TY - GEN
T1 - Liquidity risk and asset movement evidence from brexit
AU - Mago, Damini
AU - Salighehdar, Amin
AU - Parekh, Mansi
AU - Bozdog, Dragos
AU - Florescu, Ionut
N1 - Publisher Copyright:
© 2017 IEEE.
PY - 2017/7/1
Y1 - 2017/7/1
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=85046080610&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85046080610&partnerID=8YFLogxK
U2 - 10.1109/SSCI.2017.8280814
DO - 10.1109/SSCI.2017.8280814
M3 - Conference contribution
AN - SCOPUS:85046080610
T3 - 2017 IEEE Symposium Series on Computational Intelligence, SSCI 2017 - Proceedings
SP - 1
EP - 8
BT - 2017 IEEE Symposium Series on Computational Intelligence, SSCI 2017 - Proceedings
T2 - 2017 IEEE Symposium Series on Computational Intelligence, SSCI 2017
Y2 - 27 November 2017 through 1 December 2017
ER -