Commonality in FX liquidity: High-frequency evidence

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buir.contributor.authorŞensoy, Ahmet
buir.contributor.authorUzun, Sevcan
buir.contributor.orcidŞensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage101577-9en_US
dc.citation.spage101577en_US
dc.citation.volumeNumber39en_US
dc.contributor.authorŞensoy, Ahmet
dc.contributor.authorUzun, Sevcan
dc.contributor.authorLucey, B. M.
dc.date.accessioned2021-03-01T10:34:42Z
dc.date.available2021-03-01T10:34:42Z
dc.date.issued2020-06
dc.departmentDepartment of Managementen_US
dc.description.abstractWe test the existence and reveal the main properties of commonality in liquidity for the foreign exchange (FX) markets at the high-frequency level. Accordingly, commonality in FX liquidity exists even at the high-frequency level and it has been gradually increasing over the last few years. Moreover, commonality increases significantly before (after) ECB (Fed) monetary policy announcements. Finally, commonality in FX liquidity has a significant positive impact on the commonality in FX return series, indicating that an increase in the intraday systematic liquidity risk might trigger a negative aggregate liquidity-return spiral in the FX markets.en_US
dc.embargo.release2022-06-06
dc.identifier.doi10.1016/j.frl.2020.101577en_US
dc.identifier.issn1544-6123
dc.identifier.urihttp://hdl.handle.net/11693/75659
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttps://doi.org/10.1016/j.frl.2020.101577en_US
dc.source.titleFinance Research Lettersen_US
dc.subjectCommonality in liquidityen_US
dc.subjectForeign exchangeen_US
dc.subjectHigh-frequency tradingen_US
dc.subjectTransaction costen_US
dc.subjectSystematic risken_US
dc.titleCommonality in FX liquidity: High-frequency evidenceen_US
dc.typeArticleen_US

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