market liquidity funding liquidity and making markets

... II.A and III.D II Empirical Attributes of Market- wide Liquidity and Aggregate Trading Activity A Levels of Liquidity and Trading Activity Table I provides summary statistics of the basic market liquidity ... 627.1 244.6 1814.2 Standard deviation Coefficient of variation: Standard deviation 0Mean; ~dimensionless! Market Liquidity and Trading Activity Table I Market Liquidity and Trading Activity Variables, ... There is a distinctly asymmetric response of spreads to up and down markets They weakly decline in up markets and strongly increase in down markets The opposite is true for depth This suggests that...

Ngày tải lên: 23/04/2014, 16:29

... persistence is observed in both markets Also, the standard result that volatility decreases in up -markets and increases in down -markets obtains in both the stock and bond markets 19 The impact of volatility ... stock and bond market liquidities closely mimic Tuesdays and Friday are respectively the highest- and lowest -liquidity days of the week for both markets Further, liquidity in both stock and bond markets ... both stock and bond market liquidity 28 ² Unexpected liquidity and volatility shocks are positively and signi¯cantly correlated across stock and bond markets, suggesting that liquidity and volatility...

Ngày tải lên: 23/04/2014, 16:11

... of Financial Markets (2002) 83–125 87 periods would have 100 (80 discretionary and 20 nondiscretionary) liquidity traders, and the other period would have only 20 nondiscretionary liquidity traders ... fð:Þ stands for the standard normal density function and Fð:Þ stands for the cumulative standard normal The (conditional) probability density function of the DRCt=ztd is given in Eq (B.1) and the ... distribution of liquidity traders across the two periods would be one of the following: (60, 60) if they choose not to monitor the market and either (20, 100) or (100, 20) if they monitor the market Liquidity...

Ngày tải lên: 23/04/2014, 16:11

... stock market return and the Lehman aggregate bond index return are signi¯cantly positively correlated with order °ow We have run our forecasting regressions with and without the market variables and ... Chordia and Subrahmanyam (1995) for a simple model of how spread levels depend on inventory The direction of market movements could also trigger asymmetric e®ects on liquidity However, the market ... See, for example, Greenspan, 1999, and \Finance and Economics: Alan Greenspan's miracle cure," Economist, October 24, 1998, pp.75-76 and \A Review of Financial Market Events in Autumn 1998," CGFS...

Ngày tải lên: 23/04/2014, 16:29

... Capital and Liquidity 1.1 Introduction 1.2 Institutional Context and Data 1.3 Identification and Characteristics of Liquidity Providers in an Order Driven Market 1.4 Measuring Liquidity and Capital ... Commodity Futures Market 112 3.1 Introduction 112 3.2 Literature Review 119 3.3 Data and Market Rules 128 3.3.1 NCDEX Market Rules 130 3.3.2 India's Commodity Markets: World Placement and Brief History ... positions and market liquidity declines Orthogonally, a number of models emphasize that the level of competition among liquidity providers is causally related to market liquidity Grossman and Miller...

Ngày tải lên: 01/06/2014, 14:02

... Introduction and Overview Market Liquidity and Funding Liquidity Summary and Implications Article by Markus K Brunnermeier and Lasse Heje Pedersen 196 199 Liquidity and the 1987 Stock Market Crash ... MARKET LIQUIDITY This book presents the theory and evidence on the effect of market liquidity and liquidity risk on asset prices and on overall securities market performance Illiquidity ... Brunnermeier and Lasse Heje Pedersen, Market liquidity and funding liquidity Review of Financial Studies 22, 2009 Yakov Amihud, Haim Mendelson, and Robert Wood, Liquidity and the 1987 stock market...

Ngày tải lên: 01/11/2014, 11:14

... illiquid markets than for those in liquid markets, and liquidity effect should be more acute in emerging markets than in developed markets (Bekaert, Harvey and Lundblad, 2006)3, study on liquidity ... Emerging Markets, Liberalization and Integration 12 2.2.1 Pricing of Liquidity in Emerging Markets Emerging markets share many distinct features that separate them from developed markets, and make liquidity ... transmitting liquidity shock from one market to other markets, or arbitraging away liquidity pressure in some markets, thus reducing the liquidity co-variation in emerging markets On the other hand,...

Ngày tải lên: 14/09/2015, 12:13

... (2000) ‘Blockholder ownership and market liquidity , Journal of Financial and Quantitative Analysis, Vol 35, pp.621–633 Holmström, B and Tirole, J (1993) Market liquidity and performance monitoring’, ... ownership concentration and liquidity , Journal of Financial Markets, Vol 10, No 3, pp.219–248 Sarin, A., Shastri, K.A and Shastri, K (2000) ‘Ownership structure and stock market liquidity , Working ... ‘Blocks, liquidity and corporate control’, Journal of Finance, Vol 53 Brockman, P., Chung, D.Y and Yan, X (2009) ‘Block ownership, trading activity and market liquidity , Journal of Financial and...

Ngày tải lên: 19/09/2016, 11:54

... Money Market Mutual Fund Liquidity Facility (ABCP MMMF Liquidity Facility) is intended to increase liquidity in the commercial paper market by providing loans to U.S depository institutions and ... credit in the financial market is consistent with the Fed’s long-standing practice of minimal interference in the government securities market in particular and the credit market more generally ... OF MARKET LIQUIDITY Fundamentally, domestic credit has three major sources: private saving (individuals and firms), government saving (surpluses of federal, state, and local governments), and...

Ngày tải lên: 15/02/2014, 14:20

... liquidity premia in the TIPS market and the liquidity premia on the nominal bond market might not be as stable as assumed by the Fed In particular, it is widely argued (e.g Shen, 2006; Sack and ... on-the-run and off-the-run nominal bonds The Cleveland Fed assumes that there is a positive and stable correlation between the TIPS liquidity premium and the on/off-the-run premium, and in particular ... the TIPS liquidity premium one might conclude that liquidity in the TIPS market has fallen However, the transactions volume and the amount outstanding of TIPS convey evidence that TIPS liquidity...

Ngày tải lên: 06/03/2014, 04:20

... concept of liquidity into two categories: funding liquidity and market liquidity (Brunnermeier and Pedersen, forthcoming) Funding liquidity describes the ease with which expert investors and arbitrageurs ... we can think about market liquidity and funding liquidity in the following way: market liquidity refers to the transfer of the asset with its entire cash flow, while funding liquidity is like issuing ... conduits and structured investment vehicles The LIBOR, Repo, and Federal Funds Markets In addition to the commercial paper market, banks use the repo market, the federal funds market, and the...

Ngày tải lên: 06/03/2014, 04:21

... period, the firm’s bonds still trade and market See Anderson and Sundaresan (1996), Mella-Barral and Perraudin (1997), Fan and Sundaresan (2000), and Francois and Morellec (2004) for a more detailed ... coefficient 22 23 See also, for example, Leland (1994), Fan and Sundaresan (2000) See also Fan and Sundaresan (2000) and Francois and Morellec (2004) ¸ Liquidity and Credit Risk 2231 In summary, variables ... the liquidity of the fixed income markets as a whole A Results The issues we wish to examine are whether there is a relationship between the illiquidity and credit risk components of spreads, and...

Ngày tải lên: 06/03/2014, 08:20

... those markets in the future While it is well known that market shocks have large effects on the wealth of those who buy and sell in those markets, I show that market shocks also have large and ... between $50K and $75K, between $75K and $100K, between $100K and $150K, between $150K and $200K, between $200K and $300K, between $300K and $400K, between $400K and $500K, between $500K and $750K, ... financial markets, shocks in financial markets have important and lasting effects on the careers of investment bankers Specifically, using data from a 1996 and 1998 survey of several thousand Stanford...

Ngày tải lên: 17/03/2014, 03:20

... cash flow, and budgeting According to Ferderer (2003), and Graham and Narasimhan (2001), new industries and mergers began to take shape, and financial structures, liquidity consideration, and cash ... Why, when, and how opportunities for the creation of goods and services come into existence; (b) why, when, and how some people and not others discover and exploit these opportunities; and (c) why, ... an effort to increase business liquidity, and longevity This study was an examination of cash management (independent variable) and its effects on the liquidity and longevity of family-owned restaurants...

Ngày tải lên: 01/06/2014, 13:58

Ngày tải lên: 03/06/2014, 02:01

... Forward-Looking Statements and Virtual Close at Cisco 101 139 Market Liquidity and the Control of Risk 143 Different Types of Market Liquidity and Money Supply 144 Liquidity Risk, Volatility, and Financial ... MAKES THE GLOBAL FINANCIAL MARKET FRAGILE In his book On Money and Markets, 3 Henry Kaufman laments: “The potential excesses and fragility of global financial markets and brings into perspective ... Marking to Market and Marking to Model 150 Liquidity Premium and the Control of Excess Liquidity 153 Maturity Ladder for Liquidity Management 155 The Role of Valuation Rules on an Institution’s Liquidity...

Ngày tải lên: 04/07/2014, 05:26

... Forward-Looking Statements and Virtual Close at Cisco 101 139 Market Liquidity and the Control of Risk 143 Different Types of Market Liquidity and Money Supply 144 Liquidity Risk, Volatility, and Financial ... MAKES THE GLOBAL FINANCIAL MARKET FRAGILE In his book On Money and Markets, 3 Henry Kaufman laments: “The potential excesses and fragility of global financial markets and brings into perspective ... Marking to Market and Marking to Model 150 Liquidity Premium and the Control of Excess Liquidity 153 Maturity Ladder for Liquidity Management 155 The Role of Valuation Rules on an Institution’s Liquidity...

Ngày tải lên: 14/08/2014, 05:20

... Euromoney Books, 2000) 11 D N Chorafas, Understanding Volatility and Liquidity in Financial Markets (London: Euromoney Books, 1998) 12 D N Chorafas, Implementing and Auditing the Internal Control System ... futures, options, and the cash market They also must appreciate that portfolios laden with debt derivatives are hard to trade and consequently carry greater risks in adverse markets, liquidity being ... the globalized market As credit risk cases multiply, bank lending standards get more stringent, and loans to business and consumers not grow at all The aftermath is a slowdown in demand, leading...

Ngày tải lên: 14/08/2014, 05:20

... Reputational and Operational Risk of Coopers & Lybrand in London and Singapore and against Deloitte & Touche in Singapore—to the tune of $1 billion The Bank of England also criticized and questioned ... infancy, and Having still a long way to go The challenge is one’s financial staying power, and it confronts both people and companies High leverage is the enemy of staying power and the market ... legislators and regulators will be well advised to set up rigorous financial reporting standards.8 Internal controls and financial reporting standards should account both for reputational risk and for...

Ngày tải lên: 14/08/2014, 05:20

... asset and each liability must continue to be recognized, and it requires: • • Addressing the basic definition of each item in assets and liabilities, and Setting the stage for experimentation and ... their designers and users to simulate virtually any financial activity by: • • • Redrawing assets and liabilities, and their patterns Separating and recombining elements of exposure, and Bypassing ... companies enter into currency and interest-rate swaps to hedge their foreign exchange and interest-rate risks but misjudge market trends and/ or the timing factor, and they pay dearly for this...

Ngày tải lên: 14/08/2014, 05:20