Liquidity in the global currency market
نویسندگان
چکیده
We study the liquidity of global currency market by analyzing price impact trading volume. analyze a decade CLS intraday data representative foreign exchange (FX) developing refinement popular Amihud (2002) illiquidity measure that we call realized Amihud, which is ratio between volatility and Inversely related to depth, increases with transaction costs, money stress, uncertainty, risk aversion. Furthermore, whether how begets efficiency looking at violations “triangular” no-arbitrage condition. find dollar-based currencies offer lower supporting efficiency.
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2022
ISSN: ['1879-2774', '0304-405X']
DOI: https://doi.org/10.1016/j.jfineco.2022.09.004