LIQUIDITY COSTS IN EMERGING CORN FUTURES MARKETS

Volatility models of currency futures in developed and emerging markets

This paper examines volatility models of currency futures contracts for three developed markets and two emerging markets. For each contract, standard models of the Unbiased Expectations Hypothesis (UEH) and Cost-of-Carry hypothesis (COC) are extended to derive volatility models corresponding to each of the two standard approaches. Each volatility model is formulated as a system of individual eq...

Liquidity and Expected Returns: Lessons from Emerging Markets

Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We find that it significantly predicts future returns, whereas alternative measures such as turnover do n...

Liquidity in Frictional Asset Markets

Banks, Markets and Liquidity

The banking sector is one of the most highly regulated sectors in the economy. However, in contrast to other regulated sectors there is no wide agreement on the market failures that justify regulation. We suggest that there are two important failures. The fi rst is a coordination problem that arises because of multiple equilibria. If people believe there is going to be a panic then that can be ...

Pricing Liquidity in Electronic Markets