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- W4297985079 abstract "We study the liquidity of the global currency market by analyzing the price impact of trading volume. We analyze a decade of CLS intraday data representative of global foreign exchange (FX) trading by developing a refinement of the popular Amihud (2002) illiquidity measure that we call realized Amihud, which is the ratio between realized volatility and trading volume. Inversely related to market depth, price impact increases with transaction costs, money market stress, uncertainty, and risk aversion. Furthermore, we analyze whether and how liquidity begets price efficiency by looking at violations of the “triangular” no-arbitrage condition. We find that dollar-based currencies offer a lower trading impact supporting price efficiency." @default.
- W4297985079 created "2022-10-01" @default.
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- W4297985079 date "2022-12-01" @default.
- W4297985079 modified "2023-10-14" @default.
- W4297985079 title "Liquidity in the global currency market" @default.
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- W4297985079 doi "https://doi.org/10.1016/j.jfineco.2022.09.004" @default.
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