Liquidity spillover in foreign exchange markets

Ya Ting Chang; Yin Feng Gau; Chih Chiang Hsu

doi:10.1016/j.frl.2021.102105

Liquidity spillover in foreign exchange markets

Ya Ting Chang, Yin Feng Gau, Chih Chiang Hsu

研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

12 引文斯高帕斯（Scopus）

摘要

We use an index of spillover based on the generalized variance decomposition developed by Diebold and Yilmaz (2009, 2012) to measure the spillover in liquidity in currency markets between 2008 and 2015. The results show that the liquidity spillovers across nine major foreign exchange markets increase with global risk and funding constraint. We also find a substantial difference in the propagation pattern of liquidity between the funding currencies and investment currencies markets.

原文	???core.languages.en_GB???
文章編號	102105
期刊	Finance Research Letters
卷	44
DOIs	https://doi.org/10.1016/j.frl.2021.102105
出版狀態	已出版 - 1月 2022

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10.1016/j.frl.2021.102105

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abstract = "We use an index of spillover based on the generalized variance decomposition developed by Diebold and Yilmaz (2009, 2012) to measure the spillover in liquidity in currency markets between 2008 and 2015. The results show that the liquidity spillovers across nine major foreign exchange markets increase with global risk and funding constraint. We also find a substantial difference in the propagation pattern of liquidity between the funding currencies and investment currencies markets.",

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KW - Market risk

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Liquidity spillover in foreign exchange markets

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