Matches in SemOpenAlex for { <https://semopenalex.org/work/W2155128744> ?p ?o ?g. }
Showing items 1 to 48 of
48
with 100 items per page.
- W2155128744 abstract "The liquidity of exchange traded funds is of utmost importance for regulators, investors and providers. However, the study of liquidity is still in its infancy. In this work, we show some stylised facts of liquidity statistics (daily/intraday spread, trading volume, etc.). We also propose a new liquidity measure combining these statistics. In this case, liquidity is a power function of the spread where the parameters are determined by actual trading volumes. We also study the relationship between the liquidity of ETFs and the liquidity of the underlying index. We show that they are correlated on a daily basis, but not in terms of intraday frequency. We also define a measure of liquidity improvement and apply it to the EURO STOXX 50 index." @default.
- W2155128744 created "2016-06-24" @default.
- W2155128744 creator A5000201982 @default.
- W2155128744 creator A5024649819 @default.
- W2155128744 date "2014-01-01" @default.
- W2155128744 modified "2023-10-16" @default.
- W2155128744 title "Measuring the Liquidity of ETFs: An Application to the European Market" @default.
- W2155128744 cites W2120139936 @default.
- W2155128744 cites W2141094870 @default.
- W2155128744 cites W2164392632 @default.
- W2155128744 cites W3123058551 @default.
- W2155128744 doi "https://doi.org/10.2139/ssrn.2404313" @default.
- W2155128744 hasPublicationYear "2014" @default.
- W2155128744 type Work @default.
- W2155128744 sameAs 2155128744 @default.
- W2155128744 citedByCount "2" @default.
- W2155128744 countsByYear W21551287442014 @default.
- W2155128744 countsByYear W21551287442020 @default.
- W2155128744 crossrefType "journal-article" @default.
- W2155128744 hasAuthorship W2155128744A5000201982 @default.
- W2155128744 hasAuthorship W2155128744A5024649819 @default.
- W2155128744 hasBestOaLocation W21551287442 @default.
- W2155128744 hasConcept C10138342 @default.
- W2155128744 hasConcept C144133560 @default.
- W2155128744 hasConcept C183582576 @default.
- W2155128744 hasConcept C73283319 @default.
- W2155128744 hasConceptScore W2155128744C10138342 @default.
- W2155128744 hasConceptScore W2155128744C144133560 @default.
- W2155128744 hasConceptScore W2155128744C183582576 @default.
- W2155128744 hasConceptScore W2155128744C73283319 @default.
- W2155128744 hasLocation W21551287441 @default.
- W2155128744 hasLocation W21551287442 @default.
- W2155128744 hasOpenAccess W2155128744 @default.
- W2155128744 hasPrimaryLocation W21551287441 @default.
- W2155128744 hasRelatedWork W1535772069 @default.
- W2155128744 hasRelatedWork W179936000 @default.
- W2155128744 hasRelatedWork W2105215540 @default.
- W2155128744 hasRelatedWork W2190216250 @default.
- W2155128744 hasRelatedWork W23490642 @default.
- W2155128744 hasRelatedWork W2963985270 @default.
- W2155128744 hasRelatedWork W3081352081 @default.
- W2155128744 hasRelatedWork W3087494591 @default.
- W2155128744 hasRelatedWork W3095628953 @default.
- W2155128744 hasRelatedWork W3174739685 @default.
- W2155128744 isParatext "false" @default.
- W2155128744 isRetracted "false" @default.
- W2155128744 magId "2155128744" @default.
- W2155128744 workType "article" @default.