Journal ArticleDOI
The Impact of Derivative Trading on the Liquidity of Stocks
M S Narasimhan,Shalu Kalra +1 more
- Vol. 39, Iss: 3, pp 51-66
TLDR
In this article, the authors proposed that liquidity is an important factor for smooth trading for all assets including equities traded in the stock markets and that stock exchanges enable buyers and sellers to come together for transaction and in...Abstract:
Liquidity is an important factor for smooth trading for all assets including equities traded in the stock markets. Stock exchanges enable buyers and sellers to come together for transaction and in ...read more
Citations
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Journal ArticleDOI
Estimating the cost of equity for the regulated energy and infrastructure sectors in India
TL;DR: In this paper , the authors apply three asset pricing models (CAPM, Fama-French three and five-factor models) to estimate the cost of equity for the Indian energy and infrastructure sectors.
Journal ArticleDOI
The Impact of Futures Contracts On Risk and Returns of the VN30 Index in Vietnam
TL;DR: In this article, the effects of derivatives of the Vietnam Ho Chi Minh (VN) Stock Index and VN30 futures contract for the underlying stock markets were analyzed using the Exponential Generalized Autoregressive Conditional Heteroscedastic (EGARCH) model.
Journal ArticleDOI
Derivatives use and the business lending efficiency of African banks
TL;DR: The authors studied a panel of 147 banks from 14 African countries between 2011 and 2017, using two competing non-parametric and parametric approaches for efficiency analysis and found that despite conflicting bank efficiency interpretations, both investigations corroborate the existence of widespread inefficiency of markets in Africa, which is likely strengthened by harmful fragmentation in the continent's financial/capital markets, market illiquidity, a lack of transparency, and informational inefficiency.
References
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Journal ArticleDOI
Illiquidity and stock returns: cross-section and time-series effects $
TL;DR: In this article, the authors show that expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock ex ante excess return partly represents an illiquid price premium, which complements the cross-sectional positive return-illiquidity relationship.
Journal ArticleDOI
Asset pricing and the bid-ask spread
TL;DR: In this article, the effect of the bid-ask spread on asset pricing was studied and it was shown that market-observed expexted return is an increasing and concave function of the spread.
Journal ArticleDOI
Liquidity Risk and Expected Stock Returns
Lubos Pastor,Robert F. Stambaugh +1 more
TL;DR: In this article, the authors investigated whether marketwide liquidity is a state variable important for asset pricing and found that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity.
Book ChapterDOI
Market Liquidity: Illiquidity and Stock Returns Cross-Section and Time-Series Effects＊
TL;DR: In this paper, the effects of stock illiquidity on stock return have been investigated and it was shown that expected market illiquidities positively affects ex ante stock excess return (usually called risk premium) over time.
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