In this paper we analysed liquidity of the Croatian stock market. Low level of liquidity is one of the key problem areas facing this small market. As the measures of liquidity we used the Zero Rates return by Lesmond et al. (1999), Price Pressure of non-trading as in Bekaert et al. (2007), and Turnover. For calculating the Zero Rates return, and Price Pressure measures we used prices of all sto...

We present a model of financial market liquidity provided by financially constrained intermediaries. We show that market liquidity increases with the level of intermediary capital. We also characterize conditions under which intermediaries play a stabilizing or destabilizing role in markets. Finally, we sketch a number of areas, including welfare and public policy, on which the model can shed l...

The aim of this study is to examine the nonlinear effects of fiscal and monetary policies on inflation during 1990:3 to 2013:1 based on threshold model. First lag of the liquidity growth is recognized as threshold variable with threshold value estimated at 6.37 percent. In low liquidity growth, the results indicate that inflation expectations and the lagged liquidity growth are the most importa...

This paper provides empirical evidence that firm size, liquidity, and Value-at-Risk (VaR) explain the cross-sectional variation in expected returns, while market beta and total volatility have almost no power to capture the cross-section of expected returns at the firm level. The strong positive relation between average returns and VaR turns out to be robust across different investment horizons...

liquidity is the most important aspect of stock markets development. this research investigates the effect of share issue privatization (sip) on tehran stock exchange (tse) liquidity. regarding the three assessable measures in sip, three hypotheses based on the number of privatized firms, the volume and the value of the sold stocks were defined and tested. in this research, the tse liquidity is...

(preliminary) I propose an integrated approach to analyze the equilibrium level of liquidity in the economy and its relevance to the allocation of credit across different technologies. The provided general equilibrium analysis bears the following main implications: firstly, it shows that security endogeneity is a crucial factor in the explanation of procyclical liquidity; secondly, there is a w...

We argue that a firm’s aggregate risk is a key determinant of whether it manages its future liquidity needs through cash reserves or bank lines of credit. Banks create liquidity for firms by pooling their idiosyncratic risks. As a result, firms with high aggregate risk find it costly to get credit lines from banks, and opt for cash reserves in spite of higher opportunity costs and liquidity pre...