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The asset pricing effects of UK market liquidity shocks: Evidence from tick data

โœ Scribed by Foran, Jason; Hutchinson, Mark C.; O'Sullivan, Niall

Book ID
121742570
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
419 KB
Volume
32
Category
Article
ISSN
1057-5219

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Using daily settlement prices for a range of real and ยฎnancial futures over the period 6 April 1981ยฑ31 October 1995, this paper considers the extent to which, ex post, asset prices depart from random behaviour and investigates the efยฎciency of the markets within which the prices of the assets are de