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Predatory Trading Around Russell Reconstitution

Zdorovtsov, Volodymyr M. - 2017

Using fourteen years of history, the authors study the behavior of Russell 3000 constituents on the last business day of May when benchmark composition is determined for the ensuing annual reconstitution. The paper presents evidence consistent with predatory trading, whereby closing prices of...

Persistent link: https://www.econbiz.de/10012949636

A Reverse Index Futures Split Effect on Liquidity and Market Dynamics

Fassas, Athanasios - 2017

This paper examines the relationship between daily price variability and trading activity dynamics six months before and after the redesign of FTSE/ATHEX Large Cap futures contract in June 2016. Although contract and tick size is a critical factor for the viability of a futures market, there has...

Persistent link: https://www.econbiz.de/10012953866

Slow Capital, Fast Prices : Shocks to Funding Liquidity and Stock Price Reversals

Gissler, Stefan - 2015

" before reversing course. This paper looks at one particular channel of such patterns: the link between a liquidity provider …'s balance sheet and asset prices. I examine a well-identified historical case study where a large exogenous shock to a liquidity … capital constraints made stocks 15-20 percent more likely to be illiquid if they were connected to the distressed liquidity …

Persistent link: https://www.econbiz.de/10013019704

Break-Even Maturity as a Guide to Financial Distress

Ellis, Colin - 2015

During the recent crisis, lags in the transmission mechanism of economic shocks, together with monetary and fiscal policy, made it difficult to assess the evolving dynamics of creditworthiness. As such, developments in financial markets became a key guide for investors and policymakers in...

Persistent link: https://www.econbiz.de/10013030594

Uncertainty Elasticity of Liquidity and Expected Stock Returns in China

Sun, Ping-Wen - 2015

We examine the uncertainty elasticity of liquidity (UEL: percentage change in the individual stock's liquidity given … for the liquidity risk. Finally, on average, stocks' UEL is higher when the stock market return is lower …

Persistent link: https://www.econbiz.de/10013030699

Options Illiquidity : Determinants and Implications for Stock Returns

Goyenko, Ruslan - 2015

from those induced by liquidity trading. We show a simple strategy that uses high-option-illiquidity stocks and yields 16 …

Persistent link: https://www.econbiz.de/10013032631

Slow Capital, Fast Prices : Shocks to Funding Liquidity and Stock Price Reversals

Gissler, Stefan - 2015

” before reversing course. This paper looks at one particular channel of such patterns: the link between a liquidity provider …'s balance sheet and asset prices. I examine a well-identified historical case study where a large exogenous shock to a liquidity … capital constraints made stocks 15-20 percent more likely to be illiquid if they were connected to the distressed liquidity …

Persistent link: https://www.econbiz.de/10013033559

The Liquidity Risk Adjusted Epstein-Zin Model

Liu, Weimin - 2015

In this paper, we propose a liquidity risk adjustment to the Epstein and Zin (1989, 1991) model and assess the adjusted … model's performance against the traditional consumption pricing models. We show that liquidity is a significant risk factor … and it adds considerable explanatory power to the model. The liquidity-adjusted model produces both a higher cross …

Persistent link: https://www.econbiz.de/10013033650

Price, Volume and Liquidity Effects of Stocks Entering and Leaving Jakarta Islamic Index

Listyaningsih, Erna - 2015

Previous studies have documented that price and liquidity effects are associated with changes in stock market indices … due to bankruptcy, mergers, or tender offers. This study investigates price, volume and liquidity effects of stocks … capitalisation and liquidity have the same impacts. We find that stocks entering JII earn positive and statistically significant …

Persistent link: https://www.econbiz.de/10013034183

Does Short Selling Erode Market Liquidity?

Sum, Vichet - 2015

This study examines how stock market liquidity dynamically responds to the spike in short interest ratio and dissects … the causal linkage between short interest ratio and stock market liquidity. Based on the analysis of monthly data from … change in the NYSE share volume turnover suggesting that short selling causes the erosion of stock market liquidity …

Persistent link: https://www.econbiz.de/10013034390