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Flights to safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012
Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...
Persistent link: https://www.econbiz.de/10011590578
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Stock market and its liquidity : evidence from ARDL bound testing approach in the Indian context
Bhattacharya, Sharad Nath; Bhattacharya, Mousumi; Basu, … - In: Cogent economics & finance 7 (2019) 1, pp. 1-12
This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures … resiliency dimensions of market liquidity using suitable liquidity measures (proxies). Findings suggest that multidimensional … liquidity measures like the volume of trade, spread, market efficiency coefficient, turnover rate, trading probability, and the …
Persistent link: https://www.econbiz.de/10012023365
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Size effect in market-wide liquidity commonality : evidence from the Indian stock market
Cheriyan, Namitha K.; Lazar, Daniel - In: Organizations and markets in emerging economies 10 (2019) 2, pp. 335-355
Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in … evidence regarding the inventory risks and asymmetric information in uencing individual securities’ liquidity. Thus, this study … aims at documenting the liquidity commonality and measuring its extent in the Indian stock market. Employing fourteen …
Persistent link: https://www.econbiz.de/10012193362
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Momentum and Illiquidity Premium in Indian Stock Market
Aziz, Tariq - 2015
returns in India for the period 2000-2012. Illiquidity premium is more pronounced among winners. Illiquid winners outperform …
Persistent link: https://www.econbiz.de/10013033906
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Put-call parity in Indian stock markets post turmoil settlement
Gupta, Pankaj Kumar - In: Trends economics and management 12 (2018) 32, pp. 49-61
the National Stock Exchange of India (NSE) on various parameters including Moneyness, arbitrage differential, and time to … the increase or decrease in time to maturity and liquidity indicating a direct relationship. Also, the gap between the …
Persistent link: https://www.econbiz.de/10012022238
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Liquidity-adjusted CAPM : an empirical analysis on Indian stock market
Kumar, Gaurav; Misra, Arun Kumar - In: Cogent economics & finance 7 (2019) 1, pp. 1-15
This article examines the impact of various sources of systematic liquidity risk and idiosyncratic liquidity risk on … expected returns in the Indian stock market. The study tested the liquidity-adjusted capital asset pricing model (LCAPM) which … is previously tested on developed markets. Systematic liquidity risk is found to be significant in impacting asset …
Persistent link: https://www.econbiz.de/10012023356
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A new method for estimating liquidity and stock returns in Indian stock market
Sethy, Tapas Kumar; Tripathy, Nalini Prava - In: China Accounting and Finance Review 26 (2024) 2, pp. 253-275
Purpose - This study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity … volatility of the equity market. Design/methodology/approach - The present study employs the Liquidity Adjusted Capital Asset … Pricing Model (LCAPM) for pricing systematic liquidity risk using the Fama & MacBeth cross-sectional regression model in the …
Persistent link: https://www.econbiz.de/10014555463
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Flights to Safety
Baele, Lieven - 2019
quality and liquidity in international equity markets, but mainly a flight-to-quality in the US corporate bond market …
Persistent link: https://www.econbiz.de/10012905168
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Flights to Safety
Baele, Lieven - 2019
quality and liquidity in international equity markets, but mainly a flight-to-quality in the US corporate bond market …
Persistent link: https://www.econbiz.de/10012905512
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Flights to Safety
Baele, Lieven - 2019
quality and liquidity in international equity markets, but mainly a flight-to-quality in the US corporate bond market …
Persistent link: https://www.econbiz.de/10012898937