investigate volatility co-movement between the Singapore stock market and the markets of US, UK, Hong Kong and Japan. In order to … gauge volatility comovement, we employ econometric models of (i) Univariate GARCH (ii) Vector Autoregression and (iii) a … degree of volatility co-movement between Singapore stock market and that of Hong Kong, US, Japan and UK (in that order …

bank run are generated. A "liquidity black hole" is the analogue of the run outcome in a bank run model. Short horizon … liquidity black hole comes into existence. Empirical implications include the sharp V-shaped pattern in prices around the time … of the liquidity black hole …

payment, (ii) there is a shortage of liquidity that a central bank addresses through the extension of credit, (iii) money is …

preferences of future trading counter-parties causes randomness in future resale prices that we call liquidity risk. It is natural … to suppose that investors are asymmetrically informed about liquidity risk. Through a process of liquidity discovery …, trading volumes and prices reveal private information about future counter-party preferences. The liquidity discovery process …