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Aggregate Economic Activity
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Illiquidity
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Realized Volatility
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Regime Switching
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Return Dispersion
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Stock Market Liquidity
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Degiannakis, Stavros
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Bank of Greece
C.E.P.R. Discussion Papers
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Department of Economics, Auburn University
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Return dispersion, stock market liquidity and aggregate economic activity
Degiannakis, Stavros
;
Andrikopoulos, Andreas
; …
-
Bank of Greece
-
2013
find that there is a bidirectional, Granger-causal association between
illiquidity
and return dispersion in the U.S. stock …
Persistent link: https://www.econbiz.de/10010729229
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