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Bank Liquidity Management at the Macro and Micro Levels [PDF]
Problemi Ekonomiki, 2023 The article is aimed at deepening and systematizing the theoretical and methodological foundations of liquidity management at the macro and micro levels.
Lavreniuk Vladyslav V. +1 more
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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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Bank- specific determinants of liquidity risk for commercial banks in Algeria: Panel data analysis during 2005-2020 [PDF]
Financial Markets, Institutions and Risks, 2023 This study aims to monitor a group of factors that cause liquidity risks and contribute to the occurrence of liquidity problems by testing the determinants of liquidity risk and the explanatory factors of the liquidity problem in Algerian commercial ...
Fatma Benchenna
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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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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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The diminishing liquidity premium [PDF]
, 2008 Previous evidence suggests that less liquid stocks entail higher average returns. Using NYSE data, we present evidence that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four decades to levels
Azi Ben-Rephael +5 more
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