Acharya, V. V., & Pedersen, L. H. (2005). Asset pricing with liquidity risk. Journal of Financial Economics, 77 (2), 375–410.
Admati, A. R., & Pfleiderer, P. (1988). A theory of intraday patterns: volume and price variability.
Review of Financial Studies, 1(1), 3–40.
Affleck-Graves, J., Hegde, S. P., & Miller, R. E. (1994). Trading mechanisms and components of the bid-ask spread. Journal of Finance, 49 (4), 1471–1488.
Alexander, S. S. (1964). Price movements in speculative markets. Industrial Management Review, 5
(2), 25-46.
Alexander, S. S. (1961). Price movements in speculative markets: trends or random walks. Industrial Management Review, 2(2), 7–26.
Amihud, Y. (2002). Illiquidity & Stock Returns: Cross Section and Time Series Effects. Journal of Financial Markets, 5, 31–56.
Amihud, Y., & Mendelson, H. (1982). Asset price behavior in a dealership market. Financial Analysts Journal, 38 (3), 50–59.
Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17 (3), 223–249.
Amihud, Y., & Mendelson, H. (1980). Dealership market: market making with inventory. Journal of Financial Economics, 8(1), 31–53.
90
Amihud, Y., Mendelson, H., & Lauterbach, B. (1997). Market microstructure and securities values: evidence fromthe Tel Aviv exchange. Journal of Financial Economics, 45 (3), 365–390.
Amihud, Y., Mendelson, H., & Wood, R. A. (1990). Liquidity and the 1987 stock market crash. Journal of Portfolio Management, 16 (3), 65–69.
Atje, R., & Jovanovic, B. (1993). Stock Markets and Development. European Economic Review, 37
(2/3), 632–640.
Bekaert, G. (1995). Market Integration and Investment Barriers in Emerging Equity Markets. World Bank Economic Review, 9, 75–107.
Bekaert, G., & Harvey, C. R. (1997). Emerging Equity Market Volatility. Journal of Financial Economics , 43, 29–78.
Bekaert, G., Harvey, C. R., & Lundblad, C. (2007). Liquidity and Expected Returns: Lessons from Emerging Markets. Review of Financial Studies, 20 (6), 1783-1831.
Benston, G. J. (1974). Determinants of bid-asked spreads in the over-the-counter market. Journal of Financial Economics, 1(4), 353–364.
Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, 31, 307–327.
Brock, W., Lakonishok, J., & LeBaron, B. (1992). Simple technical trading rules and the stochastic properties of stock returns. Journal of Finance, 47 (5), 1731–1764.
Brockman, P., Chung, D. Y., & Perignon, C. (2008). Commonality in Liquidity: A Global Perspective.
91
Caballe, J., & Krishnan, M. (1994). Imperfect competition in a multi-security market with risk neutrality. Econometrica, 62 (3), 695–704.
Chalmers, J. M., & Kadlec, G. B. (1998). An empirical examination of the amortized spread. Journal of Financial Economics, 48, 159–188.
Chen, J., Hong, H., & Stein, J. (2001). Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics, 61 (3), 345-381.
Chordia, T., Roll, R., & Subrahmanyam, A. (2000). Commonality in liquidity. Journal of Financial Economics, 56 (1), 3–28.
Chordia, T., Roll, R., & Subrahmanyam, A. (2001). Market liquidity and trading activity. Journal of Finance, 56 (2), 501–530.
Chordia, T., Roll, R., & Subrahmanyam, A. (2002). Order imbalance, liquidity, and market returns.
Journal of Financial Economics, 65 (1), 111-130.
Chowhdry, B., & Nanda, V. (1991). Multimarket trading and market liquidity. Review of Financial Studies, 24, 483–511.
Clark, R. A., McConnell, J. J., & Singh, M. (1992). Seasonalities in NYSE bid-ask spreads and stock returns in January. Journal of Finance, 47, 1999–2014.
Cooper, S. K., Goth, J. C., & Avera, W. E. (1985). Liquidity, exchange listing and common stock performance. Journal of Economics and Business, 37, 19–33.
Copeland, T., & Galai, D. (1983). Information effects on the bid-ask spread. Journal of Finance, 38, 1457–1469.
92
Desai, A., Nimalendran, M., & Venkataraman, S. (1998). Changes in trading activity following stock splits and their effect on volatility and the adverse information component of the bid-ask spread. Journal of Financial Research, 21, 159–184.
Domowitz, I., & Wang, X. (2002). Liquidity, liquidity commonality and its impact on portfolio theory.
Working Paper, Penn State University .
Domowitz, I., Glen, J., & Madhavan, A. (2001). Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time. International Finance , 221–255.
Draper, P., & Paudyal, K. (1997). Microstructure and seasonality in the UK equity market. Journal of Business Finance and Accounting, 24, 1177–1204.
Easley, D., & O’Hara, M. (1987). Price, trade size, and information in securities markets. Journal of Financial Economics, 19, 69–90.
Easley, D., Hvidkjaer, S., & O’Hara, M. (2002). Is information risk a determinants of asset returns?
Journal of Finance, 58, 2185–2210.
Eleswarapu, V. R. (1997). Cost of transacting and expected returns in the NASDAQ market. Journal of Finance, 52, 2113–2127.
Fabre, J., & Frino, A. (2004). Commonality in liquidity: Evidence from the Australian Stock Exchange.
Accounting and Finance, 44, 357–368.
Fama, E. F., & Blume, M. E. (1966). Filter rules and stock market trading. Journal of Business, 39, 226–241.
93
Fortin, R. D., Grube, R. C., & Joy, O. M. (1989). Seasonality in NASDAQ dealer spreads. Journal of Financial and Quantitative Analysis, 24, 395–407.
Foster, F. D., & Viswanathan, S. (1995). Can speculative trading explain the volume-volatility relation? Journal of Business and Economic Statistics, 13, 379–396.
Foster, F. D., & Viswanathan, S. (1993). Variations in trading volume, return volatility, and trading costs: Evidence on recent price formation models. Journal of Finance, 48, 187–211.
Friederich, S., & Payne, R. (2002). Dealer liquidity in an auction market: evidence from the London Stock Exchange. Working paper .
Galariotis, E. C., & Giouvris, E. (2007). Liquidity Commonality in the London Stock Exchange. Journal of Business Finance & Accounting, 34, 374–388.
Garbade, K., & Silber, W. (1979). Structural organization of secondary markets: clearing frequency, dealer activity and liquidity risk. Journal of Finance, 34, 577–593.
Gibson, R., & Mougeot, N. (2004). The pricing of systematic liquidity risk: Empirical evidence from the US stock market. Journal of Banking & Finance, 28, 157–178.
Glosten, L., & Milgrom, P. (1985). Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics, 14, 71–100.
Grossman, S., & Miller, M. (1988). Liquidity and Market Structure. Journal of Finance, 43, 617–633.
Harvey, C. (1995). Predictable risk and returns in emerging markets. Review of Financial Studies, 8, 773–816.
94
Hasbrouck, J., & Seppi, D. J. (2001). Common Factor in Prices, Order Flows and Liquidity. Journal of Financial Economics, 59, 383–411.
Hiemstra, C., & Jones, J. D. (1994). Testing for linear and nonlinear Granger causality in the stock price–volume relation. Journal of Finance, 49, 1639–1664.
Ho, T., & Stoll, H. R. (1981). Optimal dealer pricing under transactions and return uncertainty.
Journal of Financial Economics, 9, 47–73.
Huberman, G., & Halka, D. (2001). Systematic Liquidity. Journal of Financial Research, 24, 161–178.
Jacoby, G., Fowler, D. J., & Gottesman, A. A. (2000). The capital asset pricing model and the liquidity effect: A theoretical approach. Journal of Financial Markets, 3, 69–81.
Jain, P. (2002). Institutional design and liquidity on stock exchanges. Working paper, Indiana University .
Karpoff, J. M. (1987). The relation between price changes and trading volume: A survey. Journal of Financial and Quantitative Analysis, 22, 109–126.
Khan, W. A., & Baker, H. K. (1993). Unlisted trading privileges, liquidity and stock returns. Journal of Financial Research, 16, 221–236.
Koski, J. L. (1996). A microstructure analysis of ex-dividend stock price behavior before and after the 1984 and 1986 tax reform acts. Journal of Business, 69, 313–338.
Kyle, A. (1985). Continuous auctions and insider trading. Econometrica, 53, 1315–1335.
Lakonishok, J., & Maberly, E. (1990). The weekend effect: Trading patterns of individual and institutional investors. Journal of Finance, 45, 231–243.
95
Lee, C. M., Mucklow, B., & Ready, M. J. (1993). Spreads, depths and the impact of earnings information: an intraday analysis. Review of Financial Studies, 6, 345–374.
Lee, K. H. (2005). The World Price of Liquidity Risk. Working paper, Ohio State University .
Lesmond, D. A. (2002). The costs of equity trading in emerging markets. Working paper, Tulane University .
Lesmond, D. A., Ogden, J. P., & Trzcinka, C. A. (1999). A New Estimate of Transaction Costs. Review of Financial Studies, 12 (5), 1113–1141.
Levine, R., & Zervos, S. (1998). Stock Markets, Banks, and Economic Growth. American Economic Review, 88, 537–558.
Lin, J., & Myers, S. C. (2006). R² Around the World: New Theory and New Tests. CFA Digest, 36 (3), 45-47.
Lo, A. W., Mamaysky, H., & Wang, J. (2001). Asset prices and trading volume under fixed transactions costs. Working paper, MIT .
Lockwood, L. J., & Linn, S. C. (1990). An examination of stock market return volatility during overnight and intraday periods, 1964-1989. Journal of Finance, 45, 591–601.
Madhavan, A. (2000). Market Microstructure: A Survey. Journal of Financial Markets, 3, 205–258.
Madhavan, A. (1992). Trading mechanisms in securities markets. Journal of Finance, 47, 607–641.
Martinez, M. A., Nieto, B., Rubio, G., & Tapia, M. (2005). Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market. International Review of Economics and Finance, 14, 81–103.
96
Mclnish, T. H., & Wood, R. A. (1992). An analysis of intraday patterns in bid/ask spreads for NYSE stocks. Journal of Finance, 47, 753–764.
Menyah, K., & Paudyal, K. (1996). The determinants and dynamics of bid-ask spreads on the london stock exchange. Journal of Financial Research, 19, 377–394.
O’Hara, M., & Oldfield, G. (1986). The microeconomics of market making. Journal of Financial and Quantitative Analysis, 21, 361–376.
Pastor, L., & Stambaugh, R. F. (2003). Liquidity Risk and Expected Stock Returns. Journal of Political Economy, 111, 642–685.
Pettengill, G. N., & Jordan, B. D. (1988). A comprehensive examination of volume effects and seasonality in daily security returns. Journal of Financial Research, 11, 57–70.
Stoll, H. (1978b). The pricing of security dealer services: an empirical study of NASDAQ stocks.
Journal of Finance, 33, 1153–1172.
Stoll, H. (1978a). The supply of dealer services in securities markets. Journal of Finance, 33, 1133– 1151.
Sweeney, R. J. (1988). Some new filter rule tests: Methods and results. Journal of Financial and Quantitative Analysis, 23, 285–300.
Tinic, S. M. (1972). The Economics of Liquidity Services. Quarterly Journal of Economics, 86, 79–93.
Wei, P. H. (1992). Intraday Variations in Trading Activity, Price Variability, and the Bid-Ask Spread.
97
Zellner, A. (1962). An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias. Journal of the American Statistical Association, 57, 348–368.
98