Understanding FX Liquidity

Item Type Conference or Workshop Item (Paper)
Abstract Previous studies of liquidity in the foreign exchange (FX) market span short time periods or focus on specific measures of liquidity. In contrast, we provide the first comprehensive study of FX liquidity and commonality over more than two decades and a cross-section of forty exchange rates. We show that FX liquidity deteriorates with risk in FX, stock, bond, and money markets, and it comoves with liquidity in bond and stock markets. We also show that commonality in FX liquidities increases in distressed markets and it is stronger for countries with high-quality institutions, financial integration, and price stability.
Authors Karnaukh, Nina; Ranaldo, Angelo & Söderlind, Paul
Language English
Keywords exchange rates, liquidity, transaction costs, commonality, low-frequency data
Subjects business studies
HSG Classification contribution to scientific community
Refereed Yes
Date 4 January 2015
Event Title 2015 American Finance Association (AFA) Annual Meeting
Event Location Boston USA
Event Dates 03.-05.01.2015
Official URL https://editorialexpress.com/cgi-bin/conference/do...
Depositing User Prof. Dr. Angelo Ranaldo
Date Deposited 27 Jan 2015 09:53
Last Modified 30 Nov 2022 01:25
URI: https://www.alexandria.unisg.ch/publications/238818

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Karnaukh, Nina; Ranaldo, Angelo & Söderlind, Paul: Understanding FX Liquidity. 2015. - 2015 American Finance Association (AFA) Annual Meeting. - Boston USA.

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https://www.alexandria.unisg.ch/id/eprint/238818
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