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Stock Market Liquidity

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Stock Market Liquidity

Implications for Market Microstructure and Asset Pricing

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Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing by Francois-Serge Lhabitant
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Description

Market microstructure, the study of financial market frictions at a micro level, helps us refine our understanding of what may be driving market liquidity and provides tools to investors of all stripes to profit from this knowledge. In Stock Market Liquidity, editors and financial experts Francois-Serge Lhabitant and Greg Gregoriou bring together the best minds in the business to address this issue and discuss their thoughts on other innovative topics associated with liquidity in today's markets.

Table of Contents

Foreword by Tarun Chordia. About the Editors. About the Contributors. Part One. Liquidity Across Markets and Exchanges. Chapter 1. Order Imbalance, Liquidity, and Market Returns. Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam. Chapter 2. Liquidity Provision in the Hong Kong Warrants Market. Evidence from Equity, Derivative, and Basket Warrants. Paul Brockman and Dennis Y. Chung. Chapter 3. Liquidity Issues in the Money Markets. Mark D. Griffiths, Valdimir Kotomin and Drew B. Winters. Chapter 4. Liquidity and the Retail Investor: The Australian Market for Retail CDOs. Paul U. Ali. Chapter 5. Short-Term Interest Rates Volatility and Liquidity Risk. Cecilia Caglio, Giampaolo Gabbi and Giovanna Zanotti. Chapter 6. Intraday Liquidity in the Istanbul Exchange. Cumhur Ekinci. Chapter 7. International portfolio allocations during the Asian financial crisis. Evidence from lace U.S. closed-end funds. Kalok Chan, Kee-Hong Bae and Wai-Ming Fongc. Part Two. Market Design, Corporate Events and Liquidity. Chapter 8. Evidence on the Speed of Convergence to Market Efficiency. Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam. Chapter 9. Does Market Structure Matter? Trading Costs and Return Volatility Around Exchange Listings. Hendrik Bessembinder and Subhrendu Rath. Chapter 10. Tick Size, Market Structure and Trading Costs William G. Christie, Jeffrey H. Harris and Eugene Kandel. Chapter 11. Intraday Market Dynamics Around Public Information Arrivals. Angelo Ranaldo. Chapter 12. Returns, Volatility and Liquidity on the ASX. Undisclosed vs. Disclosed Limit Orders. David E. Allen, Alexander Shu-Sing Cheng, Carole Comerton-Forde and Joey Wenling Yang. Chapter 13. Earnings Surprise and Stealth Trading. Sugato Chakravarty, Chiraphol N. Chiyachantana, and Christine Jiang. Chapter 14. The Impact of Inter-Dealer Trading on Market Liquidity under Asymmetric Information. Kees G. Koedijk, Mathijs A. van Dijk and Irma W. van Leeuwen. Chapter 15. Trading Technology and Stock Market Liquidity. A Global Perspective. Pankaj K. Jain and William F. Johnson. Chapter 16. Increasing the Liquidity of Shares in Chinese Companies. Margaret Wang. Part Three. Asset Pricing, Liquidity Risk, Merger Arbitrage, and Valuation. Chapter 17. Stealth Trading. Which Traders' Trades Move Prices? Sugato Chakravarty. Chapter 18. Commonality in Liquidity. Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam. Chapter 19. On the Dynamics of Market Illiquidity. Niklas Wagner. Chapter 20. Liquidity and Returns. The Impact of Inclusion into the S&P 500 Index. Tarun Chordia. Chapter 21. The Multiple Dimensions of Market-Wide Liquidity. Implications for Asset Pricing. R. Burt Porter Chapter 22. Managing Illiquidity. A Hedge Fund Perspective. Greg N. Gregoriou and Francois-Serge Lhabitant. Chapter 23. Liquidity Asset Pricing Model in a Segmented Equity Market Zhian Chen and Peter Swan. Notes. Index.

Author Biography

FranCOis-Serge Lhabitant, PhD, is the Chief Investment Officer at Kedge Capital. He was formerly a member of senior management at Union Bancaire Privee in Geneva, where he was in charge of quantitative risk management and, subsequently, of the quantitative research for alternative portfolios. Lhabitant is currently a Professor of Finance at the University of Lausanne (Switzerland) and at the EDHEC Business School (France). He is also the coeditor or author of several Wiley titles, including Commodity Trading Advisors, Hedge Funds: Quantitative Insights, Handbook of Hedge Funds, and Hedge Funds: Myths and Limits. Greg N. Gregoriou, PhD, is Professor of Finance in the School of Business and Economics at the State University of New York at Plattsburgh. He is a hedge fund editor for the peer-reviewed scientific publication Journal of Derivatives & Hedge Funds (London) and an editorial board member for the Journal of Wealth Management and the Journal of Risk Management in Financial Institutions. Gregoriou has authored over fifty articles on hedge funds and managed futures in various peer-reviewed publications, and is coeditor or coauthor of several Wiley titles, including Commodity Trading Advisors, Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation, and Evaluating Hedge Fund and CTA Performance.
Release date NZ
February 8th, 2008
Country of Publication
United Kingdom
Illustrations
, figures
Imprint
John Wiley & Sons Ltd
Pages
504
Dimensions
187x257x39
ISBN-13
9780470181690
Product ID
3086492

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