Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets
نویسندگان
چکیده
We investigate the dynamics of return and liquidity (co) jumps for three most traded emerging market currencies vis-à-vis US dollar. Accordingly, an increase in average bid-ask spread (realized volatility) significantly reduces duration between consecutive (liquidity) jumps, while volatility only play a partial role on return-liquidity cojumps. There is also evidence vicious spirals views positive contemporaneous impact spread. Finally, scheduled macroeconomic news central bank announcements likelihood both jumps.
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ژورنال
عنوان ژورنال: Journal of International Financial Markets, Institutions and Money
سال: 2021
ISSN: ['1042-4431', '1873-0612']
DOI: https://doi.org/10.1016/j.intfin.2021.101377