Search Results - subject_exact:"Market liquidity"

Liquidity recovery dynamics following volatility shocks : evidence from an emerging equity market

Panigrahi, Ashok Kumar; Sharma, Anita; Sarda, Varun - 2026

Understanding how quickly trading liquidity recovers after volatility shocks is central to evaluating market resilience and trading costs in financial markets. The purpose of this study is to examine how quickly trading liquidity recovers after volatility-based stress shocks in an emerging...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652372

Transparency and dealer behavior : the case of MiFID II and the bund market

Lucke, Konrad - 2026

We study how the introduction of pre- and post-trade transparency requirements affected dealer behavior and market liquidity in the German sovereign bonds market. Using regulatory data on bond transactions collected under EU's Markets in Financial Instruments Regulation (MiFIR) and limit order...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633933

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Transparency and dealer behavior: The case of MiFID II and the bund market

Lucke, Konrad - 2026

Book / Working Paper

Equity risk premium in Lithuania's frontier market : integrating country risk and market drivers

Bonelli, Marco I. - 2026

This study quantifies Lithuania's Equity Risk Premium (ERP) by integrating Damodaran's country-risk premium (CRP) framework with a multiple regression on key market drivers. By using quarterly data from Q1 2015 to Q4 2024, the CRP model yields an implied cost of equity of 9.84%, corresponding to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636778

Determinants of liquidity in the japanese government bond market : an interpretable machine learning approach

Kojima, Satoko; Sakiyama, Toshiyuki - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636987

The silent disco : speculation in bearish commodity markets and the role of liquidity

Ganepola, Chanaka N.; Ordu-Akkaya, Beyza Mina - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464879

Risk-averse dealers in a risk-free market : the role of trading desk risk limits

Li, Dan; Petrasek, Lubomir; Tian, Mary - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437916

Implication of mandatory trading report : evidence from the Thai Bond Market

Sirimon Treepongkaruna; Tanakorn Likitapiwat; Worapree … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644902

The impact of market mood on a dynamic model of insider trading

Wang, Ruohan; Wang, Jing; Yang, Zhi - 2025

According to the research, the proportions of various types of investors may or may not change in response to different trading strategies or complex trading environments. This paper investigates a single-period trading model for multiple risk-averse and risk-neutral insider traders. The...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015475351

Benign granularity in asset markets

Glebkin, Sergei; Malamud, Semyon; Teguia, Alberto - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015397706

The dynamic relationship between delinquency rates, funding and market liquidity and asset prices in private commercial real estate markets

Dijk, Dorinth van; Francke, Marc; Wang, Yumei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015402765

Drivers of commercial paper rate spread : an empirical assessment

Priyadarshini, Priyanka; Anshul; Sardar, Srijashree; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014487021

Dynamic link between liquidity and return in the crude oil market

Okoroafor, Ugochi C.; Leirvik, Thomas - 2024

In this study, we investigate the dynamic relationship between return and liquidity in the Brent and the West Texas Intermediate (WTI) oil markets. The research utilises daily oil price and volume data and monthly macroeconomic data from January 1, 1996 to April 28, 2023 obtained from the Energy...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015394030

Innovation and foreign direct investment attraction in developing countries

Nguyen Anh Tu - 2024

The present study investigates the relationship between innovation (INN) and foreign direct investment (FDI) attraction across 66 developing countries from 2013 to 2021. Adopting the Difference Generalized Method of Moments estimation, the study reveals a statistically positive INN-FDI nexus....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015394041

Repo and the liquidity risk premium

Copeland, Adam; Engbretson, Owen - 2026

Securities dealers play a central role intermediating funds in the U.S. short-term money markets. This intermediation involves risk, which can be mitigated by holding buffers of liquid securities. The cost of holding these buffers - the liquidity risk premium - is driven by the opportunity cost...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618112

The impact of dark pools on the market and market quality

Wakamatsu, Hiroaki - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015613485

Greener but thinner? : assessing green bond market liquidity

Dulak, Thomas; Wolff, Guntram B. - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614426

Missing markets : microstructure and liquidity on the London Stock Exchange

Esteves, Rui Pedro; Mesevage, Gabriel Geisler - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015579738

Fuzzy representation of a limit order book as a measure of stock liquidity

Stereńczak, Szymon; Marszałek, Adam - 2026

In this paper, we seek to ascertain whether the recently developed ordered fuzzy number (OFN) representation of a limit order book (LOB) by Marszałek and Burczyński (2024) may serve as a measure of stock liquidity. In particular, we aim to test whether this measure contains similar or distinct...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620968

Designing high-frequency market liquidity measures with applications to monetary policy

Li, Z. Merrick; Linton, Oliver; Zhai, Yunxiao; Zhang, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015655756

The evolution of the corporate bond market : a theoretical analysis

Kargar, Mahyar; Lester, Benjamin; Üslü, Semih; Weill, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650609

Two-layer execution architecture for illiquid SME equity markets

Egloff, Pascal; Tharyan, Rajesh; Graf, Sabrina; … - 2026

Thin equity markets for small and medium-sized enterprises often have sparse order flow that cannot sustain continuous quoting. This study proposes a two-layer execution architecture with a modified constant product market maker (modCPMM) designed to provide baseline immediacy for ordinary...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015668294

The diversification of multidimensional liquidity across stock markets

Trang Thi Thanh Chu; Nguyen Duc Trung - 2026

This study aims to analyze the diverse relationships between liquidity measures in markets and then construct a multidimensional liquidity index (LI) for the stock market by systematically integrating multiple aspects of liquidity to enhance the explanatory power of liquidity...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015669182

Gas fees as liquidity risk signals in blockchain token markets

Wang, Kai; Krištoufek, Ladislav - 2026

Platform-level gas fees serve as a public, real-time, predictive signal of cross-sectional liquidity risk in blockchain ecosystem tokens. Using a daily panel of 4,224 chain-specific tokens on Ethereum, BNB Chain, and Solana between 2017 and 2025 (2.04 million tokenday observations), gas fees are...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015669762

Pricing sustainability or pricing illiquidity? : evidence from ESG index futures

Ewald, Christian; Suna, Xiaotong; Haugomb, Erik; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665643

Constrained liquidity provision in currency markets

Huang, Wenqian; Ranaldo, Angelo; Schrimpf, Andreas; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015564650

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Constrained liquidity provision in currency markets

Huang, Wenqian; Ranaldo, Angelo; Schrimpf, Andreas; … - 2024

Book / Working Paper

Constrained liquidity provision in currency markets

Huang, Wenqian; Ranaldo, Angelo; Schrimpf, Andreas; … - 2023

Book / Working Paper

Strategic trading with wealth effects

Glebkin, Sergei; Malamud, Semyon; Teguia, Alberto - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014483256

Show one more version 1

Strategic trading with wealth effects

Glebkin, Sergei; Malamud, Semyon; Teguia, Alberto - 2023

Book / Working Paper

Assessment of stock market liquidity and efficiency : evidence from an emerging country

Monga, Reema; Aggrawal, Deepti; Singh, Jagvinder - 2023

The study examines the market efficiency, multi-dimensions of liquidity, and their interconnectedness for the Emerging Indian Stock Market. In contrast to the extant literature, the current study involves testing the market liquidity considering multi-dimensions such as depth, breadth,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014534631

The effect of funding liquidity regulation and ESG promotion on market liquidity

Hevér, Judit; Csóka, Péter - 2023

Liquidity is a key consideration in financial markets, especially in times of financial crises. For this reason, regulatory attention to and measures in this field have been on the rise for the past years. Based on practical experience, regulations aiming at ensuring funding liquidity or, in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014454698

Investor behavior under market stress : evidence from the Italian sovereign bond market

Panzarino, Onofrio - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014281702

Understand funding liquidity and market liquidity in a regime-switching model

Chen, Louisa; Shen, Liya; Zhou, Zhiping - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014253239

The liquidity state-dependence of monetary policy transmission

Guimaraes, Rodrigo; Pinter, Gabor; Wijnandts, Jean-Charles - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014384575

Is liquidity provision informative? : evidence from agricultural futures markets

Ma, Richie R.; Serra, Teresa - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015166730

A law and economic analysis of trading through dark pools

Ntourou, Artemisa; Mallios, Aineas - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015202586

Stock liquidity and corporate climate performance : evidence from China

Muchenje, Linda Tinofirei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015324020

Crisis facilities as a source of public information

Ergun, Lerby - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015373063

Stock and corporate bond liquidity : When having the same issuer induces commonality

Márquez De la Cruz, Elena; Martínez Cañete, Ana Rosa; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374457

Examining the transmission of credit and liquidity risks : a network analysis for EMU sovereign debt markets

Fernandez-Perez, Adrian; Gómez Puig, Marta; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374489

Large orders in small markets : execution with endogenous liquidity supply

Capponi, Agostino; Menkveld, Albert J.; Zhang, Hongzhong - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015357640

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Large orders in small markets : execution with endogenous liquidity supply

Capponi, Agostino; Menkveld, Albert J.; Zhang, Hongzhong - 2023

Book / Working Paper

Unlocking liquidity : the role of market makers in Kuwait's emerging market

Alsabah, Khaled; Al-Thaqeb, Saud Asaad - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015416958

Bank competition and resilience to liquidity shocks

Liu, Zehao; Yin, Xueyu; Tu, Haiyang; Zhang, Chengsi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015466513

Repurchases for price impact : evidence from fragile stocks

Massa, Massimo; Schumacher, David; Wang, Yan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015451402

Fragmentation in European equity markets since 2019

Danieli, Lorenzo; Fruzza, Raoul; Le Moign, Caroline - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015455059

The relationship between market depth and liquidity fragility in the treasury market

Meldrum, Andrew; Sokolinskiy, Oleg - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015406653

(In)frequently traded corporate bonds and pricing implications of liquidity dry-ups

Ivashchenko, Alexey - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408405

Investors as a liquidity backstop in corporate bond markets

Comerton-Forde, Carole; Ford, Billy; Foucault, Thierry; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015409633

Liquidity risk and currency premia

Söderlind, Paul; Somogyi, Fabricius - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015410141

Securing passive liquidity : the impact of Europe's first asymmetric speed bump on market liquidity

Le Moign, Caroline - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015412354

Market liquidity in treasury futures market during March 2020

Gousgounis, Eleni; Mixon, Scott; Tuzun, Tugkan; Vega, Clara - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437941

Trading costs v. indicative liquidity in the off-the-run treasury market

Sokolinskiy, Oleg - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015438381

The effect of regulatory requirements on market liquidity : ESG promotion as a special case

Hevér, Judit; Csóka, Péter - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015455810