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Search Results (3)

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Keywords = Amihud’s illiquidity ratio

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18 pages, 623 KiB  
Article
Liquidity Spillover between Exchange-Traded Funds: Variations across News Regimes
by Yang Liu and Yongchen Zhao
J. Risk Financial Manag. 2024, 17(9), 391; https://doi.org/10.3390/jrfm17090391 - 4 Sep 2024
Cited by 2 | Viewed by 1824
Abstract
Understanding liquidity and liquidity risk is essential for effective risk management. We investigate liquidity spillover effects among ETFs that track the S&P sectors. In particular, using COVID-related news shocks as a natural experiment, we estimate the direction and magnitude of two-way net spillovers [...] Read more.
Understanding liquidity and liquidity risk is essential for effective risk management. We investigate liquidity spillover effects among ETFs that track the S&P sectors. In particular, using COVID-related news shocks as a natural experiment, we estimate the direction and magnitude of two-way net spillovers and their asymmetry across good and bad news regimes, where liquidity is measured by the daily quoted bid–ask spread and the Amihud illiquidity ratio. Our results confirm the liquidity links amongst ETFs and suggest that liquidity spillovers are more pronounced during bad news periods compared to good news periods. In addition, we document the variations in the results obtained using the bid–ask spread and the Amihud ratio, which provide insights into different dimensions of liquidity and liquidity risk, including volatility and trading volume. Full article
(This article belongs to the Special Issue Navigating Economic Volatility: Predictive Models and Risk Analysis of Business Cycles)
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12 pages, 254 KiB  
Article
Which Cryptocurrencies Are Mostly Traded in Distressed Times?
by Νikolaos A. Kyriazis and Paraskevi Prassa
J. Risk Financial Manag. 2019, 12(3), 135; https://doi.org/10.3390/jrfm12030135 - 20 Aug 2019
Cited by 17 | Viewed by 4824
Abstract
This paper investigates the level of liquidity of digital currencies during the very intense bearish phase in their markets. The data employed span the period from April 2018 until January 2019, which is the second phase of bearish times with almost constant decreases. [...] Read more.
This paper investigates the level of liquidity of digital currencies during the very intense bearish phase in their markets. The data employed span the period from April 2018 until January 2019, which is the second phase of bearish times with almost constant decreases. The Amihud’s illiquidity ratio is employed in order to measure the liquidity of these digital assets. Findings indicate that the most popular cryptocurrencies exhibit higher levels of liquidity during stressed periods. Thereby, it is revealed that investors’ preferences for trading during highly risky times are favorable for well-known virtual currencies in the detriment of less-known ones. This enhances findings of relevant literature about strong and persistent positive or negative herding behavior of investors based on Bitcoin, Ethereum and highly-capitalized cryptocurrencies in general. Notably though, a tendency towards investing in the TrueUSD stablecoin has also emerged. Full article
(This article belongs to the Special Issue Blockchain and Cryptocurrencies)
13 pages, 877 KiB  
Article
Is Liquidity Risk Priced? Theory and Evidence
by Seok-Kyun Hur, Chune Young Chung and Chang Liu
Sustainability 2018, 10(6), 1809; https://doi.org/10.3390/su10061809 - 30 May 2018
Cited by 6 | Viewed by 3949
Abstract
This study studies a recently proposed measure of liquidity premium (or discount). Specifically, the liquidity premium we utilize is defined as a function of a time discount factor, a relative risk aversion parameter, and the expected return and volatility of the asset, given [...] Read more.
This study studies a recently proposed measure of liquidity premium (or discount). Specifically, the liquidity premium we utilize is defined as a function of a time discount factor, a relative risk aversion parameter, and the expected return and volatility of the asset, given the risk-free rate. Using U.S. stock market data, our empirical results confirm that the proposed liquidity premium measure is largely comparable to that commonly used in existing studies. Our results also imply that a risk factor based on the liquidity premium measure not only explains cross-sectional stock returns, but also time-series excess returns on portfolios sorted on the commonly used liquidity measure. In addition, our study suggests that better understanding the liquidity risk leads to sustainable trading for investors. Full article
(This article belongs to the Special Issue Risk Measures with Applications in Finance and Economics)
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