... II.A and III.D II Empirical Attributes of Market- wide Liquidityand Aggregate Trading Activity A Levels of Liquidityand Trading Activity Table I provides summary statistics of the basic marketliquidity ... 627.1 244.6 1814.2 Standard deviation Coefficient of variation: Standard deviation 0Mean; ~dimensionless! MarketLiquidityand Trading Activity Table I MarketLiquidityand Trading Activity Variables, ... There is a distinctly asymmetric response of spreads to up and down markets They weakly decline in up marketsand strongly increase in down markets The opposite is true for depth This suggests that...
... 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 marketliquidity 28 ² Unexpected liquidityand volatility shocks are positively and signi¯cantly correlated across stock and bond markets, suggesting that liquidityand volatility...
... 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 marketand either (20, 100) or (100, 20) if they monitor the market Liquidity...
... 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...
... Capital andLiquidity 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 Liquidityand Capital ... Commodity Futures Market 112 3.1 Introduction 112 3.2 Literature Review 119 3.3 Data andMarket Rules 128 3.3.1 NCDEX Market Rules 130 3.3.2 India's Commodity Markets: World Placement and Brief History ... positions andmarketliquidity declines Orthogonally, a number of models emphasize that the level of competition among liquidity providers is causally related to marketliquidity Grossman and Miller...
... Introduction and Overview MarketLiquidityandFundingLiquidity Summary and Implications Article by Markus K Brunnermeier and Lasse Heje Pedersen 196 199 Liquidityand the 1987 Stock Market Crash ... MARKET LIQUIDITY This book presents the theory and evidence on the effect of marketliquidityandliquidity risk on asset prices and on overall securities market performance Illiquidity ... Brunnermeier and Lasse Heje Pedersen, Marketliquidityandfundingliquidity Review of Financial Studies 22, 2009 Yakov Amihud, Haim Mendelson, and Robert Wood, Liquidityand the 1987 stock market...
... illiquid markets than for those in liquid markets, andliquidity 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,...
... 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 MARKETLIQUIDITY Fundamentally, domestic credit has three major sources: private saving (individuals and firms), government saving (surpluses of federal, state, and local governments), and...
... liquidity premia in the TIPS marketand 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...
... concept of liquidity into two categories: fundingliquidityandmarketliquidity (Brunnermeier and Pedersen, forthcoming) Fundingliquidity describes the ease with which expert investors and arbitrageurs ... we can think about marketliquidityandfundingliquidity in the following way: marketliquidity refers to the transfer of the asset with its entire cash flow, while fundingliquidity 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...
... period, the firm’s bonds still trade andmarket 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) ¸ Liquidityand 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...
... 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...
... 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 liquidityand longevity of family-owned restaurants...
... Forward-Looking Statements and Virtual Close at Cisco 101 139 MarketLiquidityand the Control of Risk 143 Different Types of MarketLiquidityand 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 marketsand brings into perspective ... Marking to Marketand 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...
... Forward-Looking Statements and Virtual Close at Cisco 101 139 MarketLiquidityand the Control of Risk 143 Different Types of MarketLiquidityand 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 marketsand brings into perspective ... Marking to Marketand 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...
... Euromoney Books, 2000) 11 D N Chorafas, Understanding Volatility andLiquidity 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...
... 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...
... 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...