-- Market liquidity ; financial markets ; bid-ask spread ; market turnover …

Using a novel and comprehensive dataset, we provide the first systematic study of liquidity in the foreign exchange (FX …) market. Contrary to common perceptions, we find significant variation in liquidity across exchange rates, substantial costs … liquidity risk on the carry trade, which is a popular trading strategy that borrows in low interest rate currencies and invests …

immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and … transactions in three main currency pairs (EURJPY, EURUSD, USDJPY) on the EBS platform. To characterize the FX market liquidity, we … propose the computation of a new liquidity indicator, BIL, that solely relies on price series availability. The main benefit …

We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets … theory of exchange rate determination in imperfect financial markets not only rationalizes the empirical disconnect between …

immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and … transactions in three main currency pairs (EURJPY, EURUSD, USDJPY) on the EBS platform. To characterize the FX market liquidity, we … propose the computation of a new liquidity indicator, BIL, that solely relies on price series availability. The main benefit …

This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We … make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity …

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 …

We analyze the impact of market liquidity on bank lending in the euro area for different segments over the period 2003 … to 2016. Our results on the aggregate level show that market liquidity is positively related to loan volumes and … liquidity has an asymmetric effect on bank lending: The negative impact of a reduction in liquidity is more significant than the …

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 …