Search Results - subject:"Commonality in liquidity"

Commonality in liquidity and corporate default risk : evidence from China

Fu, Yumei; He, Feng; Li, Jintian; Zan, Bingyan - In: Research in international business and finance 69 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015052534

Oil market factors as a source of commonality in liquidity in international equity markets

Alhassan, Abdulrahman; Naka, Atsuyuki; Noman, Abdullah - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-33

potential source of commonality in liquidity. We hypothesize that conditions specific to the oil market can contribute to … commonality in liquidity affecting both supply-side and demand-side factors because of its importance to the global economy in … the effect of oil factors on commonality in liquidity. We find that the returns and volatility of oil prices explain the …

Persistent link: https://www.econbiz.de/10013201056

Oil market factors as a source of commonality in liquidity in international equity markets

Alhassan, Abdulrahman; Naka, Atsuyuki; Noman, Abdullah - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-33

Persistent link: https://www.econbiz.de/10012626765

Assessing commonality in liquidity with principal component analysis: The case of the Warsaw Stock Exchange

Olbryś, Joanna; Majewska, Elżbieta - In: Journal of Risk and Financial Management 13 (2020) 12, pp. 1-13

The studies concerning commonality in liquidity on emerging markets in Central and Eastern Europe are scarce and, in … main aim of this research is to assess commonality in liquidity on the Warsaw Stock Exchange (WSE) with the use of the PCA … homogenous for all investigated periods so no reason has been found to reject the research hypothesis that commonality in …

Persistent link: https://www.econbiz.de/10012611555

Assessing commonality in liquidity with principal component analysis : the case of the Warsaw Stock Exchange

Olbryś, Joanna; Majewska, Elżbieta - In: Journal of risk and financial management : JRFM 13 (2020) 12/328, pp. 1-13

Persistent link: https://www.econbiz.de/10012403992

Intra-market commonality in liquidity : new evidencefrom the Polish stock exchange

Olbryś, Joanna - In: Equilibrium : quarterly journal of economics and … 14 (2019) 2, pp. 251-275

Persistent link: https://www.econbiz.de/10012232051

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 market microstructure. Analyzing and identifying such commonality will enable the investor and policy maker to discover evidence regarding the inventory risks and asymmetric...

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

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

Persistent link: https://www.econbiz.de/10015401775

Is illiquidity risk priced? The case of the Polish medium-size emerging stock market

Olbryœ, Joanna - In: Bank i Kredyt 45 (2014) 6, pp. 513-536

affected by illiquidity risk and commonality in liquidity. The model takes into consideration various sources of illiquidity …

Persistent link: https://www.econbiz.de/10011200003

Commonality in liquidity and real estate securities

Hoesli, Martin; Kadilli, Anjeza; Reka, Kustrim - Institut d'Economie et Econométrie, Université de Genève - 2014

We conduct an empirical investigation of the pricing and economic sources of commonality in liquidity in the U.S. REIT … market. Taking advantage of the specific characteristics of REITs, we analyze three types of commonality in liquidity: within … evidence that the three types of commonality in liquidity are priced in REIT returns but only during bad market conditions. We …

Persistent link: https://www.econbiz.de/10010886013