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Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing (Wiley Finance) Hardcover – January 9, 2008

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Editorial Reviews

From the Inside Flap

Liquidity is an elusive concept that can best be defined as a change in observed price corresponding to a change in observed volume. While a perfectly liquid market is impossible to achieve, an intuitive understanding of what drives market liquidity, both from an academic and a practitioner standpoint, is crucial—due to the increasing fluctuations in price and volume observed in major financial markets and the increasing influence that major financial markets have on one another.

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 FranÇois-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.

The various contributors to this comprehensive collection study liquidity along many different lines and answer important questions each step of the way. Throughout the three parts of this reliable resource, you'll become familiar with some of the most essential elements of this dynamic field, including:

  • How does liquidity vary across markets (stocks, bonds, money market instruments, and derivatives) and across different international exchanges?

  • How does market design impact liquidity and what effect do corporate events have on liquidity?

  • What impact does the level of liquidity as well as liquidity risk have on asset prices?

  • And much more

Recent research in market microstructure, based on high-frequency data, has produced quality papers by some well-respected financial minds. Stock Market Liquidity contains a representative sample of this research, including some classic papers on which the whole discipline of market microstructure is based. Filled with in-depth insights and expert advice, this detailed guide is a must-read for anyone requiring a better view, assessment, and comprehension of market liquidity and how it may affect their investment portfolios.

From the Back Cover

Praise for Stock Market Liquidity

"This edited book contains new research of the highest academic quality."
—Professor Richard Roll, UCLA Anderson School,

Japan Alumni Professor of International Finance

"Asset pricing in imperfect markets has now developed into a sub-field of finance by itself. This book, by focusing on some of the leading papers linking liquidity to asset prices, serves as a useful contribution to this development. The book should be valuable to PhD students as well as to academic researchers."
—Dr. Viral V. Acharya, Associate Professor of Finance,

London Business School

"Stock Market Liquidity brings together twenty-three papers spanning a wide spectrum of issues on the common theme of liquidity. The collection includes a number of classics, if that term can be applied to such a recent area of study, and many new cutting-edge studies. It takes a global point of view, including a great deal of evidence from around the world. It will benefit anyone interested in the scholarly analysis of liquidity—one of the central concepts in market microstructure."
—Craig W. Holden, Associate Professor of Finance and Max Barney

Faculty Fellow, Kelley School of Business, Indiana University


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