This paper shows that both commodity price and carry trade have significant impact on the volatility and liquidity of Asian currencies, particularly on actively traded currencies. The impact of carry trade is generally larger than that of commodity price

This paper examines the impact of a set of common factors on liquidity variations in twelve Asian equity markets. The cross-market liquidity co-movements, i.e. liquidity commonality, represent an important dimension of capital market integration. I find that (1) liquidity variations in Asian...