We present an empirical study of the pricing effect of liquidity in the credit default swaps (CDS) market. We construct liquidity proxies to capture various facets of CDS liquidity including adverse selection, search frictions, and inventory costs. We show that the liquidity effect on CDS spreads is significant with an estimated liquidity premium on par with those of Treasury bonds and corporat...

this study examines the role of growth and value stocks in liquidity and tobin's q ratio, and also the validity of claims existing difference between tobin q ratio of the two types of stocks in companies accepted in tehran stock exchange has been examined. the study period is between the years 1381 to 1390. we use pooled panel-data regression and egls and gmm methods to estimate the model ...

entral banks provide liquidity in various contexts to promote the stability and efficient functioning of the financial system. While the exact institutional aspects of liquidity provision vary among central banks, some basic features seem to be generic. First, the provision of central bank liquidity in normal periods is restricted to a small subset of possible agents who are encouraged to compe...

Liquidity, the ease of trading an asset, strongly varies between di erent sizes of stock positions. We analyze this aspect using the Xetra Liquidity Measure (XLM), which calculates daily, weighted spread for impatient traders transacting against the limit order book. For this measure, we have data for 160 German stocks over 5.5 years, which allows us a representative analysis of the order-size ...

This paper studies liquidity and volatility commonality in the Canadian stock market. We show that five various liquidity measures display strong evidence of commonality at both market-wide and industry specific levels. Our findings extend the results of previous studies in liquidity commonality, and show that even after controlling for individual determinants of liquidity such as price, volume...

A model of public and private liquidity is constructed that integrates financial intermediation theory with a New Monetarist monetary framework. Key features of the model are non-passive fiscal policy and costs of operating a currency system, which imply that an optimal policy deviates from the Friedman rule. A liquidity trap can exist in equilibrium away from the Friedman rule, and there exist...

a r t i c l e i n f o We examine the role of liquidity risk, both as a stock characteristic as well as systematic liquidity risk, in UK mutual fund performance for the first time. We find that on average UK mutual funds are tilted towards liquid stocks (except for small stock funds as might be expected) but that, counter-intuitively, liquidity rather than illiquidity, as a stock characteristic ...

Trading Volume (Liquidity) is the perfect complement to returns. Therefore, research regarding volume becomes an important thing in capital market. Various factors that influence Liquidity (TV) are bid-ask spread; interest rates, exchange and foreign funds. The study uses Amihud Illiquidity Ratio (AIR) as a proxy for liquidity. data Indonesian Composite Index liquidity, all variables, daily bas...

The Basel Committee on Banking Supervision (BCBS), in response to the recent financial crisis, has developed new stability rules aimed at preventing financial crises in the future. This paper uses the new Liquidity Ratio (LCR) and attempts to determine the impact of this ratio on the stability of the banking system. The objective of the LCR is to promote the short-term resilience of the liquidi...