This paper documents how currency speculators trade when international capital flows generate predictable exchange rate … exogenous capital flows of index tracking equity funds. Currency speculators are shown to front-run these capital flows … positions suggests that risk averse currency speculators contribute to the ‘disconnect' between the fundamental news about …

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 …

This paper examines how liquidity in two actively traded futures markets was affected by the recent financial crisis … withdrawal of liquidity from Eurodollar futures markets, yet a far more muted response in the S&P 500 index futures contract. A … deeper investigation into high-frequency trading strategies finds that prior to the crisis, liquidity additions and …

The study examines the impact of liquidity risk on freight derivatives returns. The Amihud liquidity ratio and bid …-ask spreads are utilized to assess the existence of liquidity risk in the freight derivatives market. Other macroeconomic … variables are used to control for market risk. Results indicate that liquidity risk is priced and both liquidity measures have a …