They determined that both liquidity and volatility changes in one sector are informative in predicting liquidity shifts in another.
Our evidence indicates that depth, proportional effective spread, and liquidity changes predict volatility changes for bid-ask spread, depth, and proportional effective spread.
These rules threaten to erode the profitability of derivatives businesses as they make the cost of hedging clear for clients.Together with the new rules on capital, liquidity and proprietary trading, these changes will hit banks' revenue as well as their profitability.
In addition, we provide evidence for size and liquidity effects and analyze changes in imbalance effects during the financial crisis.
We assess the relevance of potentially confounding factors by examining the impact of the instruments on a number of bank-level outcomes, including the share of industry-specific non-performing loans, the growth of deposits, changes in bank liquidity and the interest rates charged on newly granted loans.
I believe you'll get better returns with weekly floaters, which also have better liquidity and are more responsive to market changes because they are shorter term.
Locke and Sarkar (1996) examined the changes in market liquidity following changes in price volatility.
Beyond traditional correlation analysis between liquidity and volatility, the question of the causal relationship between liquidity changes and volatility changes remains open to debate.
But nor are they awash with excess liquidity and heading for another financial meltdown.One big change over the past decade is the emergence of China as an economic power.
7 Since private equity investments are structured differently across stages, there is reason to believe that changes in macroeconomic variables other than liquidity and technological opportunities affect early stage investments in a different way than expansion or buyout transactions.
