Matches in SemOpenAlex for { <https://semopenalex.org/work/W2000660602> ?p ?o ?g. }
Showing items 1 to 93 of
93
with 100 items per page.
- W2000660602 abstract "The cost of liquidity is the major cost of transacting on organised futures exchanges. Liquidity has value both to traders and to exchanges. This paper argues that liquidity varies directly with market development, and that this relationship provides a major incentive for mergers among exchanges. While previous research on liquidity has focused on spot markets for a range of securities, this paper employs data from the US dollar/Yen futures contract to investigate the relationship between liquidity and volume, between liquidity, volume and volatility, and between liquidity and the speculation ratio. The paper tests for non-linearity in these relationships, and explores the presence of Granger causality between pairs of key variables. The results include inter alia the presence of a significant negative relationship between the cost of liquidity and volume, and evidence of a significant non-linear relationship in which the cost of liquidity varies directly with volatility and negatively with the conditional fourth moment about the mean of daily prices (a measure of kurtosis). Moreover, there is evidence that liquidity Granger causes volume, that volatility Granger causes volume, and that liquidity Granger causes the speculation ratio." @default.
- W2000660602 created "2016-06-24" @default.
- W2000660602 creator A5024501681 @default.
- W2000660602 creator A5056648326 @default.
- W2000660602 date "2003-04-23" @default.
- W2000660602 modified "2023-09-26" @default.
- W2000660602 title "Concentration and Liquidity in Mature Markets: Evidence from the US Dollar/Yen Futures Market" @default.
- W2000660602 cites W1502173616 @default.
- W2000660602 cites W2057686864 @default.
- W2000660602 cites W2286201810 @default.
- W2000660602 cites W2335559751 @default.
- W2000660602 cites W2795715425 @default.
- W2000660602 cites W3016982502 @default.
- W2000660602 cites W3122838223 @default.
- W2000660602 hasPublicationYear "2003" @default.
- W2000660602 type Work @default.
- W2000660602 sameAs 2000660602 @default.
- W2000660602 citedByCount "1" @default.
- W2000660602 countsByYear W20006606022018 @default.
- W2000660602 crossrefType "posted-content" @default.
- W2000660602 hasAuthorship W2000660602A5024501681 @default.
- W2000660602 hasAuthorship W2000660602A5056648326 @default.
- W2000660602 hasConcept C10138342 @default.
- W2000660602 hasConcept C106159729 @default.
- W2000660602 hasConcept C106306483 @default.
- W2000660602 hasConcept C109168655 @default.
- W2000660602 hasConcept C127288500 @default.
- W2000660602 hasConcept C129824826 @default.
- W2000660602 hasConcept C149782125 @default.
- W2000660602 hasConcept C151730666 @default.
- W2000660602 hasConcept C162324750 @default.
- W2000660602 hasConcept C176923680 @default.
- W2000660602 hasConcept C182306322 @default.
- W2000660602 hasConcept C183582576 @default.
- W2000660602 hasConcept C189259953 @default.
- W2000660602 hasConcept C18991353 @default.
- W2000660602 hasConcept C190896228 @default.
- W2000660602 hasConcept C204468989 @default.
- W2000660602 hasConcept C2780299701 @default.
- W2000660602 hasConcept C2780762169 @default.
- W2000660602 hasConcept C47941915 @default.
- W2000660602 hasConcept C51926234 @default.
- W2000660602 hasConcept C556758197 @default.
- W2000660602 hasConcept C86803240 @default.
- W2000660602 hasConceptScore W2000660602C10138342 @default.
- W2000660602 hasConceptScore W2000660602C106159729 @default.
- W2000660602 hasConceptScore W2000660602C106306483 @default.
- W2000660602 hasConceptScore W2000660602C109168655 @default.
- W2000660602 hasConceptScore W2000660602C127288500 @default.
- W2000660602 hasConceptScore W2000660602C129824826 @default.
- W2000660602 hasConceptScore W2000660602C149782125 @default.
- W2000660602 hasConceptScore W2000660602C151730666 @default.
- W2000660602 hasConceptScore W2000660602C162324750 @default.
- W2000660602 hasConceptScore W2000660602C176923680 @default.
- W2000660602 hasConceptScore W2000660602C182306322 @default.
- W2000660602 hasConceptScore W2000660602C183582576 @default.
- W2000660602 hasConceptScore W2000660602C189259953 @default.
- W2000660602 hasConceptScore W2000660602C18991353 @default.
- W2000660602 hasConceptScore W2000660602C190896228 @default.
- W2000660602 hasConceptScore W2000660602C204468989 @default.
- W2000660602 hasConceptScore W2000660602C2780299701 @default.
- W2000660602 hasConceptScore W2000660602C2780762169 @default.
- W2000660602 hasConceptScore W2000660602C47941915 @default.
- W2000660602 hasConceptScore W2000660602C51926234 @default.
- W2000660602 hasConceptScore W2000660602C556758197 @default.
- W2000660602 hasConceptScore W2000660602C86803240 @default.
- W2000660602 hasLocation W20006606021 @default.
- W2000660602 hasOpenAccess W2000660602 @default.
- W2000660602 hasPrimaryLocation W20006606021 @default.
- W2000660602 hasRelatedWork W2027035164 @default.
- W2000660602 hasRelatedWork W2054404217 @default.
- W2000660602 hasRelatedWork W2210383675 @default.
- W2000660602 hasRelatedWork W2349740944 @default.
- W2000660602 hasRelatedWork W2351187300 @default.
- W2000660602 hasRelatedWork W2361581504 @default.
- W2000660602 hasRelatedWork W2382327894 @default.
- W2000660602 hasRelatedWork W2391164500 @default.
- W2000660602 hasRelatedWork W2391689949 @default.
- W2000660602 hasRelatedWork W2587807656 @default.
- W2000660602 hasRelatedWork W2606716735 @default.
- W2000660602 hasRelatedWork W2761686788 @default.
- W2000660602 hasRelatedWork W2885874744 @default.
- W2000660602 hasRelatedWork W2935864593 @default.
- W2000660602 hasRelatedWork W2950524470 @default.
- W2000660602 hasRelatedWork W2997195465 @default.
- W2000660602 hasRelatedWork W2998793004 @default.
- W2000660602 hasRelatedWork W3125557110 @default.
- W2000660602 hasRelatedWork W3160896818 @default.
- W2000660602 hasRelatedWork W647203215 @default.
- W2000660602 isParatext "false" @default.
- W2000660602 isRetracted "false" @default.
- W2000660602 magId "2000660602" @default.
- W2000660602 workType "article" @default.