Sklavos, Konstantinos; Dam, Lammertjan; Scholtens, Bert - In: Energy Economics 38 (2013) C, pp. 168-175
This study investigates the dynamics of stock market liquidity in the energy industry in the US for 130 firms for the period 2006–2011. We use a (structural) vector autoregression approach to model the simultaneous relationships between three liquidity measures, namely turnover, price impact...
