Banti, C (2015) Illiquidity in the stock and FX markets: an investigation of their cross-market dynamics. Working Paper. Essex Finance Centre Working Papers.

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Abstract

In this paper, I investigate the illiquidity channel linking the stock and FX markets.The evidence of co-movement and cross-market spillovers is supportive of important dynamics in illiquidity, especially during the recent crisis. To clarify the nature of these dynamics, I consider the role of two important players on both markets, institutional investors and dealers. Overall, correlated institutional trading contributes to liquidity across markets. Furthermore, as funding availability reduces in times of crisis, dealers' funding constraints affect the observed dynamics. Finally, both correlated institutional trading and dealers' funding constraints are potential triggers of systemic illiquidity spirals.

Item Type:	Monograph (Working Paper)
Uncontrolled Keywords:	HG;
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User:	Jim Jamieson
Date Deposited:	09 Dec 2015 20:43
Last Modified:	04 Dec 2017 22:18
URI:	http://repository.essex.ac.uk/id/eprint/15626

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