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Chia-Cheng Chen,Chia-Li Tai,Yi-Sheng Liu
Pág. 109 - 117
This study empirically examines the illiquidity premium of Taiwan stock markets and its relationship with monetary policies. We find that commonly used illiquidity measures are generally sensitive and capable of capturing market illiquidity, particularly...
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Namitha K. Cheriyan,Lazar Daniel
Pág. 17 - 22
The liquidity crunch arising out of volatile market conditions is a significant concern for investors across the globe. The trading activity in the market is an important attribute determining the liquidity as well as the volatility of any stock market. ...
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Tafirei Mashamba,Rabson Magweva
AbstractOrientation: The behaviour of stock market return volatility and implications thereof in Southern African Development Committee (SADC).Research purpose: The main aim of this study was to examine leverage effects and volatility persisten...
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Kudakwashe J. Chipunza,Kerry McCullough
AbstractMaximising firm value remains a key tenet of corporate managers. Firms with lower illiquidity and volatility attract lower risk premiums, and these are associated with a lower cost of capital and higher firm value. Internationalisation is one ave...
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Thomas C. Chiang and Yuanqing Zhang
This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sect...
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Chandana Gunathilaka,Mohamad Jais,Sophee Sulong Balia
Pág. 478 - 487
Market illiquidity and investor sentiment show a significant role in Malaysian capital market, the variation of average stock returns left unexplained by capital asset pricing model is covered effectively by illiquidity and sentiment risks. Our investor ...
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Mustaruddin Mustaruddin,Aristya Dinata,Wendy Wendy,Anwar Azazi
Pág. 8 - 15
This study is aimed to scrutinize the impact of asymmetric information on capital structure in Indonesia by taken the sample from firms listed in IDX with total of 225 observations. The capital structure is measured by Leverage (LEV) and the asymme...
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Pankaj Pandey and Einar Snekkenes
For many individuals and organizations, cyber-insurance is the most practical and only way of handling a major financial impact of an information security event. However, the cyber-insurance market suffers from the problem of information asymmetry, lack ...
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Brooke Alexandra Maeda
Pág. 790 - 801
This paper explores the existence of the flight-to-liquidity phenomenon for shares which are traded on the Tokyo Stock Exchange during share market crashes. Using data from the First section of the Tokyo Stock Exchange, the existence of a flight-to-liqui...
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Dirk Visser,Gary van Vuuren
AbstractA stress-testing model to evaluate liquidity and systemic risk in banks of developed and emerging economies has been assembled and tested. The Liquidity Stress Tester model (LST) was applied to Dutch and UK markets during crisis and non-crisis pe...
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