Stock Market Liquidity

Foreword by Tarun Chordia.
About the Editors.
About the Contributors.
Part One. Liquidity Across Markets and Exchanges.
Chapter 1. Order Imbalance, Liquidity, and Market Returns.
Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam.
Chapter 2. Liquidity Provision in the Hong Kong Warrants Market.
Evidence from Equity, Derivative, and Basket Warrants.
Paul Brockman and Dennis Y. Chung.
Chapter 3. Liquidity Issues in the Money Markets.
Mark D. Griffiths, Valdimir Kotomin and Drew B. Winters.
Chapter 4. Liquidity and the Retail Investor: The Australian Market for Retail CDOs.
Paul U. Ali.
Chapter 5. Short-Term Interest Rates Volatility and Liquidity Risk.
Cecilia Caglio, Giampaolo Gabbi and Giovanna Zanotti.
Chapter 6. Intraday Liquidity in the Istanbul Exchange.
Cumhur Ekinci.
Chapter 7. International portfolio allocations during the Asian financial crisis.
Evidence from lace U.S. closed-end funds.
Kalok Chan, Kee-Hong Bae and Wai-Ming Fong.
Part Two. Market Design, Corporate Events and Liquidity.
Chapter 8. Evidence on the Speed of Convergence to Market Efficiency.
Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam.
Chapter 9. Does Market Structure Matter? Trading Costs and Return Volatility Around Exchange Listings.
Hendrik Bessembinder and Subhrendu Rath.
Chapter 10. Tick Size, Market Structure and Trading Costs
William G. Christie, Jeffrey H. Harris and Eugene Kandel.
Chapter 11. Intraday Market Dynamics Around Public Information Arrivals.
Angelo Ranaldo.
Chapter 12. Returns, Volatility and Liquidity on the ASX.
Undisclosed vs. Disclosed Limit Orders.
David E. Allen, Alexander Shu-Sing Cheng, Carole Comerton-Forde and Joey Wenling Yang.
Chapter 13. Earnings Surprise and Stealth Trading.
Sugato Chakravarty, Chiraphol N. Chiyachantana, and Christine Jiang.
Chapter 14. The Impact of Inter-Dealer Trading on Market Liquidity under Asymmetric Information.
Kees G. Koedijk, Mathijs A. van Dijk and Irma W. van Leeuwen.
Chapter

François-Serge Lhabitant, PhD, is the Chief Investment Officer at Kedge Capital. He was formerly a member of senior management at Union Bancaire Privée in Geneva, where he was in charge of quantitative risk management and, subsequently, of the quantitative research for alternative portfolios. Lhabitant is currently a Professor of Finance at the University of Lausanne (Switzerland) and at the EDHEC Business School (France). He is also the coeditor or author of several Wiley titles, including Commodity Trading Advisors, Hedge Funds: Quantitative Insights, Handbook of Hedge Funds, and Hedge Funds: Myths and Limits.

Greg N. Gregoriou, PhD, is Professor of Finance in the School of Business and Economics at the State University of New York at Plattsburgh. He is a hedge fund editor for the peer-reviewed scientific publication Journal of Derivatives & Hedge Funds (London) and an editorial board member for the Journal of Wealth Management and the Journal of Risk Management in Financial Institutions. Gregoriou has authored over fifty articles on hedge funds and managed futures in various peer-reviewed publications, and is coeditor or coauthor of several Wiley titles, including Commodity Trading Advisors, Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation, and Evaluating Hedge Fund and CTA Performance.