This paper shows that over time, expected market illiquidity positively affects ex ante stock
excess return, suggesting that expected stock excess return partly represents an illiquidity …

This paper examines the value effects of improvements in the trading mechanism. Selected
stocks on the Tel Aviv Stock Exchange were transferred gradually from a daily call auction to …

This study proposes a new price impact ratio as an alternative to the widely used Amihud's
(2002) Return-to-Volume ratio. We demonstrate that the new price impact ratio, which is …

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 …

This article compares the bid‐ask spread for New York Stock Exchange (NYSE)‐listed
securities before and after a major third market broker‐dealer, Bernard L. Madoff Investment …

We propose a modified version of the Amihud illiquidity measure, AdjILLIQ, which performs
well in different types of emerging markets. Our AdjILLIQ measure combines the virtues of …

The paper empirically investigates the effects of the Euronext stock exchange merger on
listed firms, ie the merger of stock exchanges in Amsterdam, Brussels, Lisbon and Paris …

We study a sample of Paris Bourse stocks that were transferred between call trading and
continuous trading. Consistent with the results of Amihud et al.(J. Financial Econom. 45 …

This study analyzes the current status and potential of clean energy stocks compared with
the overall stock market index, particularly in terms of market efficiency and information flow …

Whereas conventional wisdom argues that markets shut down during crises, with sellers
struggling to find buyers, we find that markets continue to operate during financial turmoil …