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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

Asset pricing with heterogeneous investors and portfolio constraints

Chabakauri, Georgy - 2012

Persistent link: https://www.econbiz.de/10009619941

Portfolio constraints : an empirical analysis

Abate, Guido; Bonafini, Tommaso; Ferrari, Pierpaolo - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-20

Mean-variance optimization often leads to unreasonable asset allocations. This problem has forced scholars and practitioners alike to introduce portfolio constraints. The scope of our study is to verify which type of constraint is more suitable for achieving efficient performance. We have...

Persistent link: https://www.econbiz.de/10012804902

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

Limit-to-arbitrage factors and IVOL returns puzzle : empirical evidence from Taiwan before and during COVID-19

Khoa Dang Duong; Qui Nhat Nguyen; Truong Vinh Le; Diep … - In: Annals of financial economics 16 (2021) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10012650875

Impact of sentiments on stock returns, volatility and liquidity

Gakhar, Divya Verma; Kundlia, Shweta - In: International journal of economic policy in emerging … 14 (2021) 5/6, pp. 536-565

Persistent link: https://www.econbiz.de/10012695381

The modelling of South African exports with stock market liquidity

Tsunga, K. R.; McCullough, Kerry; Moores-Pitt, P. - In: African journal of business and economic research : AJBER 16 (2021) 1, pp. 67-93

Persistent link: https://www.econbiz.de/10012815240

Variance disparity and market frictions

Park, Yang-Ho - In: Journal of econometrics 214 (2020) 2, pp. 326-348

Persistent link: https://www.econbiz.de/10012438393

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

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