The market turbulence that began in July 2007 stemmed initially from credit prospects deteriorating in U.S. subprime mortgages, but quickly spread to other markets. Growing uncertainty surrounding the valuation of structured credit instruments affected their liquidity, leading to difficulties in the asset-backed commercial paper (ABCP) market, where these instruments were partly funded. Illiqui...

The Covid-19 pandemic that has spread globally until today had a huge impact on citizens’ productivity and of course economic conditions. Indonesian government currently implementing Pemberlakuan Pembatasan Kegiatan Masyarakat (PPKM). This research aims to identify the implementation (PPKM) stock return, Amihud illiquidity, market capitalization, Closing Percent Quoted Spread (CPQS) in consumer...

The potential impact of interconnected financial institutions on interbank financial systems is a financial stability concern for central banks and regulators. A number of algorithms/methods have been developed to extrapolate latent interbank risk exposures. However, most use highly stylized network models and reconstruction methods with global optimality lending allocation approaches such as m...

This study examines various measures of trading costs estimated from highfrequency (TAQ) data and the extent to which these measures can be estimated from daily data (CRSP). The high-frequency measures tend to be positively correlated. Posted spreads and effective costs are very highly correlated. Price impact measures and other statistics derived from dynamic models, however, are only modestly...

We propose a new measure capturing three dimensions of trading restriction tightness: trading quantity, speed, and cost. By using this new measure, we document a positive effect of restriction tightness on illiquidity discounts of restricted shares relative to their liquid counterparts, inferred from Division Reform, a market-level process of releasing trading restrictions in China Stock Market...

The extreme volatility of electricity prices makes its financial derivatives important instruments for asset managers. Even if the volume of derivative contracts traded on Power Exchanges has been growing since the inception of the restructuring of the sector, electricity remains considerably less liquid than other commodity markets. This paper assesses the effect of limited liquidity in power ...