| 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 |
Understanding FX Liquidity
