An Empirical Analysis of Stock and Bond Market Liquidity

By Tarun Chordia, Asani Sarkar, Avanidhar Subrahmanyam. 2005

896 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6e17c5e91bce44147304f0db812aef6aa7b414aa

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Citations in the corpus

Evolution of international stock and bond market integration: Influence of the European Monetary Union (2006, neutral): “As investors substitute safe assets for their risky ones, bond and stock market returns become negatively correlated (see Chordia et al., 2005, Connolly et al., 2005 and Hartmann et al., 2004).”
Illiquidity Contagion and Liquidity Crashes (2014, neutral): “Evidence of liquidity comovements and the sources of these comovements are provided by Chordia, Roll, and Subrahmanyam (2000), Hasbrouck and Seppi (2001), Huberman and Halka (2001), Coughenour and Saad (2004), Kamara, Lou, and Sadka (2008), Korajczyk and Sadka (2008), Comerton-Forde et al. (2010), K”
Market liquidity and funding liquidity (2009, neutral): “Our results are further supported by the empirical findings in Coughenour and Saad (2004) who show that the comovement in liquidity among stocks handled by the same NYSE specilist firm is higher than for other stocks and its magnitude is increasing with the risk of providing liquidity.”
Time Variation in Liquidity: The Role of Market-Maker Inventories and Revenues (2010, neutral): “In terms of economic magnitude, specification (2) in Table II shows that if inventory-related revenues are one standard deviation greater (equal to $7.7 million from Table I), the aggregate effective spread measure is 7.7 * -44.94 / 1000 = 0.35 basis points narrower on average the next day.”
What Happened to the Quants in August 2007?: Evidence from Factors and Transactions Data (2010, positive): “Because of evidence that the impact of trade size on price adjustment is concave (see, for example, Hasbrouck, 1991, Dufour and Engle, 2000, and Bouchaud, Farmer, and Lillo, 2008), we use the natural logarithm of trade size in our analysis. Days with zero volume were dropped from the sample.(27) The”
Flights to Safety (2014, background): “Chordia et al. (2005) nd that equity market liquidity deteriorates together with that in the Treasury market during crisis periods; Naes et al.”
Retail Investor Attention and Stock Liquidity (2015, neutral): “To further strengthen the causal inferences of the results, we also employ the Granger test as additional robustness checks by following the studies of the determinants of stock liquidity (e.g. Roulstone, 2003; Chordia et al., 2005; and Goyenko et al., 2009).”
Stock Market Declines and Liquidity (2010, neutral): “Our results comport well with the seasonality in liquidity documented in Chordia et al. (2005).”
Illiquidity Premia in the Equity Options Market (2018, background): “6For studies on stock market illiquidity that use relative bid-ask spreads, see for instance Hasbrouck and Seppi (2001), Huberman and Halka (2001), Chordia, Roll, and Subrahmanyam (2000, 2001), and Chordia, Sarkar, and Subrahmanyam (2005).”
Bond Liquidity Premia (2012, background): “(2005), who document a similar link for the non-default component of corporate spreads and, finally, Chordia et al. (2005), who document that money flows and monetary surprises affect measures of bond market liquidity.”