Liquidity commonality and risk premiums in the foreign exchange market during Eurozone crisis
碩士 === 國立中央大學 === 財務金融學系 === 102 === This thesis studies liquidity commonality in the foreign exchange market during Eurozone crisis. Liquidity commonality can be regarded as systemic risk. Investors cannot avoid this risk with portfolio allocation. If investors need to bear more systemic risk, they...
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| Format: | Others |
| Language: | zh-TW |
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2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/86319428454026880827 |
| Summary: | 碩士 === 國立中央大學 === 財務金融學系 === 102 === This thesis studies liquidity commonality in the foreign exchange market during Eurozone crisis. Liquidity commonality can be regarded as systemic risk. Investors cannot avoid this risk with portfolio allocation. If investors need to bear more systemic risk, they would require more risk premium for compensation. This thesis not only investigates liquidity commonality but also analyzes the impact of liquidity risk on carry trades during Eurozone crisis. The empirical results shows that liquidity commonality varies from currencies. Moreover, I present evidence that liquidity risk factor plays an important role in carry trade return.
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