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The Liquidity Premium in China’s Corporate Bond Market: A Stochastic Liquidity Discount Approach
Risks, 2022 China’s bond market has been ranked third globally; however, China’s corporate bonds are significantly less liquid than its stocks. Liquidity risk is an important component in China’s corporate bond spreads.
Xiaoping Min, Min Ji
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Liquidity Risk and Asset Pricing in Pakistan Stock Exchange
JISR Management and Social Sciences & Economics, 2021 This paper empirically investigates the impact of liquidity risk on stock returns in Pakistan and determines investors’ attitude under bull and bear market conditions. Specifically, the liquidity adjusted capital asset pricing model(CAPM) is modified by
Abdul Rashid, Asma Aib
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DeFi Lending Platform Liquidity Risk: The Example of Folks Finance
The Journal of The British Blockchain Association, 2023 Decentralised finance (DeFi) lending platforms may experience liquidity risk, which occurs when users are unable to withdraw their assets. Researchers and practitioners have found that the concentration of deposits among a small group of users is one of ...
Matthias Hafner +7 more
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PLoS ONE, 2022 We investigate liquidity spillovers among industry sectors in the S&P 500 index to explain the interconnection dynamics in the US stock market. To do so, we define a sectoral liquidity measure based on the Amihud liquidity measure.
Seo-Yeon Lim, Sun-Yong Choi
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Do Liquidity Proxies Based on Daily Prices and Quotes Really Measure Liquidity?
Entropy, 2020 This paper examines whether liquidity proxies based on different daily prices and quotes approximate latent liquidity. We compare percent-cost daily liquidity proxies with liquidity benchmarks as well as with realized variance estimates.
Barbara Będowska-Sójka +1 more
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Journal of Mathematics, 2021 This paper adopts the intelligent scheduling method to conduct an in-depth study and analysis on the optimization of financial asset liquidity management model, elaborates and analyzes the liquidity risk management theory of commercial banks, and reviews
Yi Zhou, Weili Xia, Shengping Peng
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Stock Market Liquidity: A Literature Review
SAGE Open, 2021 The purpose of this study is to identify the key aspects that have been studied in the area of stock market liquidity, accumulate their important findings, and also provide a quantitative categorization of reviewed literature that will facilitate in ...
Priyanka Naik, Y. V. Reddy
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Size Effect in Market-wide Liquidity Commonality: Evidence from the Indian Stock Market
Organizations and Markets in Emerging Economies, 2019 Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in market microstructure. Analyzing and identifying such commonality will enable the investor and policy maker to discover evidence ...
Namitha K. Cheriyan, Daniel Lazar
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The Relation between Asset Liquidity and Stock Liquidity in Tehran Stock Exchange [PDF]
پژوهشهای تجربی حسابداری, 2015 This study investigates the relation between assets liquidity and stock liquidity in Tehran stock Exchange for the period of 2008 to 2011. This study uses liquidity criteria provided by AMIHUD and corrected by Gopalan for its high skewness, as well s ...
Ahmad Ahmadpour, Mohsen Baghban
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Determinants of liquidity risk: Empirical evidence from Indian commercial banks [PDF]
Banks and Bank Systems, 2023 Liquidity risk is a significant financial threat that must be handled carefully. Underestimation or mismanagement of liquidity risk may lead to severe financial losses or even bank failures.
Tisa Maria Antony
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