Liquidity and Asset Pricing
A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".
Deadline for manuscript submissions: 31 December 2024 | Viewed by 879
Special Issue Editors
Interests: empirical asset pricing; market microstructure; international financial markets
Special Issue Information
Dear Colleagues,
The relationship between liquidity levels and asset prices has been extensively explored both theoretically and empirically. However, the impact of other dimensions of liquidity, such as liquidity shocks and its influence on different institutional investors, systematic liquidity risk, and liquidity volatility, has received relatively less attention. Furthermore, current studies predominantly concentrate on the stock market, with comparatively less emphasis on other types of financial markets.
Encouragement is extended for research exploring the impact of various dimensions of liquidity on asset prices within diverse markets, including bonds, commodities, options, and cryptocurrencies. The extension of liquidity’s impact on asset prices could also include insiders, hedge funds, mutual funds, and other institutions. Research efforts that employ high-frequency data and investigate the influence of specific events, such as the COVID-19 pandemic, on the relationship between liquidity and asset prices are particularly welcomed. Additionally, contributions delving into the time series relationship between different dimensions of liquidity and asset returns are highly encouraged. Such studies hold the potential to significantly advance our comprehension of the comprehensive relationship between liquidity and asset prices.
Dr. Huiping Zhang
Dr. Yixuan Rui
Guest Editors
Manuscript Submission Information
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Keywords
- liquidity
- asset return
- alternative markets
- high-frequency data
- time series analysis
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