Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext

Autor:	Alain Durré, Helena Beltran, Pierre Giot
Rok vydání:	2009
Předmět:	Economics and Econometrics Financial economics Volatility swap Economics Volatility smile Order book Liquidity crisis Monetary economics Implied volatility Volatility (finance) Volatility risk premium Finance Market liquidity
Zdroj:	Global Finance Journal. 20:80-97
ISSN:	1044-0283
DOI:	10.1016/j.gfj.2009.02.001
Popis:	We analyze whether the liquidity provision in a pure order book market undergoes regime changes when volatility switches from a low state to a high state. In a five-month case study centered on the second Gulf war, we show that the contemporaneous relationship between liquidity and volatility is resilient to regime changes in volatility. Nevertheless, we do find that it ismore costly to trade when volatility is large. A VAR analysis also shows that the liquidity dynamics is similar in the low and high volatility regimes, although the drop in liquidity subsequent to volatility shocks is larger in the high volatility regime.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::351c6f8af494037cee58e57950a7fe1d https://doi.org/10.1016/j.gfj.2009.02.001 Zobrazit plný text záznamu Full Text from ScienceDirect