Search results for "Liquidity"
showing 10 items of 91 documents
Liquidity Synchronization, Its Determinants and Outcomes under Economic Growth Volatility: Evidence from Emerging Asian Economies
2021
This study investigates the country-level determinants of liquidity synchronization and degrees of liquidity synchronization during economic growth volatility. As a non-diversifiable risk factor, liquidity co-movement shock spreads market-wide and thus disrupts the overall functioning of the financial market. Firms in Asian markets operate in legal and regulatory environments distinct from those of firms analyzed in the previous literature. Comprehensive analyses of liquidity synchronicity in emerging markets are limited. A major knowledge gap pertaining to Asian emerging markets serves as the primary motivation for this study. Seven Asian emerging economies are selected from the MSCI emerg…
Inflation anchoring and growth: The role of credit constraints
2022
Abstract Can inflation anchoring foster growth? To answer this question, we use panel data on sectoral growth for 22 manufacturing industries from 39 advanced and emerging market economies over 1990–2014 and employ a difference-in-differences strategy based on the theoretical prediction that higher inflation uncertainty particularly depresses investment in industries that are more credit constrained. Industries characterized by high external financial dependence, liquidity needs, and R&D intensity, and low asset tangibility, tend to grow faster in countries with well-anchored inflation expectations. The results, based on an IV approach—using indicators of monetary policy transparency and ce…
Bank Stability: The Case of Nordic and Non-Nordic Banks in Latvia
2018
The banking industry is facing huge challenges due to technology-enabled innovation, to changes in customer preferences, to bank de-risking and to new regulatory initiatives. To go through all these changes, banks need to be stable. The present study contributes to the empirical literature by identifying the determinants of stability of banks in the Latvian Banking Industry. This study covers both bank-specific (endogenous) factors and macroeconomic (exogenous) factors that impact the stability of banks. The data set used in this study is the annual financial statements of Latvian banks operated in the period 2003-2016. Using multivariate regression analysis techniques, we found evidence th…
Information processing in the stock market around anticipated accounting information: earnings release
2012
Earnings announcements are anticipated events with significant price impacts. This fact can motivate informed traders to trade on private information and liquidity providers to reduce liquidity in order to be careful about insider trading. In this paper, we examine the effect of earnings announcements on information asymmetry. Specifically, we investigate whether liquidity suppliers value the possibility of trading with informed agents and whether market behaviour reflects this. To achieve this objective, we take into account the sign of the surprise, the quarter of the announcement, the quantity of previous information and the quality of the information released. One of the main results of…
The Relationship Between the Comprehensiveness of Corporate Annual Reports and Firm Characteristics in Spain
1994
Abstract Not much information exists in the international accounting literature on Spanish accounting. Spain is selected as a subject of study because it is different from those countries that are subjects of the research concerned with investigating the multivariate impact of firm characteristics on disclosure in annual reports and accounts. The conceptual model underlying our empirical tests is based on economic and political incentives for providing greater detail in corporate annual reports and accounts. The paper provides evidence that the amount of detail in Spanish corporate annual reports and accounts is increasing in firm size and stock exchange listing, and decreasing in liquidity.
Banking Crises and Short and Medium Term Output Losses in Developing Countries: The Role of Structural and Policy Variables
2010
The aim of this work is to assess the short and medium term impact of banking crises on developing economies. Using an unbalanced panel of 159 countries from 1970 to 2006, the paper shows that banking crises produce significant output losses, both in the short and in the medium term. The effect depends on structural and policy variables. Output losses are larger for relatively more wealthy economies, characterized by a higher level of financial deepening and larger current account imbalances. Flexible exchange rates, fiscal and monetary policy have been found to be efficient tools to attenuate the effect of the crises. Among banking intervention policies, liquidity support resulted to be th…
Size Clustering in European Carbon Markets
2012
This paper documents empirical evidence of size clustering behavior in the European Carbon Futures Market and analyzes the circumstances under which it happens. Our findings show that carbon trades are concentrated in sizes of one to five contracts and in multiples of five. We have observed the existence of price clustering of prices ending in digits 0 or 5, and we have also proved that more clustered prices have more clustered sizes. Finally, the analysis of the key factors of the size clustering reveals that carbon traders use a reduced number of different trade sizes to simplify their trading process when uncertainty is high, market liquidity is poor, and the desire for opening new posit…
Sovereign debt spreads in EMU: The time-varying role of fundamentals and market distrust
2017
Abstract This paper provides further analysis on the determinants of sovereign debt spreads for peripheral Eurozone countries since the start of EMU, paying special attention to episodes that characterized the global financial crisis aftermath starting in 2007. More specifically, the purpose of our research is to disentangle the role of fundamental variables and market perception about variations on risk in order to explain the evolution of sovereign spreads in EMU during the recent crisis. Our results, in line with previous literature, show the importance of three groups of observable variables, namely, changes in risk-aversion of creditors, fiscal indebtedness and liquidity variables. In …
Determinants of Banks’ Profitability: Evidence from EU 27 Banking Systems
2015
Abstract In this study we assess the main determinants of banks’ profitability in EU27 over the period 2004-2011. We split the factors that influence bank profitability in two large groups: bank-specific (internal) factors and industry specific and macroeconomic (external) factors. We consider as proxy for banks profitability the return on average assets (ROAA) and the return on average equity (ROAE). The empirical findings are consistent with the expected results. Credit and liquidity risk, management efficiency, the diversification of business, the market concentration/competition and the economic growth have influence on bank profitability, both on ROAA and ROAE. An interesting and valua…
The Dynamics of Quote Prices in an Artificial Financial Market with Learning Effects
2007
In this paper we study the evolution of bid and ask prices in an electronic financial market populated by portfolio traders who optimally choose their allocation strategy on the basis of their views about market conditions. Recently, a growing literature has investigated the consequences of learning about the returns process1. There has been an increasing interest in analyzing what are the implications of relaxing the assumption that agents hold correct expectations. In particular, it has been asked the fundamental question of understanding if typical asset-pricing anomalies (like returns predictability, and excess volatility) can be generated by a learning process about the underlying econ…