Investigating Commonality In Liquidity
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Investigating Commonality In Liquidity
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Author : Charly Sujoto
language : en
Publisher:
Release Date : 2007
Investigating Commonality In Liquidity written by Charly Sujoto and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Liquid assets categories.
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.
Commonality In Liquidity And Real Estate Securities
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Author : Kustrim Reka
language : en
Publisher:
Release Date : 2017
Commonality In Liquidity And Real Estate Securities written by Kustrim Reka 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.
We conduct an empirical investigation of the exposure of U.S. REIT returns to commonality in liquidity. Taking advantage of the specific characteristics of REITs, we study three types of commonality in liquidity: within-asset commonality, cross-asset commonality (with the stock market), and commonality with the underlying property market. We find evidence that the three types of commonality in liquidity represent significant risk factors for REIT returns but only during bad market conditions. We also find that using a linear approach, rather than a conditional, would have underestimated the role of commonality in liquidity risk. This could explain (at least partly) the small impact of commonality on asset prices documented in the extant literature. We also analyze the economic sources of commonality in liquidity and find that demand-side factors prevail over supply-side factors.
Commonality In Liquidity
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Author : Paul Brockman
language : en
Publisher:
Release Date : 2001
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 2001 with categories.
Events such as the 1997 East Asian financial crisis indicate that individual firm liquidity is strongly influenced by marketwide factors. Previous market microstructure research, however, focuses almost exclusively on the firm-specific attributes of liquidity. Our study follows the recent shift in emphasis toward commonality by examining systematic liquidity in an order-driven market structure. Using data from the Stock Exchange of Hong Kong, we show that commonality in liquidity includes both market and industry components, and is pervasive across size-sorted portfolios. We also find a significant market and industry component in individual firms' order flow. In contrast to quote-driven results, we do not find a positive relation between firm size and sensitivity to changes in marketwide bid-ask spreads.
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.
Liquidity Commonality During The Financial Crisis
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Author : Ya-Ting Chang
language : en
Publisher:
Release Date : 2016
Liquidity Commonality During The Financial Crisis written by Ya-Ting Chang 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.
This paper investigate whether the effects of U.S. news announcements has influence on liquidity commonality during financial crisis periods. We construct a market-wide liquidity risk in the foreign exchange market by using Generalized Dynamic Factor Model (GDFM) model. We show that strong commonality in liquidity are associated with major crisis events. Our analysis also indicates that price volatility produced by U.S. macroeconomic news release are able to influence levels of commonality in liquidity. Furthermore, we find that quantitative easing policies injects high capital inflows into market to improve financial sector's funding liquidity, which might cause a decrease in commonality in liquidity. Finally, we present evidence that either from supply-side forces related to the funding liquidity and to investors' fear or from market volatility related to the dealer inventory cost and to news surprise, which have a significant influence on market-wide FX liquidity.
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.
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.
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.
