This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …

This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …

This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …

This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liq …

Each type of investment has its own liquidity, i.e. the speed with which it can be converted into money. This can be …. The importance of liquidity has been acknowledged for a long time. A considerable number of studies have investigated … stock liquidity, providing evidence that more illiquid stocks have higher returns, which may be deemed an ‚illiquidity …

This paper provides an explanation for reversals in global equity market integration through the funding liquidity …, explains how reversals occur as funding liquidity becomes scarce. Empirically, the betting against beta portfolios of the model … that load on funding liquidity comove less across markets during global funding distress periods. This suggests that at …

This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and … proposition that liquidity risk affects the price of sovereign debt. This period was the last time that the debt of a … reflected in greater sensitivity to innovations in market liquidity. Second, small sovereign bonds, as measured by market value …

This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and … proposition that liquidity risk affects the price of sovereign debt. This period was the last time that the debt of a … reflected in greater sensitivity to innovations in market liquidity. Second, small sovereign bonds, as measured by market value …

market, or 41% of the total market capitalization. Over the same period, liquidity on the Jakarta Stock Exchange improved … Granger causality between foreign institutional ownership and liquidity, while controlling for persistence in foreign … ownership and liquidity measures. We find that foreign holdings have a negative impact on future liquidity: a 10% increase in …