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Allen, David E. (contributor); Yang, Wenling (contributor) - 2000 - [Elektronische Ressource]

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The role of implied volatility in liquidity provision

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Information processing costs and stock price informativeness : evidence from the XBRL mandate

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Connectedness between the Crude Oil Futures and Equity Markets During the Pre- and Post-Financialisation Eras

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This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects...

Persistent link: https://www.econbiz.de/10013218287

Order size, order imbalance and the volatility-volume relation in a bull versus a bear market

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Returns, volatility and liquidity on the ASX : undisclosed vs. disclosed limit orders

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Returns, volatility, and liquidity on the ASX : undisclosed versus disclosed limit orders

Allen, David E.; Cheng, Alexander Shu-sing; … - In: Stock market liquidity : implications for market …, (pp. 227-245). 2008

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