Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets
Date
2021-07
Editor(s)
Advisor
Supervisor
Co-Advisor
Co-Supervisor
Instructor
BUIR Usage Stats
3
views
views
6
downloads
downloads
Citation Stats
Series
Abstract
We investigate the dynamics of return and liquidity (co) jumps for three of the most traded emerging market currencies vis-à-vis US dollar. Accordingly, an increase in the average bid-ask spread (realized volatility) significantly reduces the duration between consecutive return (liquidity) jumps, while liquidity and volatility only play a partial role on the duration between consecutive return-liquidity cojumps. There is also evidence of vicious return-liquidity spirals in views of the positive contemporaneous impact of liquidity jumps on volatility and return jumps on the bid-ask spread. Finally, scheduled macroeconomic news and central bank announcements increase the likelihood of both return and liquidity (co) jumps.
Source Title
Journal of International Financial Markets, Institutions and Money
Publisher
Elsevier BV
Course
Other identifiers
Book Title
Keywords
Degree Discipline
Degree Level
Degree Name
Citation
Permalink
Published Version (Please cite this version)
Collections
Language
English