The design of trading algorithms requires sophisticated mathematical models backed up by
reliable data. In this textbook, the authors develop models for algorithmic trading in contexts …

Given the cross-sectional and temporal variation in their liquidity, emerging equity markets
provide an ideal setting to examine the impact of liquidity on expected returns. Our main …

We review the theories on how liquidity affects the required returns of capital assets and the
empirical studies that test these theories. The theory predicts that both the level of liquidity …

This study aims to explore and examine the liquidity risk that Islamic banks are exposed to in
a comparison with conventional and hybrid banks in the case of 145 commercial banks for …

This paper reviews research on the effects of different measures of liquidity on asset prices.
The foundation is the pricing of liquidity as an asset characteristic that began with the …

The paper extends the evidence on factors determining stock prices on emerging markets by
focusing on the most advanced stock market in Central and Eastern Europe, the Polish …

Equity markets are increasingly seen as important sources of investment funds in many
emerging economies. Furthermore, many countries see the development of such markets as …

The Chinese stock market is an order-driven market and hence its characteristics are
structurally different from quote-driven markets. There are no studies that consider the role of …

The goal of this paper is to examine the impact of liquidity on returns on the Shanghai stock
exchange (SHSE) and the Shenzhen stock exchange (SZSE). We proxy liquidity with the …

In this paper we investigate whether and how different oil price shocks affect the stock
market liquidity in China. Our empirical results show that stock market liquidity only …