LIQUIDITY, VOLATILITY AND TRANSPARENCY

Peter Joakim Westerholm

Chapter 16 in Lecture Notes in Market Microstructure and Trading, 2019, pp 231-248 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:AssignmentLiquidityImmediacy: Example: Best Execution Performance of an Online BrokerAn Event Study of a Liquidity Changing EventEvent Study MethodologyDifference in Difference DID MethodologyPoints to RememberVolatilityForecasting Volatility: GARCH (1,1)Points to RememberReading ArticleTransparencyReading Article (1)Reading Article (2)MethodologyImplications — Reading Article (3)Additional Reading (3) Also on BBThe Correct Way to Calculate Spreads

Keywords: Trading; Securities Markets; Priced Discovery; Liquidity; Microstructure; Investments (search for similar items in EconPapers)
JEL-codes: F10 (search for similar items in EconPapers)
Date: 2019
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