Stock Market Declines and Liquidity

By W. Kang, Allaudeen Hameed, S. Viswanathan. 2010

619 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/432477bd4a82bbb932db51f790c939139ffc2cb8

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Citations in the corpus

Transparency and Liquidity Uncertainty in Crisis Periods (2011, methodology): “, Hameed et al. (2010)], a potential concern with using the 2 R is that our measures of commonality are constrained to be positive.”
Fire‐Sale Spillovers and Systemic Risk (2015, neutral): “However, as noted in Acharya and Pedersen (2005), this is inappropriate when working with longer periods where the relevant markets grow over time (see also Comerton-Forde et al., 2010; Hameed et al., 2010).”
Uncertainty, Market Structure, and Liquidity (2014, neutral): “Chordia, Roll, and Subrahmanyam (2000), Hasbrouck and Seppi (2001), and Huberman and Halka (2001) show that the liquidity of individual stocks co-varies with both the liquidity of the market as a whole and the liquidity of stocks in the same industry.”
Stock Market Liquidity and the Business Cycle (2011, positive): “This is consistent with the findings in Hameed, Kang, and Viswanathan (2010) that negative market returns decrease stock liquidity.”
Market Liquidity in the Financial Crisis: The Role of Liquidity Commonality and Flight-to-Quality (2013, methodology): “First of all, it gives additional support for the existence of liquidity commonality and therefore for a systematic liquidity risk component, as the R(2) statistic indicates that some portion of the individuals stock’s 14 The requirement of at least 15 observations is in line with Hameed et al. (201”
Limit Order Books and Liquidity around Scheduled and Non-Scheduled Announcements: Empirical Evidence from NASDAQ Nordic (2017, positive): “In particular, the more negative (positive) the return at the preevent window is, the more (less) illiquid the order book becomes after an unexpected, non-scheduled announcement, which seems consistent with the study of Hameed et al. (2010), who document that negative market returns decrease liquidi”
The effect of information quality on liquidity risk (2011, background): “Furthermore, the prior literature has documented that liquidity risk tends to be more pronounced during extreme negative market conditions (Brunnermeier and Pedersen, 2009; Hameed et al., 2010).”
Measuring systemic risk in the European banking sector: a copula CoVaR approach (2017, background): “Brunnermeier (2009); Adrian and Shin (2010); Brunnermeier and Pedersen (2009); Hameed et al. (2010), and references therein).”
Institutional Trading and Stock Resiliency: Evidence from the 2007-2009 Financial Crisis (2013, positive): “These findings are consistent with Hameed, Kang, and Viswanathan (2010), who show that bid-ask spreads increase more for high-volatility stocks following negative market returns.”