In this paper, we provide the first evidence of liquidity timing ability of mutual funds outside US. We propose a new model to study liquidity timing ability of mutual funds. The model matches the higher moment framework required for emerging market study. We find that on the average the mutual...

A non-normal stock return distribution is common in emerging markets. We propose a new liquidity timing model in a higher moment. Overall, fund managers are able to time the market-wide liquidity even in a higher moment environment. A co-skewness risk factor is statistically priced. High...

We analyze the behavior of both the bid-ask spread and the depth of ETF options during the May 6th, 2010 Flash Crash. During the Flash Crash stub quotes (maximum quote size allowed) consistently occurred for more than 90% of the ETF option series examined in this study. Correspondingly, the best...