higher stock return volatility. We also provide direct evidence that changes in liquidity is positively associated with stock … price adjustment. However, the relations among liquidity, volatility and price movements appear to rely on how SEOs are …Using data from the Taiwanese stock market, an emerging market, this paper documents positive changes in liquidity and …

Estimation of benchmark yield curve in developing markets is often influenced by liquidity concentration. Based on an … affine term structure model, we develop a long run liquidity weighted fitting method to address the trading concentration … from models of liquidity concentration and benchmark security information. After examining time series behavior of price …

volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable …By computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market's expectation of future … correction model can be used as an indicator for market implied tail-risk. Comparing our CVX to existing volatility benchmarks …

cash buffers in comparison with their unaffiliated peers. Banks provide liquidity support to distressed affiliated funds by … complementarities in investors’ redemptions. Liquidity support and other benefits of bank affiliation are conditional on the financial …

cash buffers in comparison with their unaffiliated peers. Banks provide liquidity support to distressed affiliated funds by … complementarities in investors’ redemptions. Liquidity support and other benefits of bank affiliation are conditional on the financial …

some risk of bankruptcy and potentially a risk of liquidity shortages, for which they lack sufficient data to run a stress …

cash buffers in comparison with their unaffiliated peers. Banks provide liquidity support to distressed affiliated funds by … complementarities in investors' redemptions. Liquidity support and other benefits of bank affiliation are conditional on the financial …

This paper studies a novel type of misallocation of credit between investments of varying liquidity. One type of …-term welfare and output in a constrained inefficient equilibrium if it raises the liquidity of the liquid type. I show a maximum …

cash buffers in comparison with their unaffiliated peers. Banks provide liquidity support to distressed affiliated funds by … complementarities in investors' redemptions. Liquidity support and other benefits of bank affiliation are conditional on the financial …

This paper examines the stock price liquidity changes before and after the bonus and rights issue announcements …. Liquidity measured using raw trading volume ratio, relative trading volume ratio and liquidity ratio suggest that raw trading … liquidity ratio, has significantly decreased after the bonus and rights issue announcement in the Indian stock market. There is …