<abstract xmlns="http://www.w3.org/1999/xhtml"><p>The financial crises are closely connected with spread changes and liquidity issues. After defining and addressing spread considerations, we research in this paper the topic of liquidity issues in times of economic crisis. We analyse the liquidity effects as recorded on spreads of securities from different markets. We stipulate that higher international risk aversion in times of financial crises coincides with widening security spreads. The paper then introduces liquidity as a risk factor into the standard value-at-risk framework, using GARCH methodology. The comparison of results of these models suggests that the size of the tested markets does not have a strong effect on the models. Thus, we find that spread analysis is an appropriate tool for analysing liquidity issues during a financial crisis.</p></abstract>

The financial crises are closely connected with spread changes and liquidity issues. After defining and addressing spread considerations, we research in this paper the topic of liquidity issues in times of economic crisis. We analyse the liquidity effects as recorded on spreads of securities from different markets. We stipulate that higher international risk aversion in times of financial crises coincides with widening security spreads. The paper then introduces liquidity as a risk factor into the standard value-at-risk framework, using GARCH methodology. The comparison of results of these models suggests that the size of the tested markets does not have a strong effect on the models. Thus, we find that spread analysis is an appropriate tool for analysing liquidity issues during a financial crisis.

Spread and Liquidity Issues: A markets comparison

Faculty of Economics and Business, University of Maribor, Slovenia

Naše gospodarstvo/Our economy

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"Spread and Liquidity Issues: A markets comparison"}

The financial crises are closely connected with spread changes and liquidity issues. After defining and addressing spread considerations, we research in this...

Spread and Liquidity Issues: A markets comparison

Publié en ligne: 19 mars 2016

Pages: 3 - 11

Reçu: 01 sept. 2015

Accepté: 01 déc. 2015

DOI: https://doi.org/10.1515/ngoe-2016-0001

Mots clés
liquidity, financial crisis, GARCH VaR models

© 2016 Sebastjan Strašek et al., published by De Gruyter Open

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Spread and Liquidity Issues: A markets comparison

Publié en ligne: 19 mars 2016

Pages: 3 - 11

Reçu: 01 sept. 2015

Accepté: 01 déc. 2015

DOI: https://doi.org/10.1515/ngoe-2016-0001

Mots clésliquidity, financial crisis, GARCH VaR models

© 2016 Sebastjan Strašek et al., published by De Gruyter Open

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Mots clés
liquidity, financial crisis, GARCH VaR models