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Systematic liquidity risk and stock price reaction to shocks

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  • Khelifa Mazouz
  • Dima W. H. Alrabadi
  • Shuxing Yin

Abstract

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Suggested Citation

  • Khelifa Mazouz & Dima W. H. Alrabadi & Shuxing Yin, 2012. "Systematic liquidity risk and stock price reaction to shocks," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(2), pages 467-493, June.
    • Handle: RePEc:bla:acctfi:v:52:y:2012:i:2:p:467-493
    DOI: j.1467-629X.2011.00403.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-629X.2011.00403.x
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    Citations

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    Cited by:

    1. Benson, Karen & Faff, Robert & Smith, Tom, 2015. "Injecting liquidity into liquidity research," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 533-540.
    2. Nurul Hidayah & Wahyudin Zarkasyi, 2017. "The Effect of Human Resources Management Competency and the Role of Culture on Accrual Accounting Implementation Effectiveness and the Impact on Quality of Accounting Information," European Research Studies Journal, European Research Studies Journal, vol. 0(4B), pages 183-199.
    3. Amini, Shima & Gebka, Bartosz & Hudson, Robert & Keasey, Kevin, 2013. "A review of the international literature on the short term predictability of stock prices conditional on large prior price changes: Microstructure, behavioral and risk related explanations," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 1-17.
    4. Mazouz, Khelifa & Wang, Jian, 2014. "Are commodity futures markets short-term efficient? An empirical investigation," 88th Annual Conference, April 9-11, 2014, AgroParisTech, Paris, France 169763, Agricultural Economics Society.
    5. Júlio Lobão & Maria Eva Jerke, 2020. "Short-term Overreaction in American Depository Receipts," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(4), pages 423-435, December.
    6. Pudji Astuty, 2017. "The Influence of Fundamental Factors and Systematic Risk to Stock Prices on Companies Listed in the Indonesian Stock Exchange," European Research Studies Journal, European Research Studies Journal, vol. 0(4A), pages 230-240.

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