MARC Record from Library of Congress

LEADER: 02275cam a22003377a 4500
001 2005617195
003 DLC
005 20050421143255.0
007 cr |||||||||||
008 050421s2005 nyu sb f000 0 eng
010 $a 2005617195
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aChordia, Tarun.
245 14 $aThe joint dynamics of liquidity, returns, and volatility across small and large firms$h[electronic resource] /$cTarun Chordia, Asani Sarkar, Avanidhar Subrahmanyam.
260 $a[New York, N.Y.] :$bFederal Reserve Bank of New York,$c[2005]
490 1 $aStaff reports ;$vno. 207
500 $a"April 2005."
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 4/21/2005.
504 $aIncludes bibliographical references.
520 3 $a"This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using data that spans more than 3,000 trading days. We find that volatility and liquidity innovations in one sector are informative in predicting liquidity shifts in the other. Impulse responses indicate the existence of persistent liquidity, return, and volatility spillovers across the small- and large-cap sectors. Lead and lag patterns across small- and large-cap stocks are stronger when spreads in the large-cap sector are wider. Consistent with the notion that private informational trading in large-cap stocks is transmitted to other stocks with a lag, order flows in the large-cap-stock decile predict both transaction-price-based and mid-quote returns of small-cap deciles when large-cap spreads are high"--Federal Reserve Bank of New York web site.
650 0 $aStocks$xPrices.
650 0 $aLiquidity (Economics)
653 $aMarket liquidity;$aMarket efficiency;$aShort-horizon returns
700 1 $aSarkar, Asani.
700 1 $aSubrahmanyam, Avanidhar.
710 2 $aFederal Reserve Bank of New York.
830 0 $aStaff reports (Federal Reserve Bank of New York : Online) ;$vno. 207.
856 40 $uhttp://www.ny.frb.org/research/staff_reports/sr207.html