Determinants Of Market Liquidity And Price Efficiency In Financial Markets PDF Download
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Author | : Avanidhar Subrahmanyam |
Publisher | : |
Total Pages | : 122 |
Release | : 1994 |
Genre | : |
ISBN | : |
Download Determinants of Market Liquidity and Price Efficiency in Financial Markets Book in PDF, ePub and Kindle
Author | : Abdourahmane Sarr |
Publisher | : International Monetary Fund |
Total Pages | : 72 |
Release | : 2002-12 |
Genre | : Business & Economics |
ISBN | : |
Download Measuring Liquidity in Financial Markets Book in PDF, ePub and Kindle
This paper provides an overview of indicators that can be used to illustrate and analyze liquidity developments in financial markets. The measures include bid-ask spreads, turnover ratios, and price impact measures. They gauge different aspects of market liquidity, namely tightness (costs), immediacy, depth, breadth, and resiliency. These measures are applied in selected foreign exchange, money, and capital markets to illustrate their operational usefulness. A number of measures must be considered because there is no single theoretically correct and universally accepted measure to determine a market's degree of liquidity and because market-specific factors and peculiarities must be considered.
Author | : Thierry Foucault |
Publisher | : Oxford University Press |
Total Pages | : 531 |
Release | : 2023 |
Genre | : Capital market |
ISBN | : 0197542069 |
Download Market Liquidity Book in PDF, ePub and Kindle
"The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
Author | : Deniz Ozenbas |
Publisher | : Springer Nature |
Total Pages | : 111 |
Release | : 2022 |
Genre | : Business enterprises |
ISBN | : 3030748170 |
Download Liquidity, Markets and Trading in Action Book in PDF, ePub and Kindle
This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Author | : Wing-Keung Wong |
Publisher | : Mdpi AG |
Total Pages | : 232 |
Release | : 2022-02-17 |
Genre | : Business & Economics |
ISBN | : 9783036530802 |
Download Efficiency and Anomalies in Stock Markets Book in PDF, ePub and Kindle
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Author | : Yakov Amihud |
Publisher | : Now Publishers Inc |
Total Pages | : 109 |
Release | : 2006 |
Genre | : Business & Economics |
ISBN | : 1933019123 |
Download Liquidity and Asset Prices Book in PDF, ePub and Kindle
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Author | : Thierry Foucault |
Publisher | : |
Total Pages | : 424 |
Release | : 2013 |
Genre | : Capital market |
ISBN | : 9780199333059 |
Download Market Liquidity Book in PDF, ePub and Kindle
"The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on liquidity and price discovery."--Résumé de l'éditeur.
Author | : Robert A. Schwartz |
Publisher | : John Wiley & Sons |
Total Pages | : 482 |
Release | : 2004-10-06 |
Genre | : Business & Economics |
ISBN | : 0471689882 |
Download Equity Markets in Action Book in PDF, ePub and Kindle
An in-depth look at the nature of market making and exchanges From theory to practicalities, this is a comprehensive, up-to-date handbook and reference on how markets work and the nuances of trading. It includes a CD with an interactive trading simulation. Robert A. Schwartz, PhD (New York, NY), is Marvin M. Speiser Professor of Finance and University Distinguished Professor in the Zicklin School of Business, Baruch College, CUNY. Reto Francioni, PhD (Zurich, Switzerland), is President and Chairman of the Board of SWX, the Swiss Stock Exchange, and former co-CEO of Consors Discount Broker AG, Nuremberg.
Author | : Avanidhar Subrahmanyam |
Publisher | : |
Total Pages | : 276 |
Release | : 1990 |
Genre | : Financial futures |
ISBN | : |
Download Determinants of Market Liquidity and Price Efficiency in Financial Markets Book in PDF, ePub and Kindle
Author | : François-Serge Lhabitant |
Publisher | : John Wiley & Sons |
Total Pages | : 502 |
Release | : 2008-01-09 |
Genre | : Business & Economics |
ISBN | : 0470181699 |
Download Stock Market Liquidity Book in PDF, ePub and Kindle
Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.