Select Refereed Publications

Market Sidedness: Insights into Motives for Trade Initiation  
With Robert A. Schwartz
The Journal of Finance Forthcoming
55 pages / 517 kb

Fifteen Minutes of Fame? The Market Impact of Internet Stock Picks 
With Peter Antunovich
Journal of Business, 79, 6, November 2006, 3209-51
60 pages / 488 kb

An Empirical Analysis of Stock and Bond Market Liquidity 
With Tarun Chordia and Avanidhar Subrahmanyam
Review of Financial Studies, 18, 1, Spring 2005
68 pages / 2.0 mb
See also ››
Stock and Bond Market Daily Bid-Ask Spread Data 1991-1998 (used in the paper "An Empirical Analysis of Stock and Bond Market Liquidity")

Trading Costs in Three U.S. Bond Markets 
With Sugato Chakravarty
The Journal of Fixed Income 13, 1, 39-48, June 2003
32 pages / 92 kb

Diversification Benefits of Emerging Markets Subject to Portfolio Contstraints 
With Zhenyu Wang and Kai Li
Journal of Empirical Finance 10, 57-80, February 2003
38 pages / 212 kb

Liquidity Supply and Volatility: Futures Market Evidence 
With Peter Locke
Journal of Futures Markets 23, 1, 1-17, 2001
17 pages / 43 kb

Market Liquidity and Trader Welfare in Multiple Dealer Markets 
With Peter Locke and Lifan Wu
Journal of Financial and Quantitative Analysis, 34, 1, 57-88, 1999
55 pages / 407 kb

Crises in Developed and Emerging Stock Markets 
With Sandeep Patel
Financial Analysts Journal, November/December 1998
28 pages / 353 kb

Information Asymmetry, Market Segmentation and the Pricing of Cross-Listed Stocks: Theory and Evidence From Chinese A and B Shares 
With Sugato Chakravarty and Lifan Wu
Journal of International Financial Markets, Institutions and Money, 8, 325-355, 1998
47 pages / 201 kb

Dual Trading: Winners, Losers and Market Impact 
Journal of Financial Intermediation 4, 1995
Read the full text in ScienceDirect  ››

On the Equivalence of Noise Trader and Hedger Models in Market Microstructure 
Journal of Financial Intermediation 3, 1994
Read the full text in ScienceDirect  ››

Other Refereed Publications

A Model of Brokers' Trading, with Applications to Order Flow Internalization 
With Sugato Chakravarty
Review of Financial Economics 11, 19-36, 2002
30 pages / 99 kb

Securities Trading and Settlement in Europe: Issues and Outlook
With Linda Goldberg, John Kambhu, James M. Mahoney and Lawrence Radecki
Federal Reserve Bank of New York Current Issues in Economics and Finance 8, 4, April 2002

Should US Investors Hold Foreign Stocks?
With Kai Li
Federal Reserve Bank of New York Current Issues In Economics and Finance 8,3, March 2002

Loan Flows, Contagion Effects and the East Asian Crisis 
With Sunil K. Mohanty and Rama Seth
Journal of Emerging Markets 6, 3, 42-54, Fall/Winter 2001
21 pages / 53 kb

The Effect of Dual Trading on Market Depth in the S&P 500 Futures Market
With Hun Park
Research in Finance Andrew H. Chen (ed.), Volume 17, 1999

Electronic Trading in Futures Markets
With Michelle Tozzi
Federal Reserve Bank of New York Current Issues in Economics and Finance 4, 1, January 1998 and Derivatives Review, Spring 1998

Price Transmissions and Market Openness: A Comparative Analysis of Asian Stock Markets
With Lifan Wu
Review of Pacific Basin Journal, June 1998

Securitizing Property Catastrophe Risk
With Sara Borden
Federal Reserve Bank of New York Current Issues in Economics and Finance vol 2., no. 9, 1996

Testing for Aggregation Bias in Efficiency Measurement
With C.A.K.Lovell and R.C.Sickles
Measurement in Economics, Wolfgang Eichorn ed., Physica Verlag, Heidelberg, 1987

Non-Refereed Publications

Indian Derivatives Markets 
Forthcoming in Kaushik Basu (edited), The Oxford Companion to Economics in India, Oxford University Press, New Delhi,
10 pages / 91 kb

Liquidity in the US Treasury Spot and Futures Markets   
With Michael Fleming
Market Liquidity Research Findings and Selected Policy Implications, Bank of International Settlements, 1999
15 pages / 89 kb

Volatility and Price Shocks in Futures Markets. Proceedings of Research Conference on Risk Measurement and Systemic Risk
With Peter Locke
Federal Reserve Board, 1996

Joint Provision of Public Goods
Economic Theory, Trade and Quantitative Economics, A.K. Banerjee and B. Chatterjee eds., University of Calcutta, December 1996

Asani Sarkar's CV

The views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.