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
Does it pay to be forthcoming? Evidence from CSR disclosure and equity market liquidity
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DOI: 10.1002/csr.1691
Abstract: We examine the impact of corporate social responsibility (CSR) disclosure strategies on equity market liquidity. Using data on CSR disclosure from Bloomberg, we find that equity market liquidity improves as firms increase their CSR disclosure… read more here.
Keywords: disclosure; market liquidity; equity market; csr disclosure ... See more keywords
The impact of ownership concentration and analyst coverage on market liquidity: Comparative evidence from an auction and a specialist market
Sign Up to like & getrecommendations! Published in 2017 at "Economic Modelling"
DOI: 10.1016/j.econmod.2017.11.004
Abstract: This paper examines the relationships among market liquidity, ownership structure and public information production in Italy, where the share market setting might have a considerable effect. Our findings suggest that both the private information held… read more here.
Keywords: market liquidity; analyst coverage; specialist market; market ... See more keywords
Disposition sales and stock market liquidity
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DOI: 10.1016/j.finmar.2019.04.003
Abstract: This paper studies the impact of the disposition effect, which results in uninformed sales when investors realize their capital gains. Market makers should post tighter bid-ask spreads and quote prices that are less sensitive to… read more here.
Keywords: stock market; disposition sales; market liquidity; disposition ... See more keywords
An examination of the effect of stock market liquidity on bank market power
Sign Up to like & getrecommendations! Published in 2021 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2021.101810
Abstract: Abstract This paper investigates the spillover effects of aggregate stock market liquidity on bank market power using a sample of 44 countries and 7297 individual banks from 1999 to 2014. Country-level and bank-level analysis shows… read more here.
Keywords: market; market liquidity; market power; stock market ... See more keywords
Do firms issue more equity when markets become more liquid?
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Financial Economics"
DOI: 10.1016/j.jfineco.2018.12.004
Abstract: This paper investigates how public equity issuance is related to stock market liquidity. Using quarterly data on IPOs and SEOs in 36 countries over the period 1995-2008, we show that equity issuance is significantly and… read more here.
Keywords: market liquidity; equity; equity issuance; market ... See more keywords
Liquidity in the repo market
Sign Up to like & getrecommendations! Published in 2018 at "Journal of International Money and Finance"
DOI: 10.1016/j.jimonfin.2018.02.005
Abstract: This paper examines liquidity in the Swiss franc repurchase (repo) market and assesses its determinants using a proprietary dataset ranging from 2006 to 2016. I find that repo market liquidity has a distinct intraday pattern,… read more here.
Keywords: market liquidity; repo market; liquidity repo; market ... See more keywords
Examining the relationship between earning management and market liquidity
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DOI: 10.1016/j.ribaf.2017.07.054
Abstract: The main purpose of this paper is to argue the extent that earnings management lowers liquidity. It should increase information asymmetry and impair trading liquidity. Using a sample of French firms from 2008 to 2011,… read more here.
Keywords: liquidity; examining relationship; management; relationship earning ... See more keywords
Ebbs and flows: the determinants of local currency bond market liquidity in Poland
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DOI: 10.1080/17520843.2020.1790626
Abstract: ABSTRACT Liquidity facilitates price discovery, improves market efficiency and lowers transaction costs. We make use of a novel dataset of daily bond fixings on Warsaw Stock Exchange’s official bond trading platform (2005–2018 period). Using bid-ask… read more here.
Keywords: liquidity; bond; flows determinants; market ... See more keywords
Determinants of stock market liquidity – a macroeconomic perspective
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DOI: 10.1080/17520843.2021.1983705
Abstract: This study examines the impact of macroeconomic indicators on the liquidity of the Indian stock market by using the Granger Causality, Vector Auto-Regressive Model, and Impulse Response Functions. ... read more here.
Keywords: market liquidity; stock market; determinants stock; market ... See more keywords
Market liquidity and funding liquidity: Empirical analysis of liquidity flows using VAR framework
Sign Up to like & getrecommendations! Published in 2020 at "Acta Oeconomica"
DOI: 10.1556/032.2020.00034
Abstract: One of the many consequences of financialization in the past decades has been the significant appreciation of the importance of financial markets’ liquidity. In order to maintain financial stability, one must have a clear understanding… read more here.
Keywords: market liquidity; liquidity; liquidity funding; funding liquidity ... See more keywords