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An Empirical Analy Ioftock And Bond Market Liquidity Pdf

an empirical analy ioftock and bond market liquidity pdf

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Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated. An empirical analysis of stock and bond market liquidity. This paper explores liquidity movements in stock and Treasury bond markets over a period of more than trading days.

Alibaba Bond Analysis Corporate Finance and Valuation Authors: Aishwarya Shetty Baptiste Guyomard Sair This is the spread over the benchmark that gives the yield of the corporate bond… YTMs for bonds are normally quoted in the financial press, based on the closing price of the bond. Stotsky 1 Authorized for distribution by Tsidi Tsikata But, sometimes, the failure of Au-Al bond wire exists. This price change is expected, and is not normally considered risk. His return depends not only on what cash flows he receives, but on how much he paid for them.

Liquidity of financial markets: a review

The purpose of this study is to systematically review and analyze the literature in the area of liquidity of financial markets. The study summarizes the key findings and approaches and highlights the research gaps in the extant literature. A variety of reputed databases are utilized to select research papers, from a large pool of nearly 3, research papers spanning between and using systematic literature review methodology.

The selected research papers are organized to provide an in-depth analysis and an account of the ongoing research in the area of liquidity. The study uses bibliometric network visualization and word-cloud analyses to compile and analyze the literature.

The study summarizes the recent approaches in the liquidity research on aspects such as methodologies followed, variables applied, sub-areas covered, and the types of economies and markets covered.

The article shows that the literature on liquidity in the emerging markets e. China and India is deficient. Overall, the following research areas related to liquidity need further exploration in the context of emerging markets: liquidity beyond the best bid-ask quotes, intraday return predictability using microstructure variables e. It provides a comprehensive collection and classification of the literature on the liquidity of financial markets. This would be helpful to the future researchers, academics and practitioners in the area of financial markets.

Tripathi, A. Report bugs here. Please share your general feedback. You can join in the discussion by joining the community or logging in here. You can also find out more about Emerald Engage. Visit emeraldpublishing. Answers to the most commonly asked questions here. Abstract Purpose The purpose of this study is to systematically review and analyze the literature in the area of liquidity of financial markets.

Findings The study summarizes the recent approaches in the liquidity research on aspects such as methodologies followed, variables applied, sub-areas covered, and the types of economies and markets covered. Please note you do not have access to teaching notes. You may be able to access teaching notes by logging in via Shibboleth, Open Athens or with your Emerald account. If you think you should have access to this content, click the button to contact our support team.

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An empirical analysis of stock and bond market liquidity

Skip to search form Skip to main content You are currently offline. Some features of the site may not work correctly. DOI: Goyenko and Andrey D. Goyenko , Andrey D. This paper establishes liquidity linkage between stock and Treasury bond markets. There is a lead-lag relationship between illiquidity of the two markets and bidirectional Granger causality.

An empirical analysis of stock and bond market liquidity

This article explores cross-market liquidity dynamics by estimating a vector autoregressive model for liquidity bid-ask spread and depth, returns, volatility, and order flow in the stock and Treasury bond markets. Innovations to stock and bond market liquidity and volatility are significantly correlated, implying that common factors drive liquidity and volatility in these markets. Volatility shocks are informative in predicting shifts in liquidity.

The purpose of this study is to systematically review and analyze the literature in the area of liquidity of financial markets. The study summarizes the key findings and approaches and highlights the research gaps in the extant literature. A variety of reputed databases are utilized to select research papers, from a large pool of nearly 3, research papers spanning between and using systematic literature review methodology.

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3 Comments

  1. Alexa S.

    09.12.2020 at 06:17
    Reply

    Spanish Review of Financial Economics aims to publish theoretical and empirical papers across all the major fields of financial research.

  2. Nostdikasent

    09.12.2020 at 23:38
    Reply

    This paper explores liquidity movements in stock and Treasury bond markets over a period of more than trading days. Cross-market dynamics in liquidity​.

  3. Harriet S.

    10.12.2020 at 02:02
    Reply

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