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Persistent link: https://www.econbiz.de/10009620960
I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this liquidity risk factor. Results show that the level of bank...
Persistent link: https://www.econbiz.de/10013098615
I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this liquidity risk factor. Results show that the level of bank...
Persistent link: https://www.econbiz.de/10013102465
Persistent link: https://www.econbiz.de/10009314624