See, for example, Greenspan, 1999, and \Finance and Economics: Alan Greenspan's miracle cure,"Economist, October 24, 1998, pp.75-76. and \A Review of Financial Market Events...
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an empirical analysis of stock and bond market liquidity
... of liquidity in equity markets as well as in ¯xed-incomemarkets. Hasbrouck and Seppi (2001), Huberman and Halka (2001), and Chordia, Roll and Subrahmanyam (2000) document commonality in trading ... predict trading activity, and, inturn, liquidity in another. Similarly, leads and lags in volatility and liquidity shocks mayhave cross-e®ects. For example, if systemic (macro) shocks to liquidity ... results show thatinnovations in own-market liquidity explain most of the liquidity dynamics, especially atshorter horizons. Own-market volatility and cross-market liquidity are the other impor-tant...
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Securities Lending and Repos: Market Overview and Financial Stability Issues docx
... 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 liquidity transformation. ... issuer. 4.2.2 Liquidity risk Restrictions on the term or maturity of securities loans and repos are used in a few jurisdictions to mitigate liquidity risk arising from securities lending and repo...
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chordia, roll and subrahmanyam -commonality in liquidity
... market- and industry-wide liquidity. After controlling for well-known individual liquidity determinants, such as volatility, volume, and price, commonin#uences remain signi"cant and material. ... of liquidity As a natural and simple "rst step on our empirical expedition, Section 3.1below reports the empirical covariation between individual stock liquidity and market and industry liquidity. ... common liquidity variation,Section 3.2 then asks a deeper question: Is time-series variation in individualstock liquidity related to market or industry trading activity after controlling fortrading...
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WORKING PAPER SERIES NO 1376 / SEPTEMBER 2011: THE PRICE OF LIQUIDITY THE EFFECTS OF MARKET CONDITIONS AND BANK CHARACTERISTICS pptx
... Allen and Gale (1994, 2004) orBrunnermeier 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 by Nyborg and ¨Ostberg (2010), who5These ... are 1.66 bps and −0.01 bps; for cooperatives, theyare 0.78 bps and −0.87 bps; for foreign banks, they are 0.69 bps and −0.18 bps; forLandesbanks, they are 1.48 bps and 0.53 bps, and for cooperative...
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anshumana and kalay - can splits create market liquidity - theory and evidence
... concentrated trading at higher price levels and fewer liquidity traders incur monitoring costs. There exists a tradeoff between anincreasing adverse selection cost component and decreasing DRC and V.R. ... given that PtÀ1 and aÃare commonknowledge at time t; all market participants can infer the exact magnitude ofDRC in the current period.3.3. Strategic liquidity trading Liquidity traders ... percentile liquidity trader incurs a (per dollar) monitoring cost, CðqÞ¼f =½ÀlnðqÞ1=w; where f > 0 and w > 1:At time t ¼Àp; all liquidity traders are potential discretionary traders.Liquidity...
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Trend of domestic and international market during period 2003-2006
... 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 7Grand Total 292 206 49814 Chart 2.2.2. The distribution of data by gender and expected salaryThe chart and cross table above illustrate the connection between gender and expected ... to attract customers and satisfy customer’ demand as well as to increase its revenue. It was the time company had to have suitable and effective strategy to solve problems and competitive with...
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