Global liquidity risk in the foreign exchange market

被引：37

作者：

Banti, Chiara ^{[1
]}

Phylaktis, Kate ^{[1
]}

Sarno, Lucio ^{[1
,2
]}

机构：

[1] City Univ London, Cass Business Sch, London EC1Y 8TZ, England

[2] Ctr Econ Policy Res CEPR, London, England

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2012年 / 31卷 / 02期

关键词：

Foreign exchange; Liquidity; Order flow; Microstructure; BID-ASK SPREADS; CROSS-SECTION; ORDER FLOW; RETURNS; TRANSACTIONS; COMMONALITY; ILLIQUIDITY; VOLATILITY; PRICES; VOLUME;

D O I：

10.1016/j.jimonfin.2011.11.010

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using a broad data set of 20 US dollar exchange rates and order flow of institutional investors over 14 years, we construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the analog of the well-known Pastor-Stambaugh liquidity measure for the US stock market. We show that this measure has reasonable properties, and that there is a strong common component in liquidity across currencies. Finally, we provide evidence that liquidity risk is priced in the cross-section of currency returns, and estimate the liquidity risk premium in the FX market around 4.7 percent per annum. (C) 2011 Elsevier Ltd. All rights reserved.

引用

页码：267 / 291

页数：25

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