Each type of investment has its own liquidity, i.e. the speed with which it can be converted into money. This can be seen with respect to various instruments (such as stocks or futures contracts), market segments, or even entire exchanges. The importance of liquidity has been acknowledged for a...

Global liquidity has become a key focus of international policy debates, yet the term continues to be used in a variety of ways. This lack of precision can lead to potentially undesirable policy responses. In this feature, we attempt to clarify the concept of global liquidity, its measurement...

This study examines the relation between asset liquidity and stock liquidity across 47 countries. In support of the valuation uncertainty hypothesis, we find that firms with greater asset liquidity on average have higher stock liquidity. More importantly, our study shows that asset liquidity...

This paper examines how cooperation between national securities regulators affects equity market liquidity, using the International Organization of Securities Commissions' (IOSCO's) Multilateral Memorandum of Understanding (MMoU) as a shock to cooperation. The MMoU was set up to protect...

We investigate the association between African real stock returns and stock liquidity for sixteen countries over the years 1995-2010. Using fixed effect models (FEM) and system generalized method of moments (SGMM), stock returns and liquidity measures are positively related when South Africa is...

Global liquidity refers to the volumes of financial flows—largely intermediated through global banks and non-bank financial institutions—that can move at relatively high frequencies across borders. The amplitude of responses to global conditions like risk sentiment, discussed in the context...

We explore whether and how liquidity factors influence risk transfers between commodity and stock markets using a composite liquidity index and five different types of liquidity measures. We find that liquidity shocks, including both funding liquidity and market liquidity, are positively...

This paper uses the illiquidity measure of Amihud (2002) in forming illiquidity estimates for South Africa, Kenya, Morocco, Egypt and London. These are used within an augmented CAPM framework to form risk firm illiquidity premiums in addition to premiums attributable to firm size. The evidence...

Classical financial market theories built upon the assumption of a perfect market have been coping with frictions on both developed and emerging markets. There are numerous factors affecting the operation of financial markets and their participants’ behavior, but illiquidity is a continuous...

This paper exploits a novel bank-level monthly dataset to assess the effects of global liquidity on the global flows of euro area banks. The period associated with the European sovereign debt crisis has witnessed increased growth in euro area bank claims on extra-euro area residents, against a...