Please use this identifier to cite or link to this item:
https://digital.lib.ueh.edu.vn/handle/UEH/60884
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Sensoy, A. | - |
dc.contributor.other | Uzun, S. | - |
dc.contributor.other | Lucey, B.M. | - |
dc.date.accessioned | 2020-12-09T06:55:07Z | - |
dc.date.available | 2020-12-09T06:55:07Z | - |
dc.date.issued | 2021 | - |
dc.identifier.issn | 1544-6123 | - |
dc.identifier.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85086579110&doi=10.1016%2fj.frl.2020.101577&partnerID=40&md5=d5b4a19edf4c50cb3c12f785722a5a33 | - |
dc.identifier.uri | http://digital.lib.ueh.edu.vn/handle/UEH/60884 | - |
dc.description.abstract | We test the existence and reveal the main properties of commonality in liquidity for the foreign exchange (FX) markets at the high-frequency level. Accordingly, commonality in FX liquidity exists even at the high-frequency level and it has been gradually increasing over the last few years. Moreover, commonality increases significantly before (after) ECB (Fed) monetary policy announcements. Finally, commonality in FX liquidity has a significant positive impact on the commonality in FX return series, indicating that an increase in the intraday systematic liquidity risk might trigger a negative aggregate liquidity-return spiral in the FX markets. | en |
dc.format | Portable Document Format (PDF) | - |
dc.language.iso | eng | - |
dc.publisher | Elsevier Ltd. | - |
dc.relation.ispartof | Finance Research Letters | - |
dc.relation.ispartofseries | Vol. 39 | - |
dc.rights | Elsevier Inc. | - |
dc.subject | Commonality in liquidity | en |
dc.subject | Foreign exchange | en |
dc.subject | High-frequency trading | en |
dc.subject | Systematic risk | en |
dc.subject | Transaction cost | en |
dc.title | Commonality in FX liquidity: High-frequency evidence | en |
dc.type | Journal Article | en |
dc.identifier.doi | https://doi.org/10.1016/j.frl.2020.101577 | - |
ueh.JournalRanking | Scopus | - |
item.fulltext | Only abstracts | - |
item.openairetype | Journal Article | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.grantfulltext | none | - |
item.cerifentitytype | Publications | - |
item.languageiso639-1 | en | - |
Appears in Collections: | INTERNATIONAL PUBLICATIONS |
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