We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …

focuses on volatility, where volatility is derived from a GARCH model. The results suggest that models which account for …

both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

corporate governance structure influence stock market liquidity depends on countries' legal systems, using data from 10 emerging …) enhances the level of investors participation and hence stock market liquidity. The second section seeks to explore the value … evidence that as compared to common law countries, costs of liquidity are larger for companies in countries with civil law …

This study analyzes the impact of COVID-19 on stock market liquidity of China and four worst hit countries by the … liquidity in stock markets of all the sampled countries hit hard by the news of the outbreak. We find that for all sampled … countries inflation in illiquidity due to temporary shocks reverts to long term trend shortly suggesting that the liquidity …

We differentiate the liquidity and the quality of private assets in a tractable incomplete-market model with … heterogeneous agents. The model decomposes the convenience yield of government bonds into a "liquidity premium" (flight to liquidity … fluctuations and bond premiums, the model reveals that a sharp reduction in the quality, instead of the liquidity, of private …

Stock markets serve as a conduit for money and liquidity, which are necessary for economic growth and stability. This …, characterised by volatility, high inflation rates, and political instability. The research used a time series Vector Autoregressive … liquidity has no major influence on Zimbabwe's economic development. As a result, the study advises policymakers to evaluate the …