This paper provides a thorough review of the liquidity measures that are used in the
empirical literature to measure liquidity. A wide range of papers have emphasized its role …

Since Toronto became the first stock exchange to computerize its execution system in 1977,
electronic trading has been instituted in Tokyo (1982), Paris (1986), Australia (1990) …

The proliferation of electronic limit order books operating without dealers raises questions
regarding the need for intermediaries with affirmative obligations to maintain markets. We …

This article examines the relationship, commonly assumed by the literature, between credit
rating and liquidity. Analyzing sixteen proxies of (il) liquidity encompassed in five …

In this article, the author examines the effect of price limits on tests for stock market efficiency
hypothesis. The price limits have the potential of biasing the stock market efficiency …

Along the lines of Amihud and Mendelson (1987a, 1989, 1991), this study investigates the
unique trading mechanism of the Korea Stock Exchange (KSE) and its intraday behavior of …

The purpose of this paper is to investigate the effect of Taiwan's stock stabilization fund on
the stock market. Stabilization funds have long been used by many countries to achieve the …

We examine stock repurchases in Korea. Korea allows unique mechanisms, stock
stabilization funds. Our results indicate that these funds are treated by the market as a weak …

The probability of execution in electronic call markets is dependent on the matching
algorithm used and the characteristics of underlying order flow. A high probability of …

This dissertation is built around three separate papers that research several aspects of stock
market liquidity. All three papers use the innovative XLM (Exchange Liquidity Measure) data …