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Sovereign credit risk and stock markets : does the markets’ dependency increase with financial Distress?
Silva, Paulo Pereira da - In: International Journal of Financial Studies : open … 2 (2014) 1, pp. 145-167
This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of sovereign debt. The analysis of...
Persistent link: https://www.econbiz.de/10010373349
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Liquidity and Market Efficiency in the World’s Largest Carbon Market
Ibikunle, Gbenga - 2016
-horizon return predictability as an inverse indicator of market efficiency. We find a strong relationship between liquidity and … trading carbon futures and during periods of low liquidity. Since the start of trading in Phase II of the EU Emissions Trading …
Persistent link: https://www.econbiz.de/10013008319
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BV-VPIN : Measuring the Impact of Order Flow Toxicity and Liquidity on International Equities Markets
Low, Rand Kwong Yew - 2016
other informational advantages. High levels of order flow toxicity can culminate in market makers providing liquidity at a … market liquidity and precede precipitous drops in asset prices. Bulk Volume VPIN (BV-VPIN) is one way of measuring the …
Persistent link: https://www.econbiz.de/10012989660
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Flow Toxicity and Liquidity in a High Frequency World
Easley, David - 2012
Order flow is toxic when it adversely selects market makers, who may be unaware they are providing liquidity at a loss …
Persistent link: https://www.econbiz.de/10013115571
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A Regulatory Framework for Exchange-Traded Funds
Hu, Henry T. C. - 2018
Persistent link: https://www.econbiz.de/10012925355
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Frontiers of Macrofinancial Linkages
Claessens, Stijn - 2018
The Great Financial Crisis of 2007-09 confirmed the vital importance of advancing our understanding of macrofinancial linkages, the two-way interactions between the real economy and the financial sector. The crisis was a bitter reminder of how sharp fluctuations in asset prices, credit and...
Persistent link: https://www.econbiz.de/10012929483
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Dollar Shortage, Central Bank Actions, and the Cross Currency Basis
Bottazzi, Jean-Marc - 2012
In our model, cross-currency basis, which captures the deviations from covered interest rate parity (CIP), reflects the relative value of the scarcer currency (US dollar) as collateral in funding constraints. Our empirical evidence shows that measures of dollar shortage derived from ECB tenders,...
Persistent link: https://www.econbiz.de/10013098803
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International Volatility Arbitrage
Tosi, Adriano - 2018
exposed towards domestic option products, they neglect the possibility of engaging in foreign volatility arbitrage. These …
Persistent link: https://www.econbiz.de/10012915950
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The exchange rate effect of multi-currency risk arbitrage
Hau, Harald - 2012
and fundamentals. Speculation ; Limited Arbitrage ; Hedging ; Exchange Rate Disconnect …
Persistent link: https://www.econbiz.de/10009558406
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Hedge Funds as International Liquidity Providers : Evidence from Convertible Bond Arbitrage in Canada
Gatev, Evan - 2020
We examine the impact of Canadian convertible bond issuance on equity market liquidity. Using issuance event dates … between April 2002 and March 2011, we analyze the change in short interest and stock liquidity during a 1-year event window …. We consider mainstream liquidity measures, including turnover, dollar volume, dollar spread, percentage spread, and the …
Persistent link: https://www.econbiz.de/10012842541