Market Liquidity Theory, Evidence, and Policy
Market Liquidity Theory, Evidence, and Policy
- ISBN 13:
9780197542064
- ISBN 10:
0197542069
- Edition: 2nd
- Format: Hardcover
- Copyright: 12/13/2023
- Publisher: Oxford University Press
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Summary
Market Liquidity takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. Drawing on the analytical tools and empirical methods from a well-defined field within financial economics--market microstructure--the authors confront many striking phenomena in securities markets, from liquidity changes over time to temporary deviations from asset fair values.
In the fully revised second edition of Market Liquidity, Foucault, Pagano, and Röell bring readers up to speed on recent changes in market structures and financial regulation. New chapters cover the relationship between financial instability and market liquidity, as well as the role and effects of algorithmic and high-frequency trading. Including new illustrative examples of market malfunction and novel insights from recent research on security markets, Market Liquidity provides a comprehensive and authoritative account on market microstructure.