Commonality In Liquidity
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Commonality In Liquidity
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Author :
language : en
Publisher:
Release Date : 2002
Commonality In Liquidity written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Understanding Commonality In Liquidity Around The World
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Author : George Andrew Karolyi
language : en
Publisher:
Release Date : 2011
Understanding Commonality In Liquidity Around The World written by George Andrew Karolyi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
We examine how commonality in liquidity varies across countries and over time in ways related to supply determinants (funding liquidity of financial intermediaries) and demand determinants (correlated trading behavior of international and institutional investors, incentives to trade individual securities, and investor sentiment) of liquidity. Commonality in liquidity is greater in countries with and during times of high market volatility (especially, large market declines), greater presence of international investors, and more correlated trading activity. Our evidence is more reliably consistent with demand-side explanations and challenges the ability of the funding liquidity hypothesis to help us understand important aspects of financial market liquidity around the world, even during the recent financial crisis.
Determinants Of Commonality In Liquidity
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Author : Sudhakar Reddy Syamala
language : en
Publisher:
Release Date : 2017
Determinants Of Commonality In Liquidity written by Sudhakar Reddy Syamala and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Using an extensive, time-series, cross-sectional data-set of actively traded Indian stocks with up to 1.75 million firm-day observations, we discern the key determinants of commonality in liquidity among emerging markets.The paper shows evidence for both supply-side and demand-side factors contributing to liquidity commonality. However, the results are more supportive towards supply-side rationale for liquidity commonality among the firms where regulators and banks play an important source of commonality in liquidity, especially during market turmoil. Results are partially driven by the fact that the Indian stick exchange is an order-driven market. Economic activities like cheap exports and undervalued currency, rather than correlated trading by the institutional investors determine the demand for liquidity. These findings endorse the effect of high firm value, market return, liquidity, volatility, turnover, and alternate proxies of commonality in liquidity estimation.
Commonality In Liquidity And Its Determinants
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Author : Sudhakar Reddy Syamala
language : en
Publisher:
Release Date : 2013
Commonality In Liquidity And Its Determinants written by Sudhakar Reddy Syamala and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
A stock's liquidity and its variability over time are of major concern for all the stakeholders of capital markets. Literature shows that market participants prefer liquid stocks and a stock's exposure to liquidity commonality is inversely proportional to market returns. Although the burgeoning literature on liquidity commonality shows that stocks have significant commonality, the major sources that cause it are yet unknown. Some studies have shown evidence for the supply-side determinants of liquidity commonality driven by funding constraints faced by market participants and some studies show evidence for the demand-side sources of liquidity commonality related to the correlated trading activity, level of institutional ownership. In this paper, we study the evolution of liquidity commonality over time by using quarterly data from 2001-2009 for NSE listed stocks and then determine the supply-side and demand-side sources of systematic liquidity. We construct Amihud's liquidity measure using daily data as a proxy for liquidity and estimate liquidity commonality of each stock on a quarterly basis from the market model time series regression of Chordia, Roll, and Subrahmanyam (2000). We find significant evidence of liquidity commonality for the sample period and also size effects in liquidity commonality. We find that supply-side sources of liquidity commonality significantly explain liquidity commonality, whereas, the demand-side sources are not significant in explaining liquidity commonality.
Essays On Commonality In Liquidity
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Author : Joel L. Fabre
language : en
Publisher:
Release Date : 2005
Essays On Commonality In Liquidity written by Joel L. Fabre and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Liquidity (Economics) categories.
Global Commonality In Liquidity
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Author : Fariborz Moshirian
language : en
Publisher:
Release Date : 2015
Global Commonality In Liquidity written by Fariborz Moshirian and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Following previous research which established that liquidity commonality exists within one stock market over a short period of time, this paper finds that liquidity commonality also exists globally. Utilising a large number of stock exchanges and a twelve year research time frame, this paper observes that liquidity commonality exists in both developed and emerging markets. In particular, liquidity commonality is higher in emerging markets compared to developed markets and is weaker in areas where there is strong financial market integration. Results show that by region, Asia has the highest liquidity commonality whereas North America has the lowest. Furthermore, the five countries with the highest liquidity commonality are all emerging markets: China, Turkey, Taiwan, India and Korea.
Commonality In Liquidity
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Author : Chitru S. Fernando
language : en
Publisher:
Release Date : 2002
Commonality In Liquidity written by Chitru S. Fernando and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Commonality In Liquidity In Emerging Markets
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Author : Min Bai
language : en
Publisher:
Release Date : 2015
Commonality In Liquidity In Emerging Markets written by Min Bai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Emerging markets share many distinct features that separate them from more developed markets, including low liquidity and high commonality in liquidity. This study on 18 emerging markets finds that individual stock liquidity is more affected by systematic volatility than by idiosyncratic volatility, suggesting that higher commonality in liquidity in emerging markets could be caused by higher co-variation in stock volatility and co-variation in inventory risk. Consistent with this conjecture, commonality in liquidity is found to be positively related to co-movement in volatility, and negatively related to the level of development of the financial markets. This study also documents that liquidity co-movement across emerging markets has a strong geographic component and is related to a correlation in market-wide volatility. The results do not support the presence of a global liquidity factor, and suggest that liquidity risk can be diversified by constructing global portfolios.
Commonality In Liquidity
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Author : Sudhakar Reddy Syamala
language : en
Publisher:
Release Date : 2017
Commonality In Liquidity written by Sudhakar Reddy Syamala and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Using a sample of actively traded stocks and options from emerging order-driven market, this study examines and provides satisfactory evidence for the existence of commonality in liquidity for both spot and derivatives market. For equities; the market- and industry-wide commonality remain strong even after controlling for market returns and individual firm volatility and for options after accounting for the underlying stock market liquidity and implied volatility. Compared to the stock market, options market exhibit an increased commonality in liquidity with market capitalization. Here information asymmetry acts as an important microstructure related source of commonality in liquidity across markets. The findings are robust across call and put options with negligible evidence of cross-sectional error correlation for all the liquidity measures.
Common Market Makers And Commonality In Liquidity
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Author : Mohsen Moussa Saad
language : en
Publisher:
Release Date : 2002
Common Market Makers And Commonality In Liquidity written by Mohsen Moussa Saad and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Liquidity (Economics) categories.
