Spread and liquidity issues

ǂa ǂmarkets comparison

Sebastjan Strašek (Author), Bor Bricelj (Author)

Abstract

The financial crises are closely connected with spread changes and liquidity issues. After defining and addressing spread considerations, we research in this paper the topic of liquidity issues in times of economic crisis. We analyse the liquidity effects as recorded on spreads of securities from different markets. We stipulate that higher international risk aversion in times of financial crises coincides with widening security spreads. The paper then introduces liquidity as a risk factor into the standard value-at-risk framework, using GARCH methodology. The comparison of results of these models suggests that the size of the tested markets does not have a strong effect on the models. Thus, we find that spread analysis is an appropriate tool for analysing liquidity issues during a financial crisis.

Keywords

liquidity;financial crisis;GARCH VaR models;

Data

Language:	English
Year of publishing:	2016
Typology:	1.01 - Original Scientific Article
Organization:	UM EPF - Faculty of Economics and Business
UDC:	338.124.4:339.721
COBISS:	12263964
ISSN:	0547-3101
Parent publication:	Naše gospodarstvo
Views:	657
Downloads:	112
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	Slovenian
Secondary title:	Problematika likvidnosti in cenovnih razponov
Secondary abstract:	Finančne krize so tesno povezane z likvidnostnimi težavami, ki izhajajo iz sprememb poslovanja na borzah. V tem članku analiziramo likvidnostne težave v času ekonomskih kriz. Likvidnostne učinke analiziramo na podlagi informacij o cenovnem razponu med ponujeno in povpraševano ceno naložbe. Predpostavljamo, da v času kriz obstaja pozitivna povezava med prevzemanjem tveganj in večanjem cenovnih razponov. V članku uvedemo likvidnost v standardno analizo tvegane vrednosti, pri tem pa za izračune volatilnosti uporabimo metodo GARCH. O primerjavi rezultatov po naborih delnic ugotavljamo, da velikost kapitalskih trgov ne vpliva na rezultate modelov, zato ugotavljamo tudi, da se po likvidnostnih modelih VaR ob upoštevanju predpostavk raziskave primerno ocenjujejo tržna tveganja.
Secondary keywords:	finance;finančna kriza;likvidnost;modeli;
URN:	URN:SI:UM:
Type (COBISS):	Scientific work
Pages:	str. 3-11
Volume:	ǂLetn. ǂ62
Issue:	ǂšt. ǂ1
Chronology:	2016
DOI:	10.1515/ngoe-2016-0001
ID:	9599403