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Market microstructure, the study of financial market frictions at a micro level, helps us refine our understanding of what may be driving market liquidity and provides tools to investors of all stripes to profit from this knowledge. In Stock Market Liquidity, editors and financial experts Francois-Serge Lhabitant and Greg Gregoriou bring together the best minds in the business to address this issue and discuss their thoughts on other innovative topics associated with liquidity in today’s markets.

About the Editors.

About the Contributors.

Part One. Liquidity Across Markets and Exchanges.

　Chapter 1. Order Imbalance, Liquidity, and Market Returns.

　Chapter 2. Liquidity Provision in the Hong Kong Warrants Market.

　Chapter 3. Liquidity Issues in the Money Markets.

　Chapter 4. Liquidity and the Retail Investor

　Chapter 5. Short–Term Interest Rates Volatility and Liquidity Risk.

　Chapter 6. Intraday Liquidity in the Istanbul Exchange.

　Chapter 7. International portfolio allocations during the Asian financial crisis.

Part Two. Market Design, Corporate Events and Liquidity.

　Chapter 8. Evidence on the Speed of Convergence to Market Efficiency.

　Chapter 9. Does Market Structure Matter?

　Chapter 10. Tick Size, Market Structure and Trading Costs

　Chapter 11. Intraday Market Dynamics Around Public Information Arrivals.

　Chapter 12. Returns, Volatility and Liquidity on the ASX.

　Chapter 13. Earnings Surprise and Stealth Trading.

　Chapter 14. The Impact of Inter–Dealer Trading on Market Liquidity under Asymmetric Information.

　Chapter 15. Trading Technology and Stock Market Liquidity.

　Chapter 16. Increasing the Liquidity of Shares in Chinese Companies.

Part Three. Asset Pricing, Liquidity Risk, Merger Arbitrage, and Valuation.

　Chapter 17. Stealth Trading.

　Chapter 18. Commonality in Liquidity.

　Chapter 19. On the Dynamics of Market Illiquidity.

　Chapter 20. Liquidity and Returns.

　Chapter 21. The Multiple Dimensions of Market–Wide Liquidity.

　Chapter 22. Managing Illiquidity.

　Chapter 23. Liquidity Asset Pricing Model in a Segmented Equity Market

Notes.

Index.

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作者简介：FranÇOis-Serge Lhabitant, PhD, is the Chief Investment Officer at Kedge Capital. He was formerly a member of senior management at Union Bancaire Privée in Geneva, where he was in charge of quantitative risk management and, subsequently, of the quantitative research for alternative portfolios. Lhabitant is currently a Professor of Finance at the University of Lausanne (Switzerland) and at the EDHEC Business School (France). He is also the coeditor or author of several Wiley titles, including Commodity Trading Advisors, Hedge Funds: Quantitative Insights, Handbook of Hedge Funds, and Hedge Funds: Myths and Limits.

书籍介绍

Market microstructure, the study of financial market frictions at a micro level, helps us refine our understanding of what may be driving market liquidity and provides tools to investors of all stripes to profit from this knowledge. In Stock Market Liquidity, editors and financial experts Francois-Serge Lhabitant and Greg Gregoriou bring together the best minds in the business to address this issue and discuss their thoughts on other innovative topics associated with liquidity in today’s markets.