Market Liquidity
Market Liquidity
Theory, Evidence, and Policy
Roeell, Ailsa; Foucault, Thierry; Pagano, Marco
Oxford University Press Inc
02/2024
536
Dura
Inglês
9780197542064
15 a 20 dias
Introduction
Part One: Institutions
1. Trading Mechanics and Market Structure
2. Measuring Liquidity
3. Order Flow, Liquidity, and Security Price Dynamics
4. Trade Size and Market Depth
5. Estimating the Determinants of Market Illiquidity
Part Two: Market Design and Regulation
6. Limit Order Book Markets
7. Market Fragmentation
8. Market Transparency
9. Algorithmic and High Frequency Trading
Part Three: Implications for Asset Prices, Financial Instability, and Corporate Policies
10. Liquidity and Asset Prices
11. Financial Stability and Market Liquidity
12. Liquidity, Price Discovery, and Corporate Policies
References
Index
Introduction
Part One: Institutions
1. Trading Mechanics and Market Structure
2. Measuring Liquidity
3. Order Flow, Liquidity, and Security Price Dynamics
4. Trade Size and Market Depth
5. Estimating the Determinants of Market Illiquidity
Part Two: Market Design and Regulation
6. Limit Order Book Markets
7. Market Fragmentation
8. Market Transparency
9. Algorithmic and High Frequency Trading
Part Three: Implications for Asset Prices, Financial Instability, and Corporate Policies
10. Liquidity and Asset Prices
11. Financial Stability and Market Liquidity
12. Liquidity, Price Discovery, and Corporate Policies
References
Index