The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market
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DOI: 10.1016/j.econmod.2019.02.001
Abstract: Abstract This study investigates the impact of liquidity constraints on the dynamics of the cash-futures basis in the Chinese futures market. By analyzing the trading behaviors of hedgers, speculators, and arbitrageurs in a liquidity constraint… read more here.
Keywords: cash futures; basis; impact liquidity; liquidity ... See more keywords
Speculation and its impact on liquidity in commodity markets
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DOI: 10.1016/j.resourpol.2018.05.005
Abstract: Abstract In recent years, there has been extensive debate about the increasing speculative activity in commodity markets and passive index-investments, which are blamed for causing extreme long-term variations and price bubbles. This study sheds light… read more here.
Keywords: speculation impact; speculative activity; commodity markets; commodity ... See more keywords
The impact of liquidity on portfolio value-at-risk forecasts
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DOI: 10.1080/00036846.2019.1644442
Abstract: ABSTRACT Historical crisis events have highlighted the insufficiency of Value-at-Risk (VaR) as a measure of market risk because such metric does not take liquidity into account. Unlike previous studies analyzing with only a single asset,… read more here.
Keywords: liquidity; value risk; impact liquidity; portfolio ... See more keywords