Download or read book Commonality in Liquidity in Emerging Markets written by Xinwei Zheng and published by . This book was released on 2006 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines to what extent liquidity is determined by common underlying factors in an emerging market that has adopted an order-driven trading system. Using China as a case for the study, we select a broad sample of stocks from two separate Chinese stock exchanges to measure and analyse market-wide movements in liquidity. Evidence found in this study confirms that commonality is present in emerging markets, and seems significant and pervasive. Its existence is robust to the influences of size, industry, and up and down markets effects. In parallel to a market-wide component, we find in the commonality construct an industrial component. Liquidity of large firms' stocks is found to be more likely to move with market liquidity. We also find that fund managers exhibit herding behaviour in their liquidity management. In the face of shocks to market liquidity, Chinese market participants tend to adjust both the spread and the depth. In a down market, market liquidity moves more widely and commonality in liquidity becomes more significant. These findings about the Chinese stock market provide useful pointers for understanding commonality in emerging economies and shed critical light on a new dimension of the working of emerging markets.
Download or read book Commonality in Liquidity in Emerging Markets written by Min Bai and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging markets share many distinct features that separate them from more developed markets, including low liquidity and high commonality in liquidity. This study on 18 emerging markets finds that individual stock liquidity is more affected by systematic volatility than by idiosyncratic volatility, suggesting that higher commonality in liquidity in emerging markets could be caused by higher co-variation in stock volatility and co-variation in inventory risk. Consistent with this conjecture, commonality in liquidity is found to be positively related to co-movement in volatility, and negatively related to the level of development of the financial markets. This study also documents that liquidity co-movement across emerging markets has a strong geographic component and is related to a correlation in market-wide volatility. The results do not support the presence of a global liquidity factor, and suggest that liquidity risk can be diversified by constructing global portfolios.
Download or read book Determinants of Commonality in Liquidity written by Sudhakar Reddy Syamala and published by . This book was released on 2017 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using an extensive, time-series, cross-sectional data-set of actively traded Indian stocks with up to 1.75 million firm-day observations, we discern the key determinants of commonality in liquidity among emerging markets.The paper shows evidence for both supply-side and demand-side factors contributing to liquidity commonality. However, the results are more supportive towards supply-side rationale for liquidity commonality among the firms where regulators and banks play an important source of commonality in liquidity, especially during market turmoil. Results are partially driven by the fact that the Indian stick exchange is an order-driven market. Economic activities like cheap exports and undervalued currency, rather than correlated trading by the institutional investors determine the demand for liquidity. These findings endorse the effect of high firm value, market return, liquidity, volatility, turnover, and alternate proxies of commonality in liquidity estimation.
Download or read book Global Commonality in Liquidity written by Fariborz Moshirian and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following previous research which established that liquidity commonality exists within one stock market over a short period of time, this paper finds that liquidity commonality also exists globally. Utilising a large number of stock exchanges and a twelve year research time frame, this paper observes that liquidity commonality exists in both developed and emerging markets. In particular, liquidity commonality is higher in emerging markets compared to developed markets and is weaker in areas where there is strong financial market integration. Results show that by region, Asia has the highest liquidity commonality whereas North America has the lowest. Furthermore, the five countries with the highest liquidity commonality are all emerging markets: China, Turkey, Taiwan, India and Korea.
Download or read book Commonality in Liquidity Within Emerging Market written by Kuntonrat Davivongs and published by . This book was released on 2011 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Commonality in Liquidity written by Sudhakar Reddy Syamala and published by . This book was released on 2017 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a sample of actively traded stocks and options from emerging order-driven market, this study examines and provides satisfactory evidence for the existence of commonality in liquidity for both spot and derivatives market. For equities; the market- and industry-wide commonality remain strong even after controlling for market returns and individual firm volatility and for options after accounting for the underlying stock market liquidity and implied volatility. Compared to the stock market, options market exhibit an increased commonality in liquidity with market capitalization. Here information asymmetry acts as an important microstructure related source of commonality in liquidity across markets. The findings are robust across call and put options with negligible evidence of cross-sectional error correlation for all the liquidity measures.
Download or read book Liquidity Spirals Commonality Corporate Governance and Crisis written by Ahmad Junaid and published by . This book was released on 2014 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study we try to bridge the gap between two strands of literature, first we conduct a thorough investigation about relation between, Market liquidity, funding liquidity and market declines in an emerging market i.e. Brazil. Then we conduct the analysis in the context of differential corporate governance practices and try to find if higher corporate governance practices have an effect on liquidity and how it affects stock liquidity in market declines. We closely follow the methodology used by Hameed et al (2010) and Adrian et al (2011). In the first part of the paper, using the High-Low spread estimator proposed by Corwin et Schultz (2012) as our liquidity proxy, we conduct a time series analysis to estimate the effect of individual returns market returns, and large market declines on liquidity. We further extend our analysis to include funding liquidity, measured by the spread between the commercial paper and the central bank rate, to estimate the effect of market declines when speculators face a funding constraint. In the second part of our analysis we move towards liquidity commonality. We estimate the effect of market wide liquidity movements on individual stock liquidity, and whether this effect is amplified in the context of large market downturns. In the third part of the paper we sort the stocks into three equally weighted portfolios based on differential corporate governance practices. We conduct the above mentioned liquidity analysis to estimate if liquidity of firms with differential corporate governance practices react differently in the times of large market downturns and liquidity spirals.
Download or read book Commonality in Liquidity written by and published by . This book was released on 2002 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Commonality in Liquidity and Its Determinants written by Sudhakar Reddy Syamala and published by . This book was released on 2013 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: A stock's liquidity and its variability over time are of major concern for all the stakeholders of capital markets. Literature shows that market participants prefer liquid stocks and a stock's exposure to liquidity commonality is inversely proportional to market returns. Although the burgeoning literature on liquidity commonality shows that stocks have significant commonality, the major sources that cause it are yet unknown. Some studies have shown evidence for the supply-side determinants of liquidity commonality driven by funding constraints faced by market participants and some studies show evidence for the demand-side sources of liquidity commonality related to the correlated trading activity, level of institutional ownership. In this paper, we study the evolution of liquidity commonality over time by using quarterly data from 2001-2009 for NSE listed stocks and then determine the supply-side and demand-side sources of systematic liquidity. We construct Amihud's liquidity measure using daily data as a proxy for liquidity and estimate liquidity commonality of each stock on a quarterly basis from the market model time series regression of Chordia, Roll, and Subrahmanyam (2000). We find significant evidence of liquidity commonality for the sample period and also size effects in liquidity commonality. We find that supply-side sources of liquidity commonality significantly explain liquidity commonality, whereas, the demand-side sources are not significant in explaining liquidity commonality.
Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Download or read book Commonality in Liquidity written by Paul Brockman and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Events such as the 1997 East Asian financial crisis indicate that individual firm liquidity is strongly influenced by marketwide factors. Previous market microstructure research, however, focuses almost exclusively on the firm-specific attributes of liquidity. Our study follows the recent shift in emphasis toward commonality by examining systematic liquidity in an order-driven market structure. Using data from the Stock Exchange of Hong Kong, we show that commonality in liquidity includes both market and industry components, and is pervasive across size-sorted portfolios. We also find a significant market and industry component in individual firms' order flow. In contrast to quote-driven results, we do not find a positive relation between firm size and sensitivity to changes in marketwide bid-ask spreads.
Download or read book Market Liquidity written by Thierry Foucault and published by Oxford University Press. This book was released on 2023 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
Download or read book The Empirical Analysis of Liquidity written by Craig Holden and published by Now Publishers. This book was released on 2014-11-28 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a synthesis of the empirical evidence on market liquidity. The liquidity measurement literature has established standard measures of liquidity that apply to broad categories of market microstructure data. Specialized measures of liquidity have been developed to deal with data limitations in specific markets, to provide proxies from daily data, and to assess institutional trading programs. The general liquidity literature has established local cross-sectional patterns, global cross-sectional patterns, and time-series patterns.
Download or read book Understanding Commonality in Liquidity Around the World written by George Andrew Karolyi and published by . This book was released on 2011 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine how commonality in liquidity varies across countries and over time in ways related to supply determinants (funding liquidity of financial intermediaries) and demand determinants (correlated trading behavior of international and institutional investors, incentives to trade individual securities, and investor sentiment) of liquidity. Commonality in liquidity is greater in countries with and during times of high market volatility (especially, large market declines), greater presence of international investors, and more correlated trading activity. Our evidence is more reliably consistent with demand-side explanations and challenges the ability of the funding liquidity hypothesis to help us understand important aspects of financial market liquidity around the world, even during the recent financial crisis.
Download or read book Common Market Makers and Commonality in Liquidity written by Mohsen Moussa Saad and published by . This book was released on 2002 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Understanding Global Liquidity written by Sandra Eickmeier and published by . This book was released on 2013 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Commonality in Liquidity written by Chitru S. Fernando and published by . This book was released on 2002 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
