Common market makers and commonality in liquidity

By Jay F. Coughenour, Mohsen Saad. 2004

279 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6e0fdd16bd36cd823dd8982b02e3ca6bd646c5a2

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Citations in the corpus

Commonality in Liquidity: A Demand-Side Explanation (2016, unknown): “4 See, for example, Kraus and Stoll (1972), Lakonishok, Shleifer and Vishny (1992), Grinblatt, Titman and Wermers (1995), Sias and Starks (1997), Wermers (1999), Sias (2004), Coval and Stafford (2007), Anton and Polk (2010), and Greenwood and Thesmar (2011), To test this alternative”
Hedge Fund Contagion and Liquidity Shocks (2010, background): “…and Zhang (2008) document an increase in co-movement in CDS spreads during the GM/Ford downgrade period when dealers faced liquidity shocks, and Coughenour and Saad (2004) show that commonality in liquidity across stocks is higher for stocks handled by NYSE specialist firms that face…”
Understanding Commonality in Liquidity Around the World (2011, methodology): “Following prior studies (e.g., Chordia, Roll, and Subrahmanyam, 2000; Coughenour and Saad, 2004), we exclude stock i in our computation of the innovations in market liquidity (i.”
Stock Market Liquidity and the Business Cycle (2011, unknown): “Kaul and Kayacetin (2009) and Evans and Lyons (2008) argue that the extra information contained in order flow data can be explained by aggregate order flows bringing together dispersed information from heterogeneously informed investors. A number of other papers are related to our study. Fujimoto (2”
Risk and Return in High-Frequency Trading (2018, unknown): “The non-HFT market maker category captures traditional market makers and liquidity providers, such as those examined by Hasbrouck and Sofianos (1993) and Coughenour and Saad (2004). Specifically, Non-HFT market makers are non-HFT market participants who have a (1)”
Internationalization and Stock Market Liquidity (2005, unknown): “For example, internationalization might allow corporations to alleviate agency and informational asymmetry problems by “bonding” themselves into markets with greater disclosure requirements and stronger shareholder protection systems (Doidge et al., 2004; Gozzi et al., 2005; Reese and Weisbach, 2002”
Market liquidity and funding liquidity (2009, background): “Coughenour and Saad (2004) provide further evidence of the funding-liquidity mechanism by showing that the comovement in liquidity among stocks handled by the same NYSE specialist firm is higher than for other stocks, commonality is higher for specialists with less capital, and decreases after a me”
Stock Market Declines and Liquidity (2010, unknown): “Naik and Yadav (2003) and Coughenour and Saad (2004) consider the effect of capital constraints on liquidity commonality.”
Commonality in Liquidity: A Global Perspective (2009, unknown): “to the specialist market structure (Coughenour and Saad (2004)), further research is”
The world price of liquidity risk (2011, unknown): “• β i is a liquidity risk arising from the comovement of individual stock liquidity with market liquidity (Chordia, Roll, and Subrahmanyam (2000), Hasbrouck and Seppi (2001), Huberman and Halka (2001), Coughenour and Saad (2004)).”
Market Maker Inventories and Stock Prices (2006, unknown): “A second line of research is to deepen our understanding of the commonality of liquidity (Chordia, Roll, and Subrahmanyam (2000), Coughenour and Saad (2004), and others) and its relationship to commonality in stock returns (Hasbrouck and Seppi (2001)).”
Option Market Liquidity: Commonality and Other Characteristics (2010, unknown): “For instance, Coughenour and Saad (2004) demonstrated that the covariation in liquidity is induced on the supply side since each NYSE specialist firm provides liquidity for many stocks and the firm’s specialists share the same capital pool and relevant information; Brockman and Chung (2002), Fabre…”
Limited Attention and the Allocation of Effort in Securities Trading (2008, background): “Coughenour and Deli (2002) and Coughenour and Saad (2004) find that certain specialist firm characteristics may partially explain differences in transaction costs across specialist firms and covariation in transaction costs across stocks, respectively.”