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Trading volume, illiquidity and commonalities in FX markets

Ranaldo, Angelo; Santucci de Magistris, Paolo - 2018

, volatility, and illiquidity, (ii) stronger commonalities pertain to more efficient (arbitrage-free) currencies, and (iii) the … Amihud (2002) measure, for which we provide a theoretical underpinning, is effective in measuring FX illiquidity. Not only do … method to measure FX illiquidity and commonality. For investors, these insights should increase the efficiency of trading and …

Persistent link: https://www.econbiz.de/10011946662

The diminishing liquidity premium

Ben-Rephael, Azi; Kadan, Ohad; Wohl, Avi - 2008

Previous evidence suggests that less liquid stocks entail higher average returns. Using NYSE data, we present evidence that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four decades to levels that we cannot statistically distinguish...

Persistent link: https://www.econbiz.de/10010303688

Stock dividends policy and liquidity of ex ante announcement : the liquidity hypothesis retest

Ye, Zhiqiang; Zhang, Zhi; Tang, Songlian - In: China finance review international 5 (2015) 3, pp. 258-276

Persistent link: https://www.econbiz.de/10011391740

Day long effect of liquidity on stock return : an empirical investigation in a day of political and economic importance in India

Tripathy, Trilochan; Ahluwalia, Eshan - In: International journal of economics and finance 7 (2015) 10, pp. 204-214

Persistent link: https://www.econbiz.de/10011376119

The liquidity premium in CDS transaction prices : do frictions matter?

Gehde-Trapp, Monika; Gündüz, Yalın; Nasev, Julia - 2015 - [This version]: August 2015

Based on individual CDS transactions cleared by the Depository Trust & Clearing Corporation, we show that illiquidity …

Persistent link: https://www.econbiz.de/10011308604

Liquidity, delistings, and credit risk premium

Kuo, Su-Wen; Huang, Chin-sheng; Jhang, Guan-Cih - In: International review of economics & finance : IREF 35 (2015), pp. 78-89

Persistent link: https://www.econbiz.de/10011333721

Essays on real estate and financial crisis : from the US housing market downturn to the global financial crisis

Witt, Christian - 2015

The thesis studies three pivotal episodes in the evolution of what became the Global Financial Crisis of 2008-09. These three events - the collapse of the US housing market, the breakdown of the repo money market, and the banking crash - are indispensable for understanding some of the key...