Results 61 to 70 of about 292,088 (207)

Market Liquidity as a Sentiment Indicator [PDF]

SSRN Electronic Journal, 2002
We build a model that helps to explain why increases in liquidity - such as lower bid-ask spreads, a lower price impact of trade, or higher turnover - predict lower subsequent returns in both firm-level and aggregate data. The model features a class of irrational investors, who underreact to the information contained in order flow, thereby boosting ...
Malcolm Baker, Jeremy C. Stein
openaire   +2 more sources

Designating market maker behaviour in Limit Order Book markets

, 2015
Financial exchanges provide incentives for limit order book (LOB) liquidity provision to certain market participants, termed designated market makers or designated sponsors.
Danielsson, Jon, Panayi, Efstathios, Peters, Gareth W., Zigrand, Jean-Pierre   +3 more
core   +1 more source

Time-varying credit risk and liquidity premia in bond and CDS markets [PDF]

We develop a reduced-form model that allows us to decompose bond spreads and CDS premia into a pure credit risk component, a pure liquidity component, and a component measuring the relation between credit risk and liquidity.
Bühler, Wolfgang, Trapp, Monika
core  

Endogenous Market Turbulence [PDF]

, 2006
In this paper I study a nonlinear feedback trading model which can generate stable, unstable, turbulent or chaotic asset returns depending on market conditions.
Tambakis, Demosthenes N
core  

The Study of the Relation between Information Transparency and Stock Liquidity Uncertainty in TSE’s Listed Companies [PDF]

مطالعات تجربی حسابداری مالی, 2011
The purpose of this study is to gather evidence about the effect of information transparency on stock liquidity uncertainty and also the effect of stock liquidity uncertainty on the firm value.
H kazemi, N rahimian, B havaei
doaj  

Liquidity Risk and Banks’ Bidding Behavior: Evidence from the Global Financial Crisis [PDF]

Even in countries that were not directly hit by the global financial crisis and where the banking system had a relatively strong liquidity position, there has been a negative spiral between the market and funding liquidity. The authors illustrate this on
Adam Geršl, Zlatuše Komárková
core  

ROLE OF FINANCIAL INSTRUMENTS IN ENSURING LIQUIDITY AND STABILITY OF THE CURRENCY MARKET OF UKRAINE IN THE CONDITIONS OF MILITARY CONFLICT

Фінансово-кредитна діяльність: проблеми теорії та практики
In the conditions of military actions, liquidity of the currency market is of critical importance for the financial stability and security of the state, which stipulates significant relevance of the issue of instruments of liquidity provision.
Oleksandr Zhurba
doaj   +1 more source

Pricing quanto options with market liquidity risk. [PDF]

PLoS One, 2023
Gao R, Bai Y.
europepmc   +1 more source

Trends in the liquidity of Hungarian financial markets – What does the MNB’s new liquidity index show? [PDF]

The Magyar Nemzeti Bank measures the trends in the liquidity of Hungarian financial markets by means of a liquidity index and a related set of liquidity sub-indices.
Judit Páles, Lóránt Varga
core  

Stock Liquidity and Company Annual Reports. How Does Publishing the Annual Report Affect Stock Liquidity?

Nauki o Finansach
Aim: This study examines how management reports affect stock liquidity and compares the responses of stocks with low, medium, and high liquidity. Methodology: Stocks were classified into three liquidity groups based on the median Amihud (ILLIQ) ratio ...
Tohid Zeinali, Jan Makary Fryczak
doaj   +1 more source