Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data Article

Bhattacharya, Mousumi, Bhattacharya, Sharad Nath, Jha, Sumit Kumar. (2022). Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data . 47(2), 251-272. 10.1177/03128962211010243

cited authors

  • Bhattacharya, Mousumi; Bhattacharya, Sharad Nath; Jha, Sumit Kumar

sustainable development goals

authors

publication date

  • May 1, 2022

keywords

  • Asset pricing
  • Business
  • Business & Economics
  • CRISIS
  • CROSS-SECTION
  • INFORMATION
  • LIQUIDITY RISK
  • MICROSTRUCTURE
  • MOMENTUM
  • Management
  • PREMIUM
  • RETURNS
  • SPREADS
  • Social Sciences
  • illiquidity
  • liquidity
  • quantile regression
  • seasonality
  • stock market

Digital Object Identifier (DOI)

publisher

  • SAGE PUBLICATIONS LTD

start page

  • 251

end page

  • 272

volume

  • 47

issue

  • 2