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Measuring Market Liquidity and Liquidity Mismatches Across Sectors
We offer tools for measuring, monitoring and analysing the liquidity of financial markets in the context of various liquidity aspects. The liquidity...
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Does Optimistic Investor Sentiment Accelerate Taiwan Stock Market Liquidity?
This article explores whether the bullish sentiment of retail and institutional investors increases Taiwan stock market liquidity as measured by the...
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Bank’s strategic interaction, adverse price dynamics and systemic liquidity risk
When a widespread funding shock hits the banking system, banks may engage in strategic behaviour to deal with funding shortages by a pre-emptive...
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Freedom of choice impact on country-specific liquidity commonality
We use three facets of freedom of choice (opportunity, decisional autonomy, and immunity from interference) to develop a freedom of choice index for...
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Liquidity Unveiled: Crafting an Index to Decode the Sovereign Bond Market Risk
Liquidity risk poses a distinctive and multifaceted challenge in the financial arena owing to its underlying multiple dimensions. The long-term...
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Liquidity Connectedness Among Major Financial Asset Classes: Do Uncertainty Factors Matter?
This paper aims to examine the liquidity connectedness between major asset classes, including cryptocurrencies, oil, gold, stocks, and bonds, over...
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Political landscape and liquidity of non-U.S. stocks from emerging markets
We investigate the empirical relation between country governance quality and stock market liquidity, as well as information asymmetry, using a sample...
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Determinants of liquidity in cryptocurrency markets
This research identified predictors of cryptocurrency liquidity and explored whether cryptocurrency is a true cash equivalent. Liquidity is important...
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Deposit Insurance and Bank Liquidity Creation: Evidence from a Natural Experiment in China*
In this paper, we examine how the implementation of deposit insurance influences the impact of bank capital, excess lending, banking competition and...
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Liquidity difference between non-U.S. and U.S. IPOs on the NYSE listings
We investigate liquidity and information asymmetry for a sample of non-U.S. stock listings and U.S. IPO listings on the NYSE. We find that non-U.S....
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Clustering Uniswap v3 traders from their activity on multiple liquidity pools, via novel graph embeddings
Uniswap is a Constant Product Market Maker built around liquidity pools, where pairs of tokens are exchanged subject to a fee that is proportional to...
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Wholesale funding and liquidity creation
We examine the relationship between wholesale funding and liquidity creation using a sample of 825 banks in 84 countries during the post-crisis...
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Pricing vulnerable basket spread options with liquidity risk
In this paper, we investigate the pricing of vulnerable basket options and basket spread options with stochastic liquidity risk. A liquidity-adjusted...
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Dividend policy, systematic liquidity risk, and the cost of equity capital
This paper examines a new channel through which dividend policy can affect firm value. We find that firms that pay dividends exhibit lower systematic...
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Consumption with earnings, liquidity, and market based models
The market, earnings, and liquidity growth combine to form a proxy for wealth growth, allowing a recursive consumption model with a low risk aversion...
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Liquidity Premium
The liquidity premium represents the additional rate of return expected by investors to compensate them for the risk of holding illiquid assets. The...
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Do investors infer future cash flow volatility based on liquidity?
Prior literature has studied the relationship between historic cash flow volatility and current levels of liquidity (Bates et al. in J Financ...
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Public access to in-house meeting reports and stock liquidity: evidence from China
In this study we analyze the impact of a regulatory change in disclosure on private in-house meetings on stock liquidity. In July 2012, the Shenzhen...
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The Operators in Search of Liquidity
The world of market operators is sometimes difficult to discern and is not characterized by its transparency. For the sake of simplicity, I will...
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Investor Diversity and Liquidity in The Secondary Loan Market
We find strong evidence that investor diversity is beneficial to loan liquidity: More diverse syndicates, as measured by the number of investor-types...
