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Showing 1 to 2 of 2 for “"Large one-day price changes"”.
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Systematic Liquidity Risk and Stock Price Reaction to Large One-Day Price Changes: Evidence from London Stock Exchange.
… systematic liquidity risk and short-term stock price reaction to large one-day price changes. We study 642 constituents of the FTSALL share index over the period from 1st July 1992 to 29th June 2007. We show that the US evidence of a priced systematic liquidity risk of Pastor and Stambaugh …
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International Financial Markets
<p>This dissertation consists of two essays: one looks at the cross-country variations in volume-price variability relationship and cultural and other country factors, and the other looks at cause and effects of large one-day price changes in commodity futures.</p> <p>The first essay presented in …