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Stock liquidity and default risk around the world
Nadarajah, Sivathaasan - 2020
We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that … shock that increases liquidity. The effect of liquidity on default risk is more pronounced in countries with poorer investor … impact of stock liquidity on default risk in international markets …
Persistent link: https://www.econbiz.de/10012854783
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Stock liquidity and default risk around the world
Nadarajah, Sivathaasan; Huu Nhan Duong; Ali, Searat; … - In: Journal of financial markets 55 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10014543776
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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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Explaining the Czech interbank market risk premium
Geršl, Adam; Lešanovská, Jitka - In: Economic systems 38 (2014) 4, pp. 536-551
Persistent link: https://www.econbiz.de/10010467349
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Do stock returns really decrease with default risk? : new international evidence
Aretz, Kevin; Florackis, Chris; Kostakis, Alexandros - In: Management science : journal of the Institute for … 64 (2018) 8, pp. 3821-3842
Persistent link: https://www.econbiz.de/10011900038
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International stock market liquidity : a review
Ma, Rui; Anderson, Hamish D.; Marshall, Ben R. - In: Managerial finance 42 (2016) 2, pp. 118-135
Persistent link: https://www.econbiz.de/10011539313
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A liquidity risk stress-testing framework with Basel liquidity standards
Hejlová, Hana; Komárková, Zlatuše; Rusnák, Marek - In: Prague economic papers : a bimonthly journal of … 29 (2020) 3, pp. 251-273
Persistent link: https://www.econbiz.de/10012593458
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Liquidity commonalities in the corporate CDS market around the 2007-2012 financial crisis
Mayordomo, Sergio; Rodriguez-Moreno, Maria; Peña … - In: International review of economics & finance : IREF 31 (2014), pp. 171-192
Persistent link: https://www.econbiz.de/10010490426
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What drives the liquidity of sovereign bonds when markets are under stress? : an assessment of the new Basel 3 rules on bank liquid assets
Petrella, Giovanni; Resti, Andrea - In: Journal of financial stability 33 (2017), pp. 297-310
Persistent link: https://www.econbiz.de/10011877761
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Illiquidity in sovereign debt markets
Passadore, Juan; Xu, Yu - In: Journal of international economics 137 (2022), pp. 1-30
Persistent link: https://www.econbiz.de/10013439995