the National Stock Exchange of India (NSE) on various parameters including Moneyness, arbitrage differential, and time to … the increase or decrease in time to maturity and liquidity indicating a direct relationship. Also, the gap between the …

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 …

Purpose - This study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity … volatility of the equity market. Design/methodology/approach - The present study employs the Liquidity Adjusted Capital Asset … Pricing Model (LCAPM) for pricing systematic liquidity risk using the Fama & MacBeth cross-sectional regression model in the …

This paper examines market liquidity in the post-crisis era in light of concerns that regulatory changes might have … considering additional drivers of market liquidity. We document a stagnation of dealer balance sheets after the financial crisis … liquidity. …

The trading of bonds and swaps largely relies on bank dealers as core market-makers. Dealers provide liquidity and … to their market-making activities. The ongoing challenges faced in ensuring resilient provision of liquidity were also …

quality and liquidity in international equity markets, but mainly a flight-to-quality in the US corporate bond market …

quality and liquidity in international equity markets, but mainly a flight-to-quality in the US corporate bond market …

quality and liquidity in international equity markets, but mainly a flight-to-quality in the US corporate bond market …