Our study extends the existing literature by exploring the impact of three major risk and uncertainty indices on the … equity indices are positively linked with geopolitical risk (GPR), signifying their hedging capabilities against GPR shocks … world and other sectors, depending on market states. On the other hand, oil market volatility (OVX) adversely affects all …

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four … returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative … to positive as the returns’ quantile increases. A positive risk-return relation is valid only in the upper quantiles. The …

This study examined the asymmetric effects of major uncertainty and volatility indices (economic policy uncertainty …, Chicago Board Options Exchange crude oil volatility, CBOE volatility index, CBOE VIX volatility, and NASDAQ 100 volatility … petroleum). The causalityin-quantiles test and the quantile-on-quantile regression technique were employed on daily data …

risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the … jointly satisfy three natural fairness requirements for allocating risk capital in illiquid markets: Core Compatibility, Equal … Treatment Property and Strong Monotonicity. Core Compatibility can be viewed as the allocated risk to each coalition (subset) of …

liquidity in terms of spread, depth, order imbalance, dispersion and slope. We also consider trading activity and volatility …In this paper, we determine whether intraday price dynamics observed on Euronext help characterize market liquidity in … measures. Based on an event study methodology, we find that particular HLOC configurations are associated with higher liquidity …

execute market orders at limit order prices and without incurring any liquidity costs themselves. The second is by "front …

sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in …We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … panic states. This identification explains the forecasting ability of known predictors of tail risk of momentum strategy …

This paper examines the effects of public news releases on the market liquidity in one of the most important OTC … quotes is larger, and the number of dealers is greater. Earnings announcements have particularly strong effects on liquidity … days and reverts to normal levels several days after news releases. Finally, the effect of news on liquidity is stronger …

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …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 …

Liquidity problems lie at the heart of crises on financial markets as demonstrated in this paper by detailed …, provided emergency liquidity to limit the negative effects of such crises. However, the anecdotal and empirical evidence from … the three crises shows that such emergency liquidity assistance implies risks to goods price stability if it is not …