Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets

Süleyman Serdengeçti, Ahmet Sensoy and Duc Khuong Nguyen

Journal of International Financial Markets, Institutions and Money, 2021, vol. 73, issue C

Abstract: We investigate the dynamics of return and liquidity (co) jumps for three of the most traded emerging market currencies vis-à-vis US dollar. Accordingly, an increase in the average bid-ask spread (realized volatility) significantly reduces the duration between consecutive return (liquidity) jumps, while liquidity and volatility only play a partial role on the duration between consecutive return-liquidity cojumps. There is also evidence of vicious return-liquidity spirals in views of the positive contemporaneous impact of liquidity jumps on volatility and return jumps on the bid-ask spread. Finally, scheduled macroeconomic news and central bank announcements increase the likelihood of both return and liquidity (co) jumps.

JEL-codes: C14 F31 G11 G14 G15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets (2021)
Working Paper: Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000962

DOI: 10.1016/j.intfin.2021.101377

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