, 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 …

illiquidity, market illiquidity, and asymmetric information. When they are segmented, VIX derivatives contribute more to the …

volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and … Huang (2012), we apply a decomposition methodology to quantify the relative contributions of credit and illiquidity. Overall …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …