Select Refereed Publications

The Microstructure of Cross Auto-Correlations
With Tarun Chordia and Avanidhar Subrahmanyam
Journal of Financial and Quantitative Analysis, Forthcoming
43 pages / 393 kb
Read the full text in SSRN  ››

Credit Default Swap Auctions
With Jean Helwege, Samuel Maurer, and Yuan Wang
Journal of Fixed Income, Forthcoming
Read the full text in SSRN  ››

Time-Varying Consumption Correlation and the Dynamics of the Equity Premium: Evidence from the G7 Countries
With Lingjia Wang
The Journal of Empirical Finance Forthcoming
53 pages / 1,085 kb
Read the full text in SSRN  ››

Market Sidedness: Insights into Motives for Trade Initiation
With Robert A. Schwartz
The Journal of Finance, 64, 1, February 2009 , pp. 375-423
Read the full text in SSRN  ››

Fifteen Minutes of Fame? The Market Impact of Internet Stock Picks
With Peter Antunovich
Journal of Business, 79, 6, November 2006, 3209-51
Read the full text in SSRN  ››

An Empirical Analysis of Stock and Bond Market Liquidity
With Tarun Chordia and Avanidhar Subrahmanyam
Review of Financial Studies, 18, 1, Spring 2005
Read the full text in SSRN  ››

Trading Costs in Three U.S. Bond Markets
With Sugato Chakravarty
The Journal of Fixed Income 13, 1, 39-48, June 2003
Read the full text in SSRN  ››

Diversification Benefits of Emerging Markets Subject to Portfolio Contstraints
With Zhenyu Wang and Kai Li
Journal of Empirical Finance 10, 57-80, February 2003
Read the full text in SSRN  ››

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
Read the full text in SSRN  ››

Crises in Developed and Emerging Stock Markets
With Sandeep Patel
Financial Analysts Journal, November/December 1998
Read the full text in SSRN  ››

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
Read the full text in SSRN  ››

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

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

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

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

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

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.