Liquidity risk and asset movement evidence from brexit

Damini Mago, Amin Salighehdar, Mansi Parekh, Dragos Bozdog, Ionut Florescu

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

1 Scopus citations

Abstract

Exchange-Traded Funds (ETFs) have been widely viewed as a more liquid alternative to mutual funds. Liquidity is an important consideration while analyzing investment opportunities of ETFs. Since liquidity is not directly observable in financial markets, there exist proxies to quantify liquidity in the market. In this study, we consider 25 liquidity measures that are feasible to serve as proxies and maybe calculated using the high frequency data set available. We use a statistical model to examine whether liquidity affects the movement of price. We study this effect to show how liquidity measures impact the components of XLU ETF. We conclude that considering only one liquidity measure in an asset pricing model is not sufficient to capture the dynamics of market liquidity.

Original languageEnglish
Title of host publication2017 IEEE Symposium Series on Computational Intelligence, SSCI 2017 - Proceedings
Pages1-8
Number of pages8
ISBN (Electronic)9781538627259
DOIs
StatePublished - 1 Jul 2017
Event2017 IEEE Symposium Series on Computational Intelligence, SSCI 2017 - Honolulu, United States
Duration: 27 Nov 20171 Dec 2017

Publication series

Name2017 IEEE Symposium Series on Computational Intelligence, SSCI 2017 - Proceedings
Volume2018-January

Conference

Conference2017 IEEE Symposium Series on Computational Intelligence, SSCI 2017
Country/TerritoryUnited States
CityHonolulu
Period27/11/171/12/17

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