This study advances beyond the conventional singular factor analysis and considers
multiple market microstructure components to investigate time varying informational …

In this paper we develop a framework to analyze high-frequency (HF) financial transaction
data focused on estimating a multidimensional intraday liquidity measure and detecting rare …

This study examines the impact of the flight-to-liquidity (FTL) phenomenon on the excess
stock return by applying the previously developed generalised method of moments (GMM) …

The current study explores the problem of illiquidity in the corporate bond market globally
and proposes a solution to enhance liquidity by studying various dimensions of liquidity …

This study examines the effectiveness of various liquidity proxies in distinguishing between
Investment Grade (IG) and High Yield (HY) bonds within the Indonesian corporate bond …

The current study explores the problem of illiquidity in the corporate bond market and
examines a broad set of liquidity proxies through empirical investigation. Purpose: The …

The global bond market is greater than the global equity market meanwhile it grows
gradually in recent years. Issuing corporate bonds is an ideal channel for enterprises to …

In this paper we develop a framework for the analysis of high-frequency financial transaction
data focused on the estimation of the multidimensional intraday liquidity measures and rare …