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Download Article 368.26 Kb
Price discovery for competing currency numeraires
Multinational Finance Journal, 2024, vol. 28, no. 3/4, pp. 38-75
Iñaki Rodríguez Longarela
, Stockholm University
Corresponding Author
Email: iro@sbs.su.se
Geir Høidal Bjønnes
, BI Norwegian Business School
Abstract:
For many countries, information in FX markets about the fundamentals of their economies is reduced to two relevant and competing channels, namely, their currency's exchange rate with either the euro or the US dollar. In light of this, this paper presents an analysis which can help establishing which one of these two currency numeraires drives the price discovery process and what market microstructure factors determine their informational contribution. Using EBS benchmark exchange rates, we find that the USD dollar is an informationally dominant currency when it comes to the Japanese economy but that such prominence is clearly contested when the two currencies are matched with the Swiss franc. Although price discovery appears to positively correlate with the bid-ask spread, two-stage regressions present no evidence of a causal impact of liquidity. Furthermore, we provide evidence suggesting that managed exchange rates may affect the price discovery of their targets.
Keywords : Central bank intervention; Currency numeraire; Exchange rates; Liquidity; Price discovery; Target zones
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Download Article 278.93 Kb
Sentiment Divergence and its Impact on Share Liquidity
Multinational Finance Journal, 2024, vol. 28, no. 1/2, pp. 1-37
John Garcia
, California Lutheran University
Corresponding Author
Email: jgarcia@callutheran.edu
Abstract:
This research examines the impact of divergent investor sentiment derived from tweets and news media content on a firm's share liquidity. The study analyzes a sample of 1,945 publicly traded US firms from January 2015 to April 2021. Utilizing daily Amihud illiquidity, bid-ask spread, and share turnover as liquidity proxies, the study’s results reveal a positive relationship between divergent sentiment and share liquidity. Interestingly, this effect was found to be more potent during the COVID-19 pandemic period. Moreover, the study presents mixed evidence suggesting that the effect of divergent sentiment on share liquidity is heightened during periods of increased investor attention. This study contributes to our understanding of how investor sentiment influences financial markets, particularly by highlighting the role of sentiment divergence in shaping share liquidity.
Keywords : Behavioral Finance; Disagreement; Sentiment; Stock Liquidity
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