We consider a model of liquidity demand arising from a possible maturity mismatch between asset revenues and consumption. This liquidity demand can be met with either cash reserves (inside liquidity) or via asset sales for cash (outside liquidity). The questions we address are: (a) what determines the mix of inside and outside liquidity in equilibrium? (b) does the market provide an efficient m...

Article history: Received 7 November 2013 Accepted 30 March 2014 Available online 26 April 2014 The decentralized OTC market is extremely illiquid and opaque in comparison with the exchange-listed stock market. Although liquidity risk has been well documented in the finance literature, little is known about how liquidity risk affects the stocks traded in the decentralized OTC market. In this st...

This paper looks into how the liquidity of the Hong Kong stock market has evolved since the Asian financial crisis, and examines the determinants of changes in liquidity. Various conventional liquidity indicators are constructed for the study period from 1997 to June 2001. They show that, having deteriorated during the Asian financial crisis and the Russian crisis, market liquidity has mostly r...

Routing in MANETs may be a difficult task and has received an amazing quantity of attention from researchers round the world. To beat this downside variety of routing protocols are developed and also the number remains increasing day by day. These protocols principally belong to a few classes particularly proactive, reactive and hybrid. This paper provides an outline and comparison of a number ...

This paper shows that the probability of exercise of convertible bonds issued against a firm’s stock directly affects the liquidity of the stock itself. Using the ratio of absolute stock return to its dollar volume as a proxy for stock liquidity I demonstrate that there is a direct and positive relationship between conversion probability and stock liquidity while controlling for firm size, book...

This paper analyzes systematic variations in market liquidity that arise in standard representative-agent endowment economies. I introduce a natural definition of liquidity that applies whether or not the model supports actual trade in securities. This fundamental endogenous liquidity is driven by the underlying risk dynamics of the economy, and hence does not depend on whatever drives demand f...

We examine the impact of firm ownership composition on both the abnormal returns at the announcement of a stock split and liquidity changes following a stock split. We find three results. First, the largest post-split increase in institutional ownership occurs for firms that had low institutional ownership prior to the split. Second, changes in liquidity are negatively related to the level of i...

We identify and estimate the sources of risk that cause corporate bonds to earn an excess return over default-free bonds. In particular, we estimate the risk premium associated with a default event. Default is modelled using a jump process with stochastic intensity. For a large set of firms, we model the default intensity of each firm as a function of common and firm-specific factors. In the mo...

Article history: Received 8 August 2012 Received in revised form 18 June 2014 Accepted 1 July 2014 Available online 9 July 2014 This paper examines how stock market liquidity and commonality in liquidity are impacted by real-time output gap and inflation, as these macroeconomic variables have been shown to be the main drivers of monetary policy according to the Taylor rule. We show that an incr...