We argue and provide evidence that stock price synchronicity affects stock liquidity. Under the relative synchronicity hypothesis, higher return co-movement (i.e., higher systematic volatility relative to total volatility) improves liquidity. Under the absolute synchronicity hypothesis, stocks...

Consistent with recent theoretical models where binding capital constraints lead to sudden liquidity dry-ups, we find that negative market returns decrease stock liquidity, especially during times of tightness in the funding market. The asymmetric effect of changes in aggregate asset values on...

We examine the price behavior and market activity of the Jardine Group companies after they were delisted from Hong Kong in 1994. Although the trading activity of the Jardine Group moved to Singapore, the core businesses remained in Hong Kong and Mainland China. Evidence indicates the Jardine...

This paper examines the profitability of momentum strategies implemented on international stock market indices. Our results indicate statiscally significant evidence of momentum profits. The momentum profits arise mainly from time-series predictability in stock market indices—very little...

We present measurements of the infrared response of the quasi-one-dimensional organic conductor (TMTSF)<Subscript>2</Subscript>FSO<Subscript>3</Subscript> along (<Emphasis Type="Bold">E <InlineEquation ID="Equ1"> <EquationSource Format="TEX">$\|a$</EquationSource> </InlineEquation>) and perpendicular (<Emphasis Type="Bold">E <InlineEquation ID="Equ2"> <EquationSource Format="TEX">$\|b'$</EquationSource> </InlineEquation>) to the stacking axis as a function of temperature. Above the metal-insulator transition related to the anion ordering the optical...</equationsource></inlineequation></emphasis></equationsource></inlineequation></emphasis></subscript></subscript>

We propose a modified version of the Amihud illiquidity measure, AdjILLIQ, which performs well in different types of emerging markets. Our AdjILLIQ measure combines the virtues of the original Amihud ratio and the non-trading-frequency measure. It exhibits higher correlation with spread and...

We present a model of the bid and ask quotes in the equity option market when option payoffs are asymmetrically distributed due to the limited liability of the option. We then provide empirical evidence for the actively-traded Chicago Board of Options Exchange stock options, which is consistent...

The need for acquiring the current-year traffic data is a problem for transport planners since such data may not be available for on-going transport studies. A method is proposed in this paper to predict hourly traffic flows up to and into the near future, using historical data collected from...