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The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach

Schoenemann, Gregor Helmut - In: Journal of Futures Markets 42 (2021) 3, pp. 446-471

In this study, I analyze the effect of central clearing on credit default swap (CDS) market breadth, depth, and resiliency using a regression discontinuity design. I find evidence for a decrease in absolute bid–ask spreads and bid–ask spread resiliency and an increase in gross trading volume...

Persistent link: https://www.econbiz.de/10014485905

Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN Journal of Applied Statistics 11 (2020) 2, pp. 65-83

This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By employing the Markov regime-switching autore-gressive (MS-AR) model with data from April 2005 to September 2019, the studyanalyzes the stock market volatility in three distinct...

Persistent link: https://www.econbiz.de/10012604575

Causality and Regime Inference in a Markov Switching VAR

Warne, Anders - 2000

This paper analyses three Granger noncausality hypotheses within a conditionally Gaussian MS-VAR model. Noncausality in mean is based on Granger´s original concept for linear predictors by defining noncausality from the 1-step ahead forecast error variance for the conditional expectation....

Persistent link: https://www.econbiz.de/10010321305

Spreads and volatility in house returns

Chinloy, Peter; Jiang, Cheng; John, Kose - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-16

Underlying idiosyncratic and illiquidity risks are suppressed in infrequently reported indexes of house prices and … ratios of house prices and rents and their spreads estimate unobserved daily fluctuations and illiquidity risks. Including … idiosyncratic and illiquidity risks, a U.S. house has a standard deviation in returns of 8.7% annually for three decades after 1990 …

Persistent link: https://www.econbiz.de/10014332570

Empirical analysis of the illiquidity premia of German real estate securities

Paul, Thomas; Walther, Thomas; Küster-Simic, André - In: Financial Markets and Portfolio Management 36 (2021) 2, pp. 203-260

In this study, we analyze illiquidity premia and their effect on the expected returns of German real estate securities …, we estimate Amihud's illiquidity factors, investigate the relationships between expected returns and illiquidity, and … analyze the effects of expected and unexpected market illiquidity on future returns. We show that illiquidity plays an …

Persistent link: https://www.econbiz.de/10014501427

The Impact of Media Attention on the Illiquidity of Stocks: Evidence from the Global FinTech Sector

Gaar, Eduard; Moritz, Valentin; Schiereck, Dirk - In: Credit and Capital Markets – Kredit und Kapital 54 (2021) 4, pp. 589-639

views, and stock market-relevant news on the rapidly growing FinTech sector. The result of the simultaneous correlation … analysis reveals a highly significant correlation between the trading activities of the FinTech sector and the three investor … that the explanatory power for future stock trading activities and illiquidity primarily depends on Google search volume …

Persistent link: https://www.econbiz.de/10014524643

Illiquidity and derivative valuation

Horst, Ulrich; Naujokat, Felix - 2010

In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact in a multi-player framework by introducing strategic...

Persistent link: https://www.econbiz.de/10010270818

Interdependence of Liquidity Problems in the Financial Sector

Missio, Sebastian - 2011

The paper analyses problems arising from the interdependence of liquidity provision in the financial system. Findings document, that liquidity shortage of minor financial players can translate into liquidity shortage for systemic relevant players, thereby putting the proper functioning of the...

Persistent link: https://www.econbiz.de/10010294698

The diminishing liquidity premium

Ben-Rephael, Azi; Kadan, Ohad; Wohl, Avi - 2008

Previous evidence suggests that less liquid stocks entail higher average returns. Using NYSE data, we present evidence that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four decades to levels that we cannot statistically distinguish...

Persistent link: https://www.econbiz.de/10010303688

Managing investment risks of institutional private equity investors: The challenge of illiquidity

Kaserer, Christoph; Wagner, Niklas; Achleitner, Ann-Kristin - 2003

highlights useful approaches to the problem of return measurement under conditions of illiquidity. Then, specific risk management …

Persistent link: https://www.econbiz.de/10010305809