Andrikopoulos, Andreas; Angelidis, Timotheos; Skintzi, … - In: International Review of Financial Analysis 35 (2014) C, pp. 118-127
in terms of volatility and return spillovers, there has been no combined analysis of return, volatility and illiquidity … spillovers. We study illiquidity spillovers because they are transmissions of trading activity and, thereof, transmissions of … illiquidity and also that illiquidity shocks are significantly correlated across markets. Furthermore, we discover Granger causal …