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Liquidité du marché (Measurements ((Diy = Number of days with registered…
Liquidité du marché
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Theory
Liquidity spiral
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Margins spiral
Following a decrease in liquidity, margin increase, reducing liquidity and increasing margin even more
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Method
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Regression
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Innov(LIQij) : Change in illiquidity measurement of stock included in category of mutual funds i on day j
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