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Order preferencing and market quality on NASDAQ before and after decimalization
Chung, Kee H.; Chuwonganant, Chairat; McCormick, D. Timothy - In: Journal of Financial Economics 71 (2004) 3, pp. 581-612
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005372495
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Limit orders and the bid-ask spread
Chung, Kee H.; Ness, Bonnie F. Van; Ness, Robert A. Van - In: Journal of Financial Economics 53 (1999) 2, pp. 255-287
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005376558
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Uncertainty, market structure, and liquidity
Chung, Kee H.; Chuwonganant, Chairat - In: Journal of Financial Economics 113 (2014) 3, pp. 476-499
In this study we show that market uncertainty [measured by the Chicago Board Options Exchange Market Volatility Index (VIX)] exerts a large market-wide impact on liquidity, which gives rise to co-movements in individual asset liquidity. The effect of VIX on stock liquidity is greater than the...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010906187