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Persistent link: https://www.econbiz.de/10013169912
We study the effect of COVID-19 containment measures on expected stock price volatility in some advanced economies, using event studies with hand-collected minute-level data and panel regressions with daily data. We find that six-month-ahead volatility indices dropped following announcements of...
Persistent link: https://www.econbiz.de/10012612335
This paper examines the drivers of liquidity shortages in the Mexican government bond market. We use unique transaction- and quote level data with information on end-investors to construct an index of bond market liquidity. We find that liquidity remained stable in recent years, although...
Persistent link: https://www.econbiz.de/10012299390