Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing (Wiley Finance)

by François-Serge Lhabitant, Greg N. Gregoriou

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Market microstructure, the study of financial market frictions at a micro level, helps us refine our understanding of what may be driving market liquidity and provides tools to investors of all stripes to profit from this knowledge. In Stock Market Liquidity, editors and financial experts Francois-Serge Lhabitant and Greg Gregoriou bring together the best minds in the business to address this issue and discuss their thoughts on other innovative topics associated with liquidity in today’s markets.

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Average Customer Review: 4 out of 5 stars

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4 out of 5 stars

diverse, specialised analyses, 2008-04-23
For anyone who has tried to buy or sell substantial shares of a company on the open market, liquidity is a key issue. Low liquidity means that your actions drive the price away from you. This book attempts to understand liquidity in various markets. By measuring such quantities as changes in the bid-ask spread, volatility and volume.

Most of the discussion centers on stock markets. The US in particular, since its markets are the deepest. Some chapters look at quite specialised issues. One considers stocks that moved from Nasdaq to NYSE, and how their trading costs and volatilities altered. Another chapter scrutinises what happens when public information is disclosed. Interesting dynamics can happen to stocks on that same day of disclosure.

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