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Using 9559 single jumps detected from high frequency data of 220 individual stocks in SZ300P index, the paper investigates the liquidity dynamics around price jumps in Chinese market. By event study method and regression method, some interesting empirical results are obtained. The trading...
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Monetary liquidity is an important yet complicated concept. This paper reviews various definitions of monetary liquidity in existing literature, and expands the discussion on comparison of measures of monetary liquidity. This paper uses time series of CPI and PPI to construct a new composite...
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