Common Determinants of Liquidity and Trading
Our rough guess is there are 11,500 words in this book.
At a pace averaging 250 words per minute, this book will take 0 hours and 46 minutes to read. With a half hour per day, this will take 2 days to read.
How long will it take you?
This book will take an estimated to read at a reading speed averaging words per minute. With 30 minutes per day, this will take to read.
Enter your reading speedYou can take one of our WPM reading speed tests to find your reading speed.
Create a free account to track your reading progress, build your reading list, and set reading goals.
Publication
2001-08-15 - The Research Foundation of AIMR (CFA Institute)
Language
English
Word Count
11,500 words, Guess
Page Count
46 pages
Physical Format
Paperback
Identifiers
- Internet Archivecommondeterminan00chor
- Internet Archivecommondeterminan00chor_912
- ISBN-100943205549
- ISBN-139780943205540
- Library of Congress Control Number2003274974
and 1 more
- Open LibraryOL9698614M
Classifications
- LCCHG4661 .C593 2001
Description
A study or common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991-98 period, finding that spread changes in one market are affected by lagged spread and volume changes in both markets. Further, spread and volume changes are predictable to a considerable degree using lagged market returns, lagged interest rates, lagged spreads, and lagged volume. During periods of financial crisis, stock and bond spreads and volume are more volatile and become more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity. This study addresses the dynamics of liquidity in financial markets and suggests how asset allocation strategies might be designed to reduce trading costs.
Reader Reviews
No reviews yet for this book.
Be the first to share your thoughts!