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- W1944096508 abstract "Studying major currencies versus the U.S. Dollar, this paper makes two contributions. First, we document strong comovement in both intraday and daily currency spreads. We also show that currency spreads co-move with aggregate U.S. equity market spreads. Thus, comovement in liquidity is even more pervasive than previously documented. Second, we explore the sources of this comovement. In the presence of controls for inventory and funding effects, we find that the comovement in liquidity remains strong. This result suggests that correlated adverse selection effects across currencies and across currencies and stocks are an important driver of liquidity comovement, and is consistent with a recent literature on aggregate private information. The important contribution of our analysis is to shed light on the origins of correlated FX liquidity. In practical terms, our results suggest that, due to the comovement in currency and equity market liquidity, international diversification strategies based on major markets will not reduce the liquidity risk that arises in domestic portfolios." @default.
- W1944096508 created "2016-06-24" @default.
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- W1944096508 date "2011-01-01" @default.
- W1944096508 modified "2023-09-23" @default.
- W1944096508 title "Liquidity Comovement in the Foreign Exchange Market" @default.
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- W1944096508 doi "https://doi.org/10.2139/ssrn.1918044" @default.
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