Similar Search Results

The Impact of New Execution Venues on European Equity Markets’ Liquidity - The Case of Chi-X

Chlistalla, Michael - 2009

well as on consolidated liquidity of French blue chip equities, newly tradable on Chi-X. Our findings suggest that owing to … this new competition the home market's liquidity has enhanced. This is apparently due to the battle for order flow which … results in narrower spreads and increased market depth. These results imply that overall liquidity in a virtually consolidated …

Persistent link: https://www.econbiz.de/10013156365

The Impact of Market Fragmentation on the Liquidity of European Stock Exchanges

Fioravanti, Simone Francesco - 2013

Exchanges and shows that competition among exchange platforms does not have a negative effect on the level of liquidity of …

Persistent link: https://www.econbiz.de/10013089059

What are the Real Effects of Financial Market Liquidity? Evidence on Bank Lending from the Euro Area

Dombret, Andreas R. - 2019

We analyze the impact of market liquidity on bank lending in the euro area for different segments over the period 2003 … to 2016. Our results on the aggregate level show that market liquidity is positively related to loan volumes and … liquidity has an asymmetric effect on bank lending: The negative impact of a reduction in liquidity is more significant than the …

Persistent link: https://www.econbiz.de/10012898118

What are the real effects of financial market liquidity? : evidence on bank lending from the euro area

Dombret, Andreas R.; Foos, Daniel; Pliszka, Kamil; … - 2018

Persistent link: https://www.econbiz.de/10011897986

On the Term Structure of Liquidity in the European Sovereign Bond Market

O'Sullivan, Conall - 2020

The paper provides a high-frequency analysis of liquidity dynamics in the eurozone sovereign bond market over tranquil … and crisis periods. We study time series of liquidity across the yield curve using high-frequency data from MTS, one of … Europe's leading electronic fixed-income trading platforms. We document flight-to-liquidity effects as investors prefer to …

Persistent link: https://www.econbiz.de/10012851767

Volatility Transmission in Emerging European Foreign Exchange Markets

Kočenda, Evžen - 2011

This paper studies the dynamics of volatility transmission between Central European (CE) currencies and the EUR/USD foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily...

Persistent link: https://www.econbiz.de/10013121364

Exchange return co-movements and volatility spillovers before and after the introduction of euro

Antonakakis, Nikolaos - 2012

Persistent link: https://www.econbiz.de/10009559164

Exchange return co-movements and volatility spillovers before and after the introduction of euro

Antonakakis, Nikolaos - 2012

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic correlations, variance decompositions, generalized VAR analysis,...

Persistent link: https://www.econbiz.de/10011347744

Volatility spillovers between the European and South African foreign exchange markets

Niyitegeka, Olivier; Tewari, Devi D. - In: Cogent economics & finance 8 (2020) 1, pp. 1-17

This article investigates the exchange rate volatility spillover and dynamic conditional correlation between the euro and the South African rand following the Eurozone sovereign debt crisis. It employs two multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) models,...

Persistent link: https://www.econbiz.de/10012215203

Volatility Transmission in Emerging European Foreign Exchange Markets

Bubak, Vit - 2013

This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily...

Persistent link: https://www.econbiz.de/10013094673