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Liquidity Needs, Private Information, Feedback Trading : Verifying Motives to Trade

Ge̜bka, Bartosz - 2012

commonly used in the literature, we find that trades conducted due to liquidity needs or driven by private information cannot …

Persistent link: https://www.econbiz.de/10013104012

Illiquidity Contagion and Liquidity Crashes

Cespa, Giovanni - 2014

Liquidity providers often learn information about an asset from prices of other assets. We show that this generates a … self-reinforcing positive relationship between price informativeness and liquidity. This relationship causes liquidity … spillovers and is a source of fragility: a small drop in the liquidity of one asset can, through a feedback loop, result in a …

Persistent link: https://www.econbiz.de/10013068308

CDS central counterparty clearing liquidation : road to recovery or invitation to predation?

Tywoniuk, Magdalena - 2017

well as, regulatory implications for a Lender of Last Resort in various liquidity scenarios …

Persistent link: https://www.econbiz.de/10011870658

CDS central counterparty clearing default measures : road to recovery or invitation to predation?

Tywoniuk, Magdalena - 2020

. There exists a strong conflict between predatory competition and dealer distress, which inadvertently makes dealers prey on … theoretical results with parameter magnitudes and sensitivities. Examination of three market liquidity scenarios provides … intuition for effective liquidity injection by a Lender of Last Resort …

Persistent link: https://www.econbiz.de/10012419635

The questionable benefits of mutual clearing agreements for derivatives

Tywoniuk, Magdalena - 2020

variation margin exchange – and provides real-world policy/regulatory implications for a variety of market liquidity states …

Persistent link: https://www.econbiz.de/10012271216

Understanding flash crash contagion and systemic risk : a micro-macro agent-based approach

Paulin, James; Calinescu, Anisoara; Wooldridge, Michael J. - In: Journal of economic dynamics & control 100 (2019), pp. 200-229

Persistent link: https://www.econbiz.de/10012130964

Contagion and Return Predictability in Asset Markets : An Experiment With Two Lucas Trees

Noussair, Charles - 2020

Using a laboratory experiment, we investigate whether contagion can emerge between two risky assets, even when their fundamentals are not correlated. To guide our experimental design, we use the ‘Two trees' asset pricing model developed by Cochrane et al. (2007). The model makes time-series...

Persistent link: https://www.econbiz.de/10012836283

Contagion between liquid and illiquid assets during the financial crisis: evidence from the US credit derivative market

Kim, Jungmu; Park, Yuen Jung - In: Journal of derivatives and quantitative studies : … 28 (2020) 3, pp. 107-122

was incorporated first into the LCDSs because of the flight-to-liquidity during the recent crisis period but there is a …

Persistent link: https://www.econbiz.de/10012592651

Volatility Contagion Across the Equity Markets of Developed and Emerging Market Economies

Hattori, Masazumi - 2017

Using variance risk premiums (VRPs) nonparametrically calculated from equity markets in selected major developed economies and emerging market economies (EMEs) over 2007‒2015, we document the correlation of VRPs across the markets and examine whether equity fund flows work as a path through...

Persistent link: https://www.econbiz.de/10012968165

Asset Markets Contagion During the Global Financial Crisis

Kenourgios, Dimitris - 2017

This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets and different regions. It uses daily return data of six asset classes: stocks, bonds, commodities, shipping, foreign exchange and real estate. A robust analysis of financial...

Persistent link: https://www.econbiz.de/10012971584