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Investor Heterogeneity and Liquidity

Chan, Kalok; Cheng, Si; Hameed, Allaudeen - 2021

Fund flows are more correlated among funds with similar investment horizon, consistent with correlated demand for liquidity. We find that stocks held by institutions with more heterogeneous investment horizon are more liquid and have lower volatility of liquidity. Identification tests confirm...

Persistent link: https://www.econbiz.de/10013247245

Stock price synchronicity and analyst coverage in emerging markets

Chan, Kalok; Hameed, Allaudeen - In: Journal of financial economics 80 (2006) 1, pp. 115-147

Persistent link: https://www.econbiz.de/10003304896

Investor heterogeneity and liquidity

Chan, Kalok; Cheng, Si; Hameed, Allaudeen - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 7, pp. 2798-2833

Persistent link: https://www.econbiz.de/10013428943

Information uncertainty and the pricing of liquidity

Kang, Wenjin; Li, Nan; Zhang, Huiping - In: Journal of empirical finance 54 (2019), pp. 77-96

Persistent link: https://www.econbiz.de/10012174817

A further analysis of the lead-lag relationship between the cash market and stock index futures market

Chan, Kalok - In: The review of financial studies 5 (1992) 1, pp. 132-152

Persistent link: https://www.econbiz.de/10001119820

Trade size, order imbalance, and the volatility-volume relation

Chan, Kalok; Fong, Wai-ming - In: Journal of financial economics 57 (2000) 2, pp. 247-273

Persistent link: https://www.econbiz.de/10001494741

Information in the cash market and stock index future market

Chan, Kalok - 1990

Persistent link: https://www.econbiz.de/10000839818

Why option prices lag stock prices : a trading-based explanation

Chan, Kalok - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1957-1967

Persistent link: https://www.econbiz.de/10001155911

Price volatility in the Hong Kong stock market : a test of the information and trading noise hypothesis

Chan, Kalok - In: Pacific-Basin finance journal 1 (1993) 2, pp. 189-201

Persistent link: https://www.econbiz.de/10001158618

The intraday behavior of bid-ask spreads for NYSE stocks and CBOE options

Chan, Kalok - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 3, pp. 329-346

Persistent link: https://www.econbiz.de/10001217162

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