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Which liquidity proxy measures liquidity best in emerging markets?

Ahn, Hee-joon; Chai, Joseph C. H.; Yang, Cheol-Won - In: Economies : open access journal 6 (2018) 4/67, pp. 1-29

This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets … comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that …

Persistent link: https://www.econbiz.de/10011956319

Modelling illiquidity spillovers with Hawkes processes : an application to the sovereign bond market

Schneider, Michael; Lillo, Fabrizio; Pelizzon, Loriana - In: Quantitative finance 18 (2018) 2, pp. 283-293

Persistent link: https://www.econbiz.de/10011906340

Illiquidity transmission in a three-country framework : a conditional approach

Fiesel, Stefan; Uhrig-Homburg, Marliese - In: Schmalenbach business review : sbr 17 (2016) 3/4, pp. 261-284

Persistent link: https://www.econbiz.de/10011634217

FX spot and swap market liquidity spillovers

Krohn, Ingomar; Sushko, Vladyslav - In: Journal of international money and finance 120 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013417403

Debt market illiquidity and correlated default risk

Javadi, Siamak; Mollagholamali, Mohsen - In: Finance research letters 26 (2018), pp. 266-273

Persistent link: https://www.econbiz.de/10012005695

Size effect in market-wide liquidity commonality : evidence from the Indian stock market

Cheriyan, Namitha K.; Lazar, Daniel - In: Organizations and markets in emerging economies 10 (2019) 2, pp. 335-355

Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in … evidence regarding the inventory risks and asymmetric information in uencing individual securities’ liquidity. Thus, this study … aims at documenting the liquidity commonality and measuring its extent in the Indian stock market. Employing fourteen …

Persistent link: https://www.econbiz.de/10012193362

The reward for trading illiquid maturities in credit default swap markets

Arakelyan, Armen; Rubio, Gonzalo; Serrano, Pedro - In: International review of economics & finance : IREF 39 (2015), pp. 376-389

Persistent link: https://www.econbiz.de/10011572470

Intervention strategies in foreign exchange market

Martin, Vesna - In: Ekonomske teme 58 (2020) 3, pp. 381-399

The goal of the paper is to present the intervention strategies used by central banks in order to influence the value of the domestic currency, transparency versus discretion when it comes to publishing data about FX intervention and the cost and effectiveness of intervention. It is rarely that...

Persistent link: https://www.econbiz.de/10012522647

Liquidity-adjusted CAPM : an empirical analysis on Indian stock market

Kumar, Gaurav; Misra, Arun Kumar - In: Cogent economics & finance 7 (2019) 1, pp. 1-15

This article examines the impact of various sources of systematic liquidity risk and idiosyncratic liquidity risk on … expected returns in the Indian stock market. The study tested the liquidity-adjusted capital asset pricing model (LCAPM) which … is previously tested on developed markets. Systematic liquidity risk is found to be significant in impacting asset …

Persistent link: https://www.econbiz.de/10012023356

The impact of trading liquidity on the rate of return on emerging markets : the example of Poland and the Baltic countries

Gniadkowska-Szymańska, Agata - In: E-Finanse : finansowy kwartalnik internetowy 13 (2017) 4, pp. 136-148

Each type of investment has its own liquidity, i.e. the speed with which it can be converted into money. This can be …. The importance of liquidity has been acknowledged for a long time. A considerable number of studies have investigated … stock liquidity, providing evidence that more illiquid stocks have higher returns, which may be deemed an ‚illiquidity …

Persistent link: https://www.econbiz.de/10011900049

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