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Understanding FX Liquidity
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Cited by:
- Klova, Valeriia & Odegaard, Bernt Arne, 2018. "Equity trading costs have fallen less than commonly thought. Evidence using alternative trading cost estimators," UiS Working Papers in Economics and Finance 2018/4, University of Stavanger, revised 2019.
- Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
- Chen, Yu-Lun & Mo, Wan-Shin, 2023. "Determinants and dynamic interactions of trader positions in the gold futures market," Journal of Commodity Markets, Elsevier, vol. 31(C).
- Lee, Suzanne S. & Wang, Minho, 2019. "The impact of jumps on carry trade returns," Journal of Financial Economics, Elsevier, vol. 131(2), pages 433-455.
- Vitaly Orlov, 2018. "Solvency Risk Premia and the Carry Trades," Working Papers on Finance 1802, University of St. Gallen, School of Finance.
- Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2021.
"Discriminatory Pricing of Over-the-Counter Derivatives,"
Management Science, INFORMS, vol. 67(11), pages 6660-6677, November.
- Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2017. "Discriminatory Pricing of Over-the-Counter Derivatives," Swiss Finance Institute Research Paper Series 17-70, Swiss Finance Institute.
- Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick, 2017. "Discriminatory pricing of over-the-counter derivatives," ESRB Working Paper Series 61, European Systemic Risk Board.
- Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick, 2017. "Discriminatory Pricing of Over-The-Counter Derivatives," CEPR Discussion Papers 12525, C.E.P.R. Discussion Papers.
- Harald Hau & Peter Hoffmann & Sam Langfield & Mr. Yannick Timmer, 2019. "Discriminatory Pricing of Over-the-Counter Derivatives," IMF Working Papers 2019/100, International Monetary Fund.
- Andrey G. Shulgin, 2017. "A Simple Theoretical Setup for the Evaluation of Sterilized Intervention Effectiveness in a Small Open Commodity Exporting Economy," HSE Working papers WP BRP 170/EC/2017, National Research University Higher School of Economics.
- Stefan Reitz & Dennis Umlandt, 2019.
"Foreign Exchange Dealer Asset Pricing,"
Working Paper Series
2019-08, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- Reitz, Stefan & Umlandt, Dennis, 2019. "Foreign exchange dealer asset pricing," Discussion Papers 39/2019, Deutsche Bundesbank.
- Serdengeçti, Süleyman & Sensoy, Ahmet & Nguyen, Duc Khuong, 2021.
"Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
- Suleyman Serdengeçti & Ahmet Sensoy & Duc Khuong Nguyen, 2020. "Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets," Working Papers 2020-006, Department of Research, Ipag Business School.
- Serdengecti, Suleyman & Sensoy, Ahmet & Nguyen, Duc Khuong, 2020. "Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets," MPRA Paper 105162, University Library of Munich, Germany, revised Jan 2021.
- Aleksejs Krecetovs & Pasquale Della Corte, 2016. "Macro uncertainty and currency premia," 2016 Meeting Papers 624, Society for Economic Dynamics.
- Geyikçi, Utku Bora & Özyıldırım, Süheyla, 2021. "To hedge or not to hedge: Carry trade dynamics in the emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
- Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2018. "Do liquidity proxies measure liquidity accurately in ETFs?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 94-111.
- Li, Chenlu & Li, Baibing & Tee, Kai-Hong, 2020. "Are hedge funds active market liquidity timers?," International Review of Financial Analysis, Elsevier, vol. 67(C).
- Bartram, Söhnke & Djuranovik, Leslie & Garratt, Anthony, 2021. "Currency Anomalies," CEPR Discussion Papers 15653, C.E.P.R. Discussion Papers.
- Andrei Shulgin, 2018. "Sterilized Interventions in the Form of Foreign Currency Repos: VECM Analysis Using Russian Data," Russian Journal of Money and Finance, Bank of Russia, vol. 77(2), pages 68-80, June.
- Jakree Koosakul & Ilhyock Shim, 2017. "The beneficial aspect of FX volatility for market liquidity," BIS Working Papers 629, Bank for International Settlements.
- Brauneis, Alexander & Mestel, Roland & Theissen, Erik, 2021. "What drives the liquidity of cryptocurrencies? A long-term analysis," Finance Research Letters, Elsevier, vol. 39(C).
- Fuhrer, Lucas Marc, 2018.
"Liquidity in the repo market,"
Journal of International Money and Finance, Elsevier, vol. 84(C), pages 1-22.
- Dr. Lucas Marc Fuhrer, 2017. "Liquidity in the Repo Market," Working Papers 2017-06, Swiss National Bank.
- Wang, Yu-Min & Lin, Che-Chun & Tsai, I-Chun, 2023. "State transformation of information spillover in asset markets and effective dynamic hedging strategies," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Krohn, Ingomar & Sushko, Vladyslav, 2022.
"FX spot and swap market liquidity spillovers,"
Journal of International Money and Finance, Elsevier, vol. 120(C).
- Ingomar Krohn & Vladyslav Sushko, 2020. "FX spot and swap market liquidity spillovers," BIS Working Papers 836, Bank for International Settlements.
- Ranaldo, Angelo & Somogyi, Fabricius, 2021.
"Asymmetric information risk in FX markets,"
Journal of Financial Economics, Elsevier, vol. 140(2), pages 391-411.
- Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
- Nina Boyarchenko & Domenico Giannone & Or Shachar, 2018. "Flighty liquidity," Staff Reports 870, Federal Reserve Bank of New York.
- Efstathios Panayi & Gareth W. Peters & Ioannis Kosmidis, 2015. "Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data," Quantitative Finance, Taylor & Francis Journals, vol. 15(10), pages 1737-1758, October.
- Ivanova, Yuliya & Neely, Christopher J. & Weller, Paul & Famiglietti, Matthew T., 2021.
"Can risk explain the profitability of technical trading in currency markets?,"
Journal of International Money and Finance, Elsevier, vol. 110(C).
- Matthew Famiglietti & Yuliya Ivanova & Christopher J. Neely & Paul A. Weller, 2014. "Can risk explain the profitability of technical trading in currency markets?," Working Papers 2014-033, Federal Reserve Bank of St. Louis, revised 12 Jun 2020.
- Chuliá, Helena & Fernández, Julián & Uribe, Jorge M., 2018. "Currency downside risk, liquidity, and financial stability," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 83-102.
- Angelo Ranaldo & Paolo Santucci de Magistris, 2018. "Trading Volume, Illiquidity and Commonalities in FX Markets," Working Papers on Finance 1823, University of St. Gallen, School of Finance, revised Oct 2019.
- Liew, Ping-Xin & Lim, Kian-Ping & Goh, Kim-Leng, 2022. "The dynamics and determinants of liquidity connectedness across financial asset markets," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 341-358.
- Chiara Banti, 2016. "Illiquidity In The Stock And Foreign Exchange Markets: An Investigation Of Their Cross-Market Dynamics," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(4), pages 411-436, December.
- David Castañeda-Arévalo & Fredy Gamboa-Estrada, 2021. "Los determinantes de la liquidez en Colombia: un análisis del mercado de divisas de contado," Borradores de Economia 1185, Banco de la Republica de Colombia.
- Aramonte, Sirio & Szerszeń, Paweł J., 2020. "Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets," Journal of Financial Markets, Elsevier, vol. 51(C).
- Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2018.
"New bid-ask spread estimators from daily high and low prices,"
International Review of Financial Analysis, Elsevier, vol. 60(C), pages 69-86.
- Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2017. "New Bid-Ask Spread Estimators from Daily High and Low Prices," MPRA Paper 79102, University Library of Munich, Germany.
- Gao, Yang & Li, Yunhai & Wang, Yaojun & Wang, Chao & Liu, Chao, 2019. "Asymptotic comparison of three spread estimators based on Roll’s model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 420-432.
- Michael Moore & Andreas Schrimpf & Vladyslav Sushko, 2016. "Downsized FX markets: causes and implications," BIS Quarterly Review, Bank for International Settlements, December.
- Thomas A Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2023. "Market Timing and Predictability in FX Markets," Review of Finance, European Finance Association, vol. 27(1), pages 223-246.
- Akyildirim, Erdinc & Nguyen, Duc Khuong & Sensoy, Ahmet, 2018.
"A tale of two risks in the EMU sovereign debt markets,"
Economics Letters, Elsevier, vol. 172(C), pages 102-106.
- Erdinc Akyildirim & Duc Khuong Nguyen & Ahmet Sensoy, 2018. "A Tale of Two Risks in the EMU Sovereign Debt Markets," Working Papers 2018-004, Department of Research, Ipag Business School.
- Della Corte, Pasquale & Jeanneret, Alexandre & Patelli, Ella D.S., 2023. "A credit-based theory of the currency risk premium," Journal of Financial Economics, Elsevier, vol. 149(3), pages 473-496.
- Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2022. "Liquidity spillover in foreign exchange markets," Finance Research Letters, Elsevier, vol. 44(C).
- Michaelides, Alexander & Milidonis, Andreas & Nishiotis, George P., 2019. "Private information in currency markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 643-665.
- Arash Aloosh & Geert Bekaert, 2022.
"Currency Factors,"
Management Science, INFORMS, vol. 68(6), pages 4042-4064, June.
- Bekaert, Geert & Aloosh, Arash, 2019. "Currency Factors," CEPR Discussion Papers 13464, C.E.P.R. Discussion Papers.
- Arash Aloosh & Geert Bekaert, 2019. "Currency Factors," NBER Working Papers 25449, National Bureau of Economic Research, Inc.
- Abankwa, Samuel & Blenman, Lloyd P., 2021. "Measuring liquidity risk effects on carry trades across currencies and regimes," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
- Orlov, Vitaly, 2016. "Currency momentum, carry trade, and market illiquidity," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 1-11.
- Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.
- Albrecht, Peter & Kočenda, Evžen, 2024.
"Volatility connectedness on the central European forex markets,"
International Review of Financial Analysis, Elsevier, vol. 93(C).
- Peter Albrecht & Evžen Kočenda & Evžen Kocenda, 2023. "Volatility Connectedness on the Central European Forex Markets," CESifo Working Paper Series 10728, CESifo.
- Lee, Jieun & Ryu, Doojin, 2019. "How does FX liquidity affect the relationship between foreign ownership and stock liquidity?," Emerging Markets Review, Elsevier, vol. 39(C), pages 101-119.
- Richter, Thomas Julian, 2022. "Liquidity commonality in sovereign bond markets," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 501-518.
- Jingzhi Chen & Charlie X. Cai & Robert Faff & Yongcheol Shin, 2022. "Nonlinear limits to arbitrage," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1084-1113, June.
- Ferrari, Massimo & Kearns, Jonathan & Schrimpf, Andreas, 2021.
"Monetary policy’s rising FX impact in the era of ultra-low rates,"
Journal of Banking & Finance, Elsevier, vol. 129(C).
- Massimo Ferrari & Jonathan Kearns & Andreas Schrimpf, 2017. "Monetary policy's rising FX impact in the era of ultra-low rates," BIS Working Papers 626, Bank for International Settlements.
- Schrimpf, Paul & Kearns, Jonathan & Ferrari, Massimo, 2017. "Monetary policy's rising FX impact in the era of ultra-low rates," CEPR Discussion Papers 11918, C.E.P.R. Discussion Papers.
- Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
- Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
- Panagiotis Panagiotou & Xu Jiang & Angel Gavilan, 2023. "The determinants of liquidity commonality in the Euro-area sovereign bond market," The European Journal of Finance, Taylor & Francis Journals, vol. 29(10), pages 1144-1186, July.
- Wang, Gang-Jin & Wan, Li & Feng, Yusen & Xie, Chi & Uddin, Gazi Salah & Zhu, You, 2023. "Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
- Banti, C, 2015. "Illiquidity in the stock and FX markets: an investigation of their cross-market dynamics," Essex Finance Centre Working Papers 15626, University of Essex, Essex Business School.
- Brauneis, Alexander & Mestel, Roland & Riordan, Ryan & Theissen, Erik, 2022. "Bitcoin unchained: Determinants of cryptocurrency exchange liquidity," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 106-122.
- Florian El Mouaaouy, 2018. "Financial crime ‘hot spots’ – empirical evidence from the foreign exchange market," The European Journal of Finance, Taylor & Francis Journals, vol. 24(7-8), pages 565-583, May.
- Scharnowski, Stefan, 2021. "Understanding Bitcoin liquidity," Finance Research Letters, Elsevier, vol. 38(C).
- Wenqian Huang & Peter O'Neill & Angelo Ranaldo & Shihao Yu, 2023. "HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading," Swiss Finance Institute Research Paper Series 23-48, Swiss Finance Institute.
- Fecht, Falko & Reitz, Stefan & Weber, Patrick, 2015. "On the role of market makers for money market liquidity and tensions," Kiel Working Papers 2013, Kiel Institute for the World Economy (IfW Kiel).
- Konstantinos Gkillas & Dimitrios Vortelinos & Christos Floros & Alexandros Garefalakis & Nikolaos Sariannidis, 2020. "Greek sovereign crisis and European exchange rates: effects of news releases and their providers," Annals of Operations Research, Springer, vol. 294(1), pages 515-536, November.
- Noss, Joseph & Pedace, Lucas & Tobek, Ondrej & Linton, Oliver & Crowley-Reidy, Liam, 2017. "The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets," Bank of England working papers 687, Bank of England.
- Geyikçi, Utku Bora & Özyıldırım, Süheyla, 2023. "Deviations from covered interest parity in the emerging markets after the global financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
- Sensoy, Ahmet & Uzun, Sevcan & Lucey, Brian M., 2021. "Commonality in FX liquidity: High-frequency evidence," Finance Research Letters, Elsevier, vol. 39(C).
- Cantú, Carlos, 2019.
"Effects of capital controls on foreign exchange liquidity,"
Journal of International Money and Finance, Elsevier, vol. 93(C), pages 201-222.
- Carlos Cantú, 2017. "Effects of capital controls on foreign exchange liquidity," BIS Working Papers 659, Bank for International Settlements.
- Richard M Levich & Frank Packer, 2015. "Development and functioning of FX markets in Asia and the Pacific," BIS Papers chapters, in: Bank for International Settlements (ed.), Cross-border Financial Linkages: Challenges for Monetary Policy and Financial Stability, volume 82, pages 75-132, Bank for International Settlements.
- Reitz, Stefan & Umlandt, Dennis, 2021. "Currency returns and FX dealer balance sheets," Journal of International Economics, Elsevier, vol. 133(C).
- Ranaldo, Angelo & de Magistris, Paolo Santucci, 2022. "Liquidity in the global currency market," Journal of Financial Economics, Elsevier, vol. 146(3), pages 859-883.
- Będowska-Sójka, Barbara, 2019. "The dynamics of low-frequency liquidity measures: The developed versus the emerging market," Journal of Financial Stability, Elsevier, vol. 42(C), pages 136-142.
- Dupuy, Philippe, 2021. "Risk-adjusted return managed carry trade," Journal of Banking & Finance, Elsevier, vol. 129(C).
- Hoberg, Gerard & Moon, S. Katie, 2017. "Offshore activities and financial vs operational hedging," Journal of Financial Economics, Elsevier, vol. 125(2), pages 217-244.
- Kingsley Y. L. Fong & Craig W. Holden & Charles A. Trzcinka, 2017. "What Are the Best Liquidity Proxies for Global Research?," Review of Finance, European Finance Association, vol. 21(4), pages 1355-1401.
- Ran Xiao, 2019. "Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2019, January-A.
- Ayadi, Mohamed A. & Ben Omrane, Walid & Wang, Jiayu & Welch, Robert, 2022. "Senior official speech attributes and foreign exchange risk around business cycles," International Review of Financial Analysis, Elsevier, vol. 80(C).
- Dietrich Domanski & Emanuel Kohlscheen & Ramon Moreno, 2016. "Foreign exchange market intervention in EMEs: what has changed?," BIS Quarterly Review, Bank for International Settlements, September.
- Deuskar, Prachi & Johnson, Timothy C., 2021. "Funding liquidity and market liquidity in government bonds," Journal of Banking & Finance, Elsevier, vol. 129(C).
- Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
- Thomas A. Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2019. "Pricing Risks Across Currency Denominations," Management Science, INFORMS, vol. 65(11), pages 5308-5336, November.
- Alexander Pütz & Pierre L. Siklos & Christoph Sulewski, 2019. "“Who pays the piper calls the tune” – Networks and transaction costs in commodity markets," CQE Working Papers 8819, Center for Quantitative Economics (CQE), University of Muenster.
- Anagnostidis, Panagiotis & Fontaine, Patrice, 2020. "Liquidity commonality and high frequency trading: Evidence from the French stock market," International Review of Financial Analysis, Elsevier, vol. 69(C).
- repec:oup:rfinst:v:21:y:2017:i:4:p:1355-1401. is not listed on IDEAS
- Wu, Chih-Chiang & Chen, Wei-Peng & Korsakul, Nattawadee, 2021. "Extreme linkages between foreign exchange and general financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
- Filippou, Ilias & Maurer, Thomas A. & Pezzo, Luca & Taylor, Mark P., 2024.
"Importance of transaction costs for asset allocation in foreign exchange markets,"
Journal of Financial Economics, Elsevier, vol. 159(C).
- Filippou, Ilias & Maurer, Thomas & Pezzo, Luca & Taylor, Mark, 2024. "Importance of Transaction Costs for Asset Allocation in Foreign Exchange Markets," CEPR Discussion Papers 19037, C.E.P.R. Discussion Papers.
- Mohammad Jahan-Parvar & Filip Zikes, 2019. "When do low-frequency measures really measure transaction costs?," Finance and Economics Discussion Series 2019-051, Board of Governors of the Federal Reserve System (U.S.).
- Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2017. "Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 172-192.
- Dupuy, Philippe & James, Jessica & Marsh, Ian W., 2021. "Attractive and non-attractive currencies," Journal of International Money and Finance, Elsevier, vol. 110(C).
- Efstathios Panayi & Gareth Peters & Ioannis Kosmidis, 2014. "Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data," Papers 1406.5486, arXiv.org.
- Luo, Ji & Tee, Kai-Hong & Li, Baibing, 2017. "Timing liquidity in the foreign exchange market: Did hedge funds do it?," Journal of Multinational Financial Management, Elsevier, vol. 40(C), pages 47-62.
- Bank for International Settlements, 2017. "Foreign exchange liquidity in the Americas," BIS Papers, Bank for International Settlements, number 90.
- Andrew Y. Chen & Mihail Velikov, 2020. "Zeroing in on the Expected Returns of Anomalies," Finance and Economics Discussion Series 2020-039, Board of Governors of the Federal Reserve System (U.S.).