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Liquidity and Order Flow in the Portuguese Stock Market

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  • António R. Antunes
  • Paula Antão
  • Nuno C. Martins

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Suggested Citation

  • António R. Antunes & Paula Antão & Nuno C. Martins, 2004. "Liquidity and Order Flow in the Portuguese Stock Market," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    • Handle: RePEc:ptu:bdpart:b200409
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    File URL: https://www.bportugal.pt/sites/default/files/anexos/papers/ab200409_e.pdf
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    References listed on IDEAS

    as
    1. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1996. "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns," Journal of Financial Economics, Elsevier, vol. 41(3), pages 441-464, July.
    2. Al-Suhaibani, Mohammad & Kryzanowski, Lawrence, 2000. "An exploratory analysis of the order book, and order flow and execution on the Saudi stock market," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1323-1357, August.
    3. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
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    Cited by:

    1. Albuquerque, Rui & Vega, Clara, 2006. "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers 5598, C.E.P.R. Discussion Papers.

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