Special Issue "LIQUIDITY: Efficiency and Stability in Financial Markets - Selected papers from 4th Chapman Conference on Money and Finance."

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Banking and Finance".

Deadline for manuscript submissions: closed (31 December 2019).

Special Issue Editors

Prof. Dr. James R. Barth
E-Mail Website
Guest Editor
Lowder Eminent Scholar in Finance, Auburn University, Auburn, AL 36849, USA
Interests: banking; financial regulation; banking crises
Special Issues and Collections in MDPI journals
Dr. Clas Wihlborg
E-Mail Website
Guest Editor
International Business Research Faculty, The George L. Argyros School of Business and Economics, Chapman University, Orange, CA 92866, USA
Interests: banking regulation; financial crisis; exchange rate risk; risk management; European Union integration
Special Issues and Collections in MDPI journals

Special Issue Information

Dear Colleagues,

The conference highlights recent developments in research on liquidity and implications for asset and liability management, financial stability, and regulation. Liquidity is a fluid concept but often taken for granted in the theory of finance. There is no generally accepted theory for the pricing of liquidity as there is for the pricing of risk. Although banks have always been concerned with liquidity management, the financial crisis revealed that there is a great gap in our understanding of what factors affect liquidity for specific securities, financial institutions, and financial system as a whole. The Basel Committee on Banking Supervision has developed requirements with respect to holdings of liquid assets as well as stable sources of funding. Critics have questioned the value of such fixed ratio requirements for the prevention of runs on financial institutions and the sudden disappearance of activity in markets for securities.

The editorial office provides several Feature Paper quotas for this Special Issue. When accepted after review, these papers will be published free of charge. Feature paper refers to high-quality paper. It is up to Guest Editors to decide whether to grant full waiver to potential authors.

Should you have any question related to Feature Papers, please feel free to contact the Guest Editors or JRFM’ editorial office ([email protected]).

Dr. James R. Barth
Dr. Clas Wihlborg
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1000 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Published Papers (2 papers)

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Open AccessArticle
News-Driven Expectations and Volatility Clustering
J. Risk Financial Manag. 2020, 13(1), 17; https://doi.org/10.3390/jrfm13010017 - 20 Jan 2020
Abstract
Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and on various time scales: it is fat-tailed (more precisely power-law distributed) and it tends to be clustered in time. Many interesting models have been proposed to account [...] Read more.
Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and on various time scales: it is fat-tailed (more precisely power-law distributed) and it tends to be clustered in time. Many interesting models have been proposed to account for these regularities, notably agent-based models, which mimic the two empirical laws through a complex mix of nonlinear mechanisms such as traders switching between trading strategies in highly nonlinear way. This paper explains the two regularities simply in terms of traders’ attitudes towards news, an explanation that follows from the very traditional dichotomy of financial market participants, investors versus speculators, whose behaviors are reduced to their simplest forms. Long-run investors’ valuations of an asset are assumed to follow a news-driven random walk, thus capturing the investors’ persistent, long memory of fundamental news. Short-term speculators’ anticipated returns, on the other hand, are assumed to follow a news-driven autoregressive process, capturing their shorter memory of fundamental news, and, by the same token, the feedback intrinsic to the short-sighted, trend-following (or herding) mindset of speculators. These simple, linear models of traders’ expectations explain the two financial regularities in a generic and robust way. Rational expectations, the dominant model of traders’ expectations, is not assumed here, owing to the famous no-speculation, no-trade results. Full article
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Open AccessBrief Report
QE versus the Real Problems in the World Economy
J. Risk Financial Manag. 2020, 13(1), 11; https://doi.org/10.3390/jrfm13010011 - 04 Jan 2020
Abstract
These notes are based on parts of a keynote address to the Fourth Annual Conference on Money and Finance at Chapman University on 6–7 September 2019. Quantitative easing (QE) policies have been pushed to extremes and extended well beyond their use-by dates to [...] Read more.
These notes are based on parts of a keynote address to the Fourth Annual Conference on Money and Finance at Chapman University on 6–7 September 2019. Quantitative easing (QE) policies have been pushed to extremes and extended well beyond their use-by dates to little plausible effect in achieving the goal of raising inflation and growth. Instead, they are damaging the interbank market (as exemplified by the liquidity crisis in September 2019), adding to the risk of financial crises in the future and taking pressure off policy-makers to deal with the real causes of poor investment, growth and deflation pressure. The shift in where investment is occurring and the special problems of Europe and Brexit are focused upon. Full article
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