The authors would like to thank Dr Peter Prowse for his comments and Dr Panagiotis Andrikopoulos and Mr Ali Ferda Arikan for their research support. The paper has also benefited immensely from the comments of an anonymous referee and the editor Prof. Robert Faff.
Systematic liquidity risk and stock price reaction to shocks
Article first published online: 9 FEB 2011
© 2011 The Authors. Accounting and Finance © 2011 AFAANZ
Accounting & Finance
Volume 52, Issue 2, pages 467–493, June 2012
How to Cite
Mazouz, K., Alrabadi, D. W. H. and Yin, S. (2012), Systematic liquidity risk and stock price reaction to shocks. Accounting & Finance, 52: 467–493. doi: 10.1111/j.1467-629X.2011.00403.x
- Issue published online: 19 APR 2012
- Article first published online: 9 FEB 2011
- Received 20 May 2009; accepted 16 January 2011 by Robert Faff (Editor).
This article has been cited by:
- 1Commodity futures price behaviour following large one-day price changes, Applied Financial Economics, 2014, 24, 14, 939, ,
- 2A 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, 2013, 26, 1, , , ,