Allaudeen Hameed and Wenjin Kang are from the Department of Finance, NUS Business School, National University of Singapore. Lasse Pedersen is acting editor. S. Viswanathan is from the Fuqua School of Business, Duke University. We thank Viral Acharya; Yakov Amihud; Michael Brandt; Markus Brunnermeier; Andrew Ellul; Bob Engle; Doug Foster; Joel Hasbrouck; David Hsieh; Ravi Jagannathan; Frank de Jong; Pete Kyle; Christine Parlour; David Robinson; Ioanid Rosu; Avanidhar Subrahmanyam; Sheridan Titman; two anonymous referees; and participants at the NBER 2005 Microstructure Conference, 2007 American Finance Association Meeting, 2007 European Finance Association Meeting, 2008 First Erasmus Liquidity Conference, Australian National University, Case Western Reserve University, Erasmus University, Hong Kong University, Hong Kong University of Science and Technology, Nanyang Technological University, National University of Singapore, New York University, Peking University, University of Alberta, University of Evry (France), University of Melbourne, and University of Texas (Austin) for their comments. Hameed and Kang acknowledge financial support from the NUS Academic Research Grants and Viswanathan thanks IIMA Bangalore for their hospitality during year 2005 when this paper was started.
Stock Market Declines and Liquidity
Version of Record online: 13 JAN 2010
© 2009 the American Finance Association
The Journal of Finance
Volume 65, Issue 1, pages 257–293, February 2010
How to Cite
HAMEED, A., KANG, W. and VISWANATHAN, S. (2010), Stock Market Declines and Liquidity. The Journal of Finance, 65: 257–293. doi: 10.1111/j.1540-6261.2009.01529.x
- Issue online: 13 JAN 2010
- Version of Record online: 13 JAN 2010
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