, pointing to an inherent liquidity problem. The paper concludes with comments on the interactions between the three aspects. …

liquidity and stability examined. Particularly, the effects of (i) a ban on short selling (ii) a mandatory risk limit, i.e. a … and liquidity constraints leading to fire sales. In its unregulated version the model outcome is capable of reproducing …

through which foreign institutional investors influence the liquidity on the Chinese stock markets. Firstly, we find that … market participation by foreign institutional investors promotes liquidity both for state-owned enterprises (SOEs) and non …-SOEs. Secondly, foreign institutions influence liquidity through the informational frictions channel, but not through the real …

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor … in risk management. Literature has already proposed several models to include liquidity risk in the standard Value … benchmarked. This paper performs comparative back-tests of daily risk forecasts for a large selection of traceable liquidity risk …

It has been frequently discussed, that returns are not normally distributed. Liquidity costs, measuring market … liquidity, are similarly non-normally distributed displaying fat tails and skewness. Liquidity risk models either ignore this …, parametric approach based on the Cornish-Fisher approximation to account for non-normality in liquidity risk. We show how to …

changes in financial intermediaries' balance sheets for the supply of credit, liquidity and asset prices, and, consequently …

This paper develops a liquidity measure tailored to the foreign exchange (FX) market, quanties the amount of … commonality in liquidity across dierent exchange rates, and determines theextent of liquidity risk premiums embedded in FX returns …. The new liquidity measure utilizesultra high frequency data and captures cross-sectional and temporal variation in FX …