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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.contributor.authorSensoy, A.-
dc.contributor.otherUzun, S.-
dc.contributor.otherLucey, B.M.-
dc.date.accessioned2020-12-09T06:55:07Z-
dc.date.available2020-12-09T06:55:07Z-
dc.date.issued2021-
dc.identifier.issn1544-6123-
dc.identifier.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85086579110&doi=10.1016%2fj.frl.2020.101577&partnerID=40&md5=d5b4a19edf4c50cb3c12f785722a5a33-
dc.identifier.urihttp://digital.lib.ueh.edu.vn/handle/UEH/60884-
dc.description.abstractWe 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.formatPortable Document Format (PDF)-
dc.language.isoeng-
dc.publisherElsevier Ltd.-
dc.relation.ispartofFinance Research Letters-
dc.relation.ispartofseriesVol. 39-
dc.rightsElsevier Inc.-
dc.subjectCommonality in liquidityen
dc.subjectForeign exchangeen
dc.subjectHigh-frequency tradingen
dc.subjectSystematic risken
dc.subjectTransaction costen
dc.titleCommonality in FX liquidity: High-frequency evidenceen
dc.typeJournal Articleen
dc.identifier.doihttps://doi.org/10.1016/j.frl.2020.101577-
ueh.JournalRankingScopus-
item.grantfulltextnone-
item.openairetypeJournal Article-
item.cerifentitytypePublications-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.fulltextOnly abstracts-
item.languageiso639-1en-
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