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‘ Dot - Com Mania : The Rise and Fall of Internet Stock Prices ’
- Publisher
- Wiley
- Copyright
- © 2008 The Authors. Journal compilation © International Review of Finance Ltd. 2008
- ISSN
- 1369-412X
- eISSN
- 1468-2443
- DOI
- 10.1111/j.1468-2443.2008.00080.x
- Publisher site
- See Article on Publisher Site
Abstract
ABSTRACT Imbedded in liquidity measures is an implicit assumption of symmetry. Although market microstructure models rely on this assumption, there may be directional pressure that creates differences in buy and sell liquidity. This paper develops methods of assessing asymmetric liquidity and empirically examines a sample of newly listed Internet and technology stocks that are hypothesized to be especially subject to asymmetry due to the rapid inflation and deflation of the Internet bubble. Evidence of asymmetric liquidity is observed and the level of asymmetry is found to change over time. These findings suggest that the assumption of symmetry is inconsistent with more precisely constructed market liquidity measures.
Journal
International Review of Finance – Wiley
Published: Sep 1, 2008