Search Results - subject:"Commonality in liquidity"

The impact of foreign trades on emerging market liquidity

Peranginangin, Yessy; Ali, Akbar Z.; Brockman, Paul; … - In: Pacific-Basin finance journal 40 (2016), pp. 1-16

Persistent link: https://www.econbiz.de/10011712041

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Ranaldo, Angelo; Mancini, Loriano; Wrampelmeyer, Jan - Schweizerische Nationalbank (SNB) - 2010

commonality in liquidity across exchange rates, and determines the extent of liquidity risk premiums embedded in FX returns. The …

Persistent link: https://www.econbiz.de/10008925053

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Ranaldo, Angelo; Mancini, Loriano; Wrampelmeyer, Jan - Schweizerische Nationalbank (SNB) - 2009

commonality in liquidity across exchange rates, and determines the extent of liquidity risk premiums embedded in FX returns. The …

Persistent link: https://www.econbiz.de/10008487541

Some hypotheses on commonality in liquidity : new evidence from the Chinese stock market

Narayan, Paresh Kumar; Zhang, Zhichao; Zheng, Xinwei - In: Emerging markets finance & trade : a journal of the … 51 (2015) 5, pp. 915-944

Persistent link: https://www.econbiz.de/10011561139

Precious Metals Under the Microscope: A High-Frequency Analysis

Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gabriel G. - School of Finance, Universität St. Gallen - 2014

Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium, and platinum. We analyze the behaviors of spot prices, returns, volume, and selected liquidity measures. We find...

Persistent link: https://www.econbiz.de/10011154569

The demand-side explanation for commonality in liquidity: The role of institutional ownership in the Taiwan Stock Exchange

Lowe, Alpha - In: Pacific-Basin Finance Journal 29 (2014) C, pp. 59-85

In a sample of the Taiwan Stock Exchange (TWSE), this paper documents that stocks with greater liquidity commonality are related to higher aggregate ownership by qualified foreign institutional investors (QFIIs), mutual funds, and securities dealers. This positive ownership–commonality...

Persistent link: https://www.econbiz.de/10011116385

Commonality in liquidity, liquidity distribution, and financial crisis: Evidence from country ETFs

Lee, Hsiu-Chuan; Tseng, Yung-Ching; Yang, Chung-Jen - In: Pacific-Basin Finance Journal 29 (2014) C, pp. 35-58

This paper explores commonality in liquidity for country ETFs. Using data from 21 country ETFs, the empirical results … present the strong commonality in liquidity among country ETFs. Furthermore, the paper shows that the magnitude of commonality …, the paper also finds that the impacts of supply- and demand-side effects on commonality in liquidity for country ETFs vary …

Persistent link: https://www.econbiz.de/10011116396

Stock liquidity and the Taylor rule

Jiang, Lei - In: Journal of Empirical Finance 28 (2014) C, pp. 202-214

This paper examines how stock market liquidity and commonality in liquidity are impacted by real-time output gap and … rule. We show that an increase in the output gap and inflation lowers stock liquidity and increases commonality in … liquidity, since it points to a contractionary monetary policy and is likely to lead to a decline in the liquidity providers …

Persistent link: https://www.econbiz.de/10010939532

Systematic liquidity and the funding liquidity hypothesis

Qian, Xiaolin; Tam, Lewis H.K.; Zhang, Bohui - In: Journal of Banking & Finance 45 (2014) C, pp. 304-320

In order to reconcile weak evidence of supply-side determinants of commonality in liquidity in previous studies, we … examine commonality in liquidity in China over the period 1995–2012. Consistent with supply-side explanations, we find that …-side determinants and commonality in liquidity, we provide two specific tests and show that an increase in market participants has a …

Persistent link: https://www.econbiz.de/10010943186

The association between commonality in liquidity and corporate disclosure practices in Taiwan

Lowe, Alpha - In: Modern economy 5 (2014) 4, pp. 303-312

Persistent link: https://www.econbiz.de/10010412773