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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

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

Location of investors and capital flight

Botman, Dennis P. J.; Diks, Cees G. H. - 2002

This paper utilizes a very simple model to study the timing and determinants of speculationagainst a fixed exchange rate regime when investors are heterogeneous because of locationaldifferences. Location matters because resident players may incur smaller costs when takinga short-position, are...

Persistent link: https://www.econbiz.de/10011326412

Does time-varying illiquidity matter for the Indian stock market? : evidence from high-frequency data

Bhattacharya, Mousumi; Bhattacharya, Sharad Nath; Jha, … - In: Australian journal of management 47 (2022) 2, pp. 251-272

Persistent link: https://www.econbiz.de/10013268142

Empirical analysis of the illiquidity premia of German real estate securities

Paul, Thomas; Walther, Thomas; Küster-Simić, André - In: Financial markets and portfolio management 36 (2022) 2, pp. 203-260

Persistent link: https://www.econbiz.de/10013263540

The causality between liquidity and volatility in the Polish stock market

Będowska-Sójka, Barbara; Kliber, Agata - In: Finance research letters 30 (2019), pp. 110-115

Persistent link: https://www.econbiz.de/10012420314

Are idiosyncratic volatility and MAX priced in the Canadian market?

Aboulamer, Anas; Kryzanowski, Lawrence - In: Journal of empirical finance 37 (2016), pp. 20-36

Persistent link: https://www.econbiz.de/10011662897

Stock illiquidity and firm characteristics

Gakhar, Divya Verma; Kundlia, Shweta - In: Market microstructure and liquidity 4 (2018) 3/4, pp. 1-30

Persistent link: https://www.econbiz.de/10012227894

Liquidity-adjusted CAPM : an empirical analysis on Indian stock market

Kumar, Gaurav; Misra, Arun Kumar - In: Cogent economics & finance 7 (2019) 1, pp. 1-15

returns through various channels, viz. commonality in liquidity and illiquidity sensitivity to market returns. Covariance …

Persistent link: https://www.econbiz.de/10012023356

Testing the new Fama and French factors with illiquidity : a panel data investigation

Racicot, François-Éric; Rentz, William F.; Théoret, … - In: Finance : revue de l'Association Française de Finance 39 (2018) 3, pp. 45-102

Persistent link: https://www.econbiz.de/10012025798

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