High-Frequency Liquidity in the Chinese Stock Market: Measurements, Patterns, and Determinants

Author:

Zhang Ruixun,Zhao Chaoyi,Chen Yufan,Wu Lintong,Dai Yuehao,Chen Ermo,Wu Lan

Publisher

Elsevier BV

Reference76 articles.

1. A simple estimation of bid-ask spreads from daily close, high, and low prices;F Abdi;The Review of Financial Studies,2017

2. Asset pricing with liquidity risk;V V Acharya;Journal of Financial Economics,2005

3. A theory of intraday patterns: Volume and price variability;A R Admati;The Review of Financial Studies,1988

4. Market liquidity after the financial crisis;T Adrian;Annual Review of Financial Economics,2017

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