Results 21 to 30 of about 24,822 (265)
Examining the dynamics of illiquidity risks within the phases of the business cycle
Borsa Istanbul Review, 2019 The Fama-French (FF) five-factor model is cast into a dynamic setting to capture the impact of illiquidity over the phases of the business cycle on the returns of the passive FF twelve sector portfolios.
François-Eric Racicot +3 more
doaj +1 more source
Risks, 2021 The paper presents an alternative approach to measuring systemic illiquidity applicable to countries with frontier and emerging financial markets, where other existing methods are not applicable.
Ewa Dziwok, Marta A. Karaś
doaj +1 more source
Borsa Istanbul Review, 2019 This paper investigates the effect of liquidity risk on asset returns in an emerging market, Borsa Istanbul, under the LCAPM framework. The results suggest that including illiquidity betas to the CAPM model contribute the explanation power of systematic ...
Erdinç Altay, Seda Çalgıcı
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Illiquidity, insolvency, and banking regulation [PDF]
, 2010 This paper provides a compact framework for banking regulation analysis in the presence of uncertainty between systemic liquidity and solvency shocks.
Cao, Jin
core +2 more sources
How to Measure Illiquidity on European Emerging Stock Markets?
Business Systems Research, 2014 Background: Liquidity is, in practice of portfolio investment, an important attribute of stocks and measuring illiquidity presents a real challenge for researchers, primarily on developed stock markets. Moreover, there is a lack of research dealing with (
Vidović Jelena +2 more
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DRIVERS OF ILLIQUIDITY IN THE ASEAN SOVEREIGN BOND MARKET
Buletin Ekonomi Moneter dan Perbankan, 2020 We study illiquidity in ASEAN-5 sovereign bond markets from 2008 to 2019 by using an illiquidity measure, which is based on a proxy of the amount of arbitrage capital available in sovereign bond markets.
Harald Kinateder +2 more
doaj +1 more source
Credit default swaps and systemic risk [PDF]
, 2015 We present a network model for investigating the impact on systemic risk of central clearing of over the counter (OTC) credit default swaps (CDS). We model contingent cash flows resulting from CDS and other OTC derivatives by a multi-layered network with
Cont, R, Minca, A
core +1 more source
The cross-section of Chinese corporate bond returns
Journal of Finance and Data Science, 2023 We study the relation between bond characteristics and corporate bond returns in China's two distinct and segmented bond markets—the interbank market and the exchange market—with a large cross-sectional dataset of 8318 corporate bonds from January 2010 ...
Xiaoyan Zhang, Zijian Zhang
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Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach [PDF]
, 2018 Even though the volatility spillover effects in global equity markets have been documented extensively, the transmission of illiquidity across national borders has not.
Lu, Wenna, Taylor, Nick, Xu, Yongdeng
core +7 more sources
The Impacts of Investor Sentiment on Liquidity and its Volatility: Evidence from Tehran Stock Exchange [PDF]
تحقیقات مالی, 2022 Objective: Behavioral finance and market microstructure studies showed that investor sentiment has a positive and meaningful effect on liquidity. The purpose of this study is to investigate the effect of the Aggregate Sentiment Index (ASI) on liquidity ...
Mohammad Ebrahim Aghababaei +1 more
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