A distribution‐based method to gauge market liquidity through scale invariance between investment horizons
Sign Up to like & getrecommendations! Published in 2020 at "Applied Stochastic Models in Business and Industry"
DOI: 10.1002/asmb.2531
Abstract: A nonparametric method is developed to detect self-similarity among the rescaled distributions of the log-price variations over a number of time scales. The procedure allows to test the statistical significance of the scaling exponent that… read more here.
Keywords: liquidity; self similarity; market; market liquidity ... See more keywords
Lending relationships and a corporate liquidity shortage: Evidence from the COVID‐19 shock in Japan
Sign Up to like & getrecommendations! Published in 2022 at "Managerial and Decision Economics"
DOI: 10.1002/mde.3613
Abstract: We investigate the effects of lending relationships between banks and borrowers on loan supply during the economic shock caused by the coronavirus (COVID-19) pandemic. Using bank?firm matched data for Japan to control for several firm-… read more here.
Keywords: lending relationships; covid shock; relationships corporate; liquidity ... See more keywords
Liquidity constraints, spillovers, and entrepreneurship: evidence from a cash transfer program
Sign Up to like & getrecommendations! Published in 2019 at "Small Business Economics"
DOI: 10.1007/s11187-019-00178-1
Abstract: This paper exploits a liquidity shock from a welfare program in Brazil to investigate the role of financial constraints, in opposition to general equilibrium mechanisms, in explaining entrepreneurship. Previous research focuses exclusively on how liquidity… read more here.
Keywords: liquidity constraints; spillovers entrepreneurship; constraints spillovers; entrepreneurship evidence ... See more keywords
Stock liquidity on China NEEQ exchange
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DOI: 10.1007/s40822-016-0057-6
Abstract: With the recent deregulation, the National Equities Exchange and Quotations (NEEQ) has become the fastest growing exchange in China. Despite its phenomenal growth, the NEEQ has an urgent need to improve its liquidity, as 70 %… read more here.
Keywords: liquidity; information; stock liquidity; china ... See more keywords
Fiscal Policy and Liquidity Traps with Heterogeneous Agents
Sign Up to like & getrecommendations! Published in 2017 at "Economics Letters"
DOI: 10.1016/j.econlet.2017.05.025
Abstract: This paper explores global dynamics in a monetary model with limited asset market participation and the zero lower bound on nominal interest rates. It is shown that a rise in government transfers to ‘non-Ricardian’ consumers… read more here.
Keywords: liquidity; fiscal policy; liquidity traps; traps heterogeneous ... See more keywords
Liquidity and market efficiency in cryptocurrencies
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DOI: 10.1016/j.econlet.2018.04.003
Abstract: We examine the liquidity of 456 different cryptocurrencies, and show that return predictability diminishes in cryptocurrencies with high market liquidity. We show that whilst Bitcoin returns are showing signs of efficiency, numerous cryptocurrencies still exhibit… read more here.
Keywords: liquidity; liquidity market; market; efficiency cryptocurrencies ... See more keywords
A key determinant of commodity price Co-movement: The role of daily market liquidity
Sign Up to like & getrecommendations! Published in 2019 at "Economic Modelling"
DOI: 10.1016/j.econmod.2019.01.004
Abstract: Abstract Daily price co-movement across different commodity classes and its key determinant are investigated in this paper. Using co-integration and Granger causality analysis, we identify a common liquidity factor which drives prices of five commodities… read more here.
Keywords: key determinant; price; commodity; price movement ... See more keywords
The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market
Sign Up to like & getrecommendations! Published in 2019 at "Economic Modelling"
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
The liquidity mechanics of dealer banks in the market-based credit system
Sign Up to like & getrecommendations! Published in 2021 at "Economic Modelling"
DOI: 10.1016/j.econmod.2021.105648
Abstract: Abstract Are US government bonds (Treasuries) as good as cash? Conventional wisdom in academia and industry says that their safety and liquidity make Treasuries a cash-substitute. This paper shows that Treasuries stop being as good… read more here.
Keywords: liquidity; dealer banks; market; liquidity risk ... See more keywords
Stock market liquidity, family ownership, and capital structure choices in an emerging country
Sign Up to like & getrecommendations! Published in 2017 at "Emerging Markets Review"
DOI: 10.1016/j.ememar.2017.11.001
Abstract: Abstract This study examines the impact of equity liquidity and family ownership on capital structure decisions in an emerging market context. Using univariate analysis, I find a positive relationship between liquidity and leverage. Further, this… read more here.
Keywords: family ownership; liquidity; liquidity family; ownership capital ... See more keywords
Liquidity shocks, business cycles and asset prices
Sign Up to like & getrecommendations! Published in 2017 at "European Economic Review"
DOI: 10.1016/j.euroecorev.2017.05.004
Abstract: In the aftermath of the Great Recession, macro models that feature financing constraints have attracted increasing attention. Among these, Kiyotaki et al. (2012) is a prominent example. In this paper, we investigate whether the liquidity… read more here.
Keywords: liquidity; asset prices; asset; shocks business ... See more keywords