Funding liquidity risk and the low-volatility anomaly: Evidence from the Taiwan stock market
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DOI: 10.1016/j.najef.2019.02.010
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More about this item
Keywords
Institutional investors; Funding liquidity risk; Low-volatility anomaly; Multivariate Markov switching model;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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