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Commonality in intraday liquidity and multilateral trading facilities: Evidence from Chi-X Europe

  • Published:2021-07 Issue: Volume:73 Page:101349
  • ISSN:1042-4431
  • Container-title:Journal of International Financial Markets, Institutions and Money
  • language:en
  • Short-container-title:Journal of International Financial Markets, Institutions and Money

Author:

Klein Olga,Song Shiyun

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference39 articles.

1. Asset pricing with liquidity risk;Acharya;J. Financ. Econ.,2005

2. Do ETFs increase the commonality in liquidity of underlying stocks? Working Paper;Agarwal,2018

3. Illiquidity and stock returns: Cross-section and time-series effects;Amihud;Journal of Financial Markets,2002

4. Baron, M.D., Brogaard, J., Hagströmer, B., Kirilenko, A., 2016. Risk and return in high-frequency trading. Working Paper. Cornell University.

5. Flickering quotes;Baruch,2013

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1. Liquidity risk, return performance, and tracking error: Synthetic vs. Physical ETFs;Journal of International Financial Markets, Institutions and Money;2023-12

2. The NewConnect market as a source of raising funds for the SMEs;Ekonomia i Prawo;2023-08-15

3. COVID-19 pandemic and liquidity commonality;Journal of International Financial Markets, Institutions and Money;2022-05

4. Intraday Patterns of Liquidity on the Warsaw Stock Exchange before and after the Outbreak of the COVID-19 Pandemic;International Journal of Financial Studies;2022-02-16

5. COVID-19 Pandemic and Liquidity Commonality;SSRN Electronic Journal;2022
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