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Vanessa Neumann Sulzbach,João Mergulhão,Pedro L. Valls Pereira
Pág. 7 - 43
The microstructure approach to exchange rates have received special attention in recent years, particularly because it highlights the existence of asymmetric information in this market. The Brazilian future FX market data provided from BM&F was used to t...
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Flavia Barsotti and Simona Sanfelici
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Mohammad Tayeh
Pág. 1344 - 1353
We offer hitherto unpublished evidence of the impact of different trading systems on commonality in liquidity from an emerging market i.e. The Amman Stock Exchange. We argue that the degree of responsiveness of individual stock's liquidity to changes in ...
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Tarek BOUCHADDEKH,Abdelfatteh Bouri,Mohamed Karim KEFI
Pág. 657 - 668
For many decades, asset-pricing theory was constructed on absence of frictions hypothesis. However, since pioneers? works of Chen et al. (1975) and Amihud and Mendelson (1986) in microstructure area, systematic violations of this assumption were observed...
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Emna Rouetbi,Chokri Mamoghli
Pág. 920 - 929
In recent years, researches on microstructure have experienced considerable extensions. A major question that still has no precise answer is about measuring liquidity. Several measures were proposed in the literature in order to assess and understand thi...
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