内容

目次

Foreword by Tarun Chordia. About the Editors. About theContributors. Part One. Liquidity Across Markets and Exchanges. Chapter1. Order Imbalance, Liquidity, and Market Returns. Tarun Chordia, RichardRoll, and Avanidhar Subrahmanyam. Chapter 2. Liquidity Provision in theHong Kong Warrants Market. Evidence from Equity, Derivative, and BasketWarrants. Paul Brockman and Dennis Y. Chung. Chapter 3. LiquidityIssues in the Money Markets. Mark D. Griffiths, Valdimir Kotomin and DrewB. Winters. Chapter 4. Liquidity and the Retail Investor: The AustralianMarket for Retail CDOs. Paul U. Ali. Chapter 5. Short-Term InterestRates Volatility and Liquidity Risk. Cecilia Caglio, Giampaolo Gabbi andGiovanna Zanotti. Chapter 6. Intraday Liquidity in the Istanbul Exchange.Cumhur Ekinci. Chapter 7. International portfolio allocations during theAsian financial crisis. Evidence from lace U.S. closed-end funds. KalokChan, Kee-Hong Bae and Wai-Ming Fongc. Part Two. Market Design, CorporateEvents and Liquidity. Chapter 8. Evidence on the Speed of Convergence toMarket Efficiency. Tarun Chordia, Richard Roll, and AvanidharSubrahmanyam. Chapter 9. Does Market Structure Matter? Trading Costs andReturn Volatility Around Exchange Listings. Hendrik Bessembinder andSubhrendu Rath. Chapter 10. Tick Size, Market Structure and Trading CostsWilliam G. Christie, Jeffrey H. Harris and Eugene Kandel. Chapter 11.Intraday Market Dynamics Around Public Information Arrivals. AngeloRanaldo. Chapter 12. Returns, Volatility and Liquidity on the ASX.Undisclosed vs. Disclosed Limit Orders. David E. Allen, Alexander Shu-SingCheng, Carole Comerton-Forde and Joey Wenling Yang. Chapter 13. EarningsSurprise and Stealth Trading. Sugato Chakravarty, Chiraphol N.Chiyachantana, and Christine Jiang. Chapter 14. The Impact of Inter-DealerTrading on Market Liquidity under Asymmetric Information. Kees G. Koedijk,Mathijs A. van Dijk and Irma W. van Leeuwen. Chapter 15. TradingTechnology and Stock Market Liquidity. A Global Perspective. Pankaj K.Jain and William F. Johnson. Chapter 16. Increasing the Liquidity ofShares in Chinese Companies. Margaret Wang. Part Three. Asset Pricing,Liquidity Risk, Merger Arbitrage, and Valuation. Chapter 17. StealthTrading. Which Traders' Trades Move Prices? Sugato Chakravarty. Chapter18. Commonality in Liquidity. Tarun Chordia, Richard Roll, and AvanidharSubrahmanyam. Chapter 19. On the Dynamics of Market Illiquidity. NiklasWagner. Chapter 20. Liquidity and Returns. The Impact of Inclusion intothe S&P 500 Index. Tarun Chordia. Chapter 21. The Multiple Dimensionsof Market-Wide Liquidity. Implications for Asset Pricing. R. BurtPorter Chapter 22. Managing Illiquidity. A Hedge Fund Perspective.Greg N. Gregoriou and Francois-Serge Lhabitant. Chapter 23. LiquidityAsset Pricing Model in a Segmented Equity Market Zhian Chen and PeterSwan. Notes. Index.