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THE IMPLICATIONS OF LIQUIDITY CRISES IN THE CONTEXT OF EMERGING CAPITAL MARKET

Birău, Felicia Ramona - In: Revista Tinerilor Economisti (The Young Economists Journal) 1 (2012) 18, pp. 189-193

This article aims to highlight the implications of liquidity crises in the context of emerging capital market. Capital … markets, and especially emerging capital market appear to behave notably differently during periods of liquidity crises in … in terms of liquidity. It has been empirically demonstrated that emerging capital market are rarely efficient, or in the …

Persistent link: https://www.econbiz.de/10010592957

Discovering the best: Informational efficiency and liquidity of alternative trading mechanisms in experimental asset markets

Oehler, Andreas; Heilmann, Klaus; Läger, Volker - University of Bamberg, Chair of Finance - 2001

This paper reports the results of 18 experimental asset markets with 262 subjects that explore the effects of liquidity … liquidity of the trading mechanisms. For both success factors of real stock exchanges our results show a strong tendency that …

Persistent link: https://www.econbiz.de/10009211011

Sell-order liquidity and the cross-section of expected stock returns

Brennan, Michael J.; Chordia, Tarun; Subrahmanyam, Avanidhar - In: Journal of Financial Economics 105 (2012) 3, pp. 523-541

sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our … analysis indicates that the liquidity premium in equities emanates predominantly from the sell-order side. We also find that … lambdas are significantly positively correlated with measures of funding liquidity such as the TED spread as well option …

Persistent link: https://www.econbiz.de/10010617605

Understanding commonality in liquidity around the world

Karolyi, G. Andrew; Lee, Kuan-Hui; Dijk, Mathijs A. van - In: Journal of Financial Economics 105 (2012) 1, pp. 82-112

We examine how commonality in liquidity varies across countries and over time in ways related to supply determinants … (funding liquidity of financial intermediaries) and demand determinants (correlated trading behavior of international and … institutional investors, incentives to trade individual securities, and investor sentiment) of liquidity. Commonality in liquidity …

Persistent link: https://www.econbiz.de/10010571656

Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence

Abad, Pilar; Robles Fernandez, M. Dolores; Diaz, Antonio - Facultad de Ciencias Económicas y Empresariales, … - 2011

We test whether or not different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish commercial paper and corporate bond markets. We observe a statistically significant widening of yield spreads in both segments of the corporate debt...

Persistent link: https://www.econbiz.de/10009364034

Why Ratings Matter: Evidence from Lehman's Index Rating Rule Change

CHEN, Zhihua; LOOKMAN, Aziz A.; SCHURHOFF, Norman; … - 2010

This paper examines the role of bond ratings and the effects of rating-based regulations in the corporate bond market. Exploiting an unanticipated mechanical change in how the benchmark Lehman bond indices are constructed in 2005, we show that rating-induced market segmentation of the bond...

Persistent link: https://www.econbiz.de/10008922933

Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data

Han, Song; Zhou, Hao - Hong Kong Institute for Monetary Research (HKIMR), … - 2011

We estimate the nondefault component of corporate bond yield spreads and examine its relationship with bond liquidity …. We measure bond liquidity using intraday transactions data and estimate the default component using the term structure of …

Persistent link: https://www.econbiz.de/10008852899

Financial Crises in Efficient Markets: How Fundamentalists Fuel Volatility

Szafarz, Ariane - Centre Emile Bernheim, Solvay Brussels School of … - 2010

When a financial crisis breaks out, speculators typically get the blame whereas fundamentalists are presented as the safeguard against excessive volatility. This paper proposes an asset pricing model where two types of rational traders coexist: short-term speculators and long-term...

Persistent link: https://www.econbiz.de/10008740440

Selected Essays in Stock Market Liquidity. Innovative XLM Measure at the Frankfurt Stock Exchange: Cloudy Skies, Time of the Day and the Role of Designated Sponsors for Stock Marke...

Verrier, Tatjana - Deutsche Zentralbibliothek für …

This dissertation is built around three separate papers that research several aspects of stock market liquidity. All … three papers use the innovative XLM (Exchange Liquidity Measure) data to measure the liquidity. The first paper entitled … Does Screen Trading Weather the Weather? A Note on Cloudy Skies, Liquidity and Computerized Stock Markets tests for the …

Persistent link: https://www.econbiz.de/10008752661

Financial Crises: Theory and Evidence

Allen, Franklin; Babus, Ana; Carletti, Elena - In: Annual Review of Financial Economics 1 (2009) 1, pp. 97-116

two to be unified. With all the liquidity problems in interbank markets that have occurred during the current crisis …

Persistent link: https://www.econbiz.de/10008776993