Using a broad data set of 20 US dollar exchange rates and order flow of institutional investors over 14 years, we construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the analogue of the well-known Pastor-Stambaugh liquidity...

The paper investigates the impact of global liquidity on house prices around the world using a novel proxy measured by the funding availability to global banks in the main financial centers. We find supporting evidence that global conditions from the financial centers are transmitted to local...

The paper investigates the impact of global liquidity, proxied by funding liquidity, on house prices around the world. Focusing on the repo markets in US, Europe, UK and Japan, we document that changes in liquidity are related to cross-border bank flows and affect house prices. Highlighting the...

Using a unique dataset of foreign and domestic IPOs listings in the US from 1990 to 2012, we study how foreignness affects IPO liquidity. We find that foreign IPOs enjoy higher liquidity than IPOs in their home countries, but do not fully gain the same liquidity benefits as for IPOs of domestic...

This study contrasts the ability of three liquidity constructs, the price-impact measure of Amihud (2002), the volume based turnover ratio, and the recently developed trading speed measure of Liu (2006) in explaining total trading costs for four large African emerging markets, Egypt, Morocco,...