Global Commonality In Liquidity
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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 : Paul Brockman
language : en
Publisher:
Release Date : 2008
Commonality In Liquidity written by Paul Brockman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
We conduct a comprehensive study of commonality in liquidity using intraday spread and depth data from 47 stock exchanges. We find that firm-level changes in liquidity are significantly influenced by exchange-level changes across most of the world's stock exchanges. Emerging Asian exchanges have exceptionally strong commonality, while those of Latin America exhibit little if any commonality. After documenting the pervasive role of commonality within individual exchanges, we examine commonality across exchanges. We find evidence of a distinct, global component in bid-ask spreads and depths. Local (exchange-level) sources of commonality represent roughly 39 percent of the firm's total commonality in liquidity, while global sources contribute an additional 19 percent. We also investigate potential sources of exchange-level and global commonality. We show that commonality is driven by both domestic and US macroeconomic announcements.
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.
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 Of Liquidity Around The World
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Author : Mehmet F. Dicle
language : en
Publisher:
Release Date : 2008
Commonality Of Liquidity Around The World written by Mehmet F. Dicle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Cross Listings And Liquidity Commonality Around The World
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Author : Tung Lam Dang
language : en
Publisher:
Release Date : 2016
Cross Listings And Liquidity Commonality Around The World written by Tung Lam Dang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
In this paper, we investigate the effects of international cross-listings on commonality in liquidity. We find that cross-listings have asymmetric effects on cross-listed stocks' liquidity commonality that include reducing the stocks' liquidity commonality with the local market and increasing the stocks' liquidity commonality with the host market. We also find that the negative impact of cross-listings on home liquidity commonality is more pronounced for stocks from countries with high market segmentation, an opaque information environment, and a poor institutional infrastructure. These results suggest that cross-listings reduce the vulnerability of stocks' liquidity to aggregate liquidity shocks in the local market.
Global Liquidity Issues For Surveillance
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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2014-12-03
Global Liquidity Issues For Surveillance written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-03 with Business & Economics categories.
The paper starts by presenting evidence of commonality in global financial conditions. This commonality is then related to specific drivers of global financial conditions through a range of transmission channels, including cross-border banking and portfolio flows. Empirical analysis shows a range of price and quantity factors, including measures of risk, bank leverage, and interest rates in financial centers, to drive in part these flows. Country specific policies, including exchange rate and prudential frameworks, are shown to affect the transmission of global conditions. Much remains unknown though, including how evolving structures of global funding, changing institutions, and ongoing financial innovations affect the mechanics of liquidity creation, the channels of liquidity transmission, and potential risks going forward.
Common Patterns In Commonality In Returns Liquidity And Turnover Around The World
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Author :
language : en
Publisher:
Release Date : 2007
Common Patterns In Commonality In Returns Liquidity And Turnover Around The World written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Essays On Liquidity In Financial Markets
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Author : Christoph Koser
language : en
Publisher:
Release Date : 2020
Essays On Liquidity In Financial Markets written by Christoph Koser and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
"This dissertation contributes to a better understanding of liquidity in financial markets. Relying on the latest proxies for liquidity and TAQ benchmark data, this dissertation investigates liquidity in financial markets from different perspectives and gives answers to crucial challenges when assessing the importance of liquidity; its time-varying commonality across assets and stock markets; its impact on asset pricing in abnormal market states and finally its dynamics and determinants on a daily basis. This study has implications for investors and market makers as part of risk management and portfolio diversification and for policy makers in the context of designing optimal regulatory frameworks to predict and prevent common sources of liquidity tightness in global financial markets. In the second chapter, I study commonality in liquidity and its association to market volatility. Taking on a global perspective on this matter and examining nine major stock markets, I first construct a novel and dynamic measure of commonality in liquidity. I show that liquidity commonality is present in global stock markets and increases parallel to crisis periods. This finding points towards abrupt changes in liquidity fundamentals and clearly provide evidence for demand- and supply-driven sources of commonality in liquidity (i.e. correlated trading behavior on institutional level paired with restrictions on funding capital) on a global scale. Driven by the well acknowledged findings of a positive relationship between volatility and illiquidity, I investigate the time-varying tie between common variation in liquidity and volatility. Using a dynamic granger-causality test, I find that global market volatility always causes commonality in liquidity while commonality in liquidity causes volatility only in sub-periods, spanning over the financial crisis and its aftermath period. In the third chapter, I examine the effect of systemic liquidity risk as a priced risk factor in asset pricing. Hereby, I challenge the previous literature in their finding of a linear relationship between systemic liquidity risk and asset prices. I show that systemic liquidity risk is not always a priced factor in the explanation of asset prices. I find that systemic liquidity risk and asset prices are negatively associated in bad market states. This finding can be explained by downward trended liquidity spirals, in other words, an interaction between demand and supply-sided commonality in liquidity, which cause a depression in asset pricing during bad market states. I also show that liquidity risk has a positive link to asset pricing in good market states, which is mainly associated with search-for-yield considerations. Finally, I document that there is no significant relationship between systemic liquidity risk and asset pricing during normal market swings. This finding supports the initial claim that market participants do not worry too much about the state of market-wide liquidity during regular times. In the fourth chapter, I investigate daily liquidity and trading activity of energy stocks traded at U.S. stock exchanges, categorized into five energy sectors, that is, oil and gas, coal mining, renewables, electric- and multi-utilities. Using TAQ (trades and quotes) data, I examine various dimensions of liquidity and trading - effective spreads, price impact of trades, number of trades and volume - on sectoral level. I document cross-sectional differences in the level of liquidity and trading across energy stock segments. I find that liquidity and trading is trended and exhibit serial dependency up to higher lags, similarly across sectors. There is a weekly pattern for trading and liquidity, both decline on Fridays, on average. I also identify a number of factors that affect trading and liquidity commonly across sectors, that is, general market movements, short-term momentum runs and overall stock market volatility, which points again towards the direction of correlated trading, amplified by institutional investors. Moreover, I show that trading and liquidity are sensitive to a widening Term Spread. I find a heterogeneous effect of the oil price on liquidity and trading activity, dependent on the energy segment. Despite controlling for stock market volatility, I observe that illiquidity and trading increase with higher levels of oil price volatility. Finally, I show that trading activity, both, in number of trade executions and share volume, increases for renewable and multi-utility stocks when climate change receives global media attention. Fast markets and increased trading make liquidity to be one of the top considerations in the smooth functioning of financial markets, especially in the light of financial distress and sudden, downward trended liquidity spirals, where liquidity adjusts to different equilibria levels. For future discussion, there is further need to address liquidity in its different dimensions and in the context of financial market quality, information efficiency and sentiment. This dissertation is yet another step for a more comprehensive knowledge on liquidity." -- TDX.
The Determinants And Pricing Of Liquidity Commonality Around The World
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Author : Fariborz Moshirian
language : en
Publisher:
Release Date : 2017
The Determinants And Pricing Of Liquidity Commonality Around The World 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 2017 with categories.
This paper examines the determinants and pricing of liquidity commonality using intraday data from 39 markets over 15 years. We show that liquidity commonality is driven by both market-level and firm-level factors. Liquidity commonality is higher in weaker and more-volatile economic and financial environments, in areas with poor investor protection, and in opaque information environments. Liquidity commonality is also affected by cultural and behavioral factors, including individualism and uncertainty avoidance. Moreover, we find that liquidity commonality is priced in the world's stock markets and that the pricing effect is stronger in developed markets.
