Global ETD Search
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Showing 1 to 2 of 2 for “"illiquidity contagion"”.
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Essays in FX market microstructure
… the third paper is an empirical investigation of illiquidity linkages across the FX and US stock markets. Focusing on transaction costs, the paper finds strong evidence of co-movement, especially during the recent financial crisis. In this respect, illiquidity contagion across the two markets is …
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The foreign exchange market: a three essay analysis
Illiquidity in financial markets is an issue of importance given that its impact can be rapid, that it can result in the emergence of a financial crisis, and that ultimately, it can threaten financial system stability. I construct five measures of FX illiquidity using high frequency transactable FX …