Liquidity and Market Microstructure Noise: Evidence from the Pekao Data
نویسندگان
چکیده
منابع مشابه
High Frequency Market Microstructure Noise Estimates and Liquidity Measures By
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure noise to observable characteristics of the underlying stocks and, in particular, to different financial...
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Article history: Received 16 May 2009 Accepted 29 July 2010 Available online 6 August 2010 The Chinese stock market is an order-driven market and hence its characteristics are structurally different from quote-driven markets. There are no studies that consider the role of the market liquidity risk factor in determining cross-sectional stock returns in a model including financial market anomalie...
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The Hansen-Lunde (HL) research program is generally first-rate, displaying a rare blend of theoretical prowess and applied sense. The present paper is no exception. In a major theoretical advance, HL allow for correlation between microstructure (MS) noise and latent price. (I prefer “latent price” to terms such as “efficient price” or “true price,” which carry lots of excess baggage.) In a para...
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ژورنال
عنوان ژورنال: Dynamic Econometric Models
سال: 2010
ISSN: 1234-3862
DOI: 10.12775/dem.2010.001