tightnessdepth resiliency BIS Market Liquidity: Research Findings and Selected Policy Implications BISWorld Wide Web http://www.bis.org E-mail: jun.muranaga@boj.or.jp
Muranaga and Shimizu O Hara
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information contents
IMES Discussion Paper B. N.D. M. Engle, R. F., and J. Lange, Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market, NBER Working Paper No. 6129, 1997. Fletcher, The Role of Information and the Time between Trades: An Empirical Investigation, Journal of Financial Research, 18 (2), 1995. Hausman, J. A., A. W. Lo, and A. C. MacKinlay, An Ordered Probit Analysis of Transaction Stock Prices, Journal of Financial Economics, 31 (3), 1992. Kyle, A. S., Continuous Auctions and Insider Trading, Econometrica, 53 (6), 1985. Lehman, B. N., and D. M. Modest, Trading and Liquidity on the Tokyo Stock Exchange: A Bird s Eye View, Journal of Finance, July 1994. Muranaga, J., and T. Shimizu, Market Microstructure and Market Liquidity, IMES Discussion Paper No. 99-E-14, Institute for Monetary and Economic Studies, Bank of Japan, 1999. O Hara, M., Market Microstructure Theory, Blackwell Publishers Inc., 1995.