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The Role of Ownership Structure and Board Characteristics in Stock Market Liquidity
International Journal of Financial Studies, 2021 Corporate governance plays a significant role in the value of shareholders and share prices, hence stock market liquidity is affected. Previous research has mainly focused on the issue in developed markets, whereas in developing countries there is a need
Wajih Abbassi +3 more
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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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FX spot and swap market liquidity spillovers
Journal of International Money and Finance, 2021 We study the joint evolution of foreign exchange (FX) spot and swap market liquidity. Trading in FX swaps exceeds that of spot, yet this market segment has been largely ignored in prior research on FX market liquidity.
Ingomar Krohn, Vladyslav Sushko
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Liquidity in Asian Financial Markets: Crowding Out or Spillover Effect
Applied Finance Letters, 2020 The paper attempts to explore the relationship between the stock market and the corporate bond market, with a focus on the inter-dependency of liquidity between the two markets.
Sonal Thukral, Rahul Sikka
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Corporate Bond Pricing Model with Interaction between Liquidity and Credit Risk
Complexity, 2022 This study derives a liquidity and credit risk-adjusted capital asset pricing model and investigates the model using the data set in China's corporate bond market.
Zijian Wu, Baochen Yang, Yunpeng Su
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Journal of Mathematics, 2021 Liquidity reflects the quality of the market. When the market is short of liquidity, it often causes investors’ trading difficulties and stock price volatility, expanding the investment risk.
Hairong Cui, Jinfeng Fei, Xunfa Lu
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Journal of Business and Social Review in Emerging Economies, 2021 Purpose: This research examines the impact of oil prices, exchange rate, stock market index, market volatility and inflation on the stock market liquidity.
Muhammad Husnain +2 more
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The perils of credit booms [PDF]
, 2017 We present a dynamic general equilibrium model of production economies with adverse selection in the financial market to study the interaction between funding liquidity and market liquidity and its impact on business cycles.
Dong, Feng, Miao, Jianjun, Wang, P.
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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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Liquidity Effects of Trading Frequency [PDF]
, 2017 In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents).
Gayduk, Roman, Nadtochiy, Sergey
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