Changes of the Level of Liquidity in Time of the Financial Crisis： A Case of Polish Companies

The financial crisis undoubtedly exerted a pressure on the companies operating in Poland. Thus, it is important to undertake researches that reveal the paths and strength of the transmission of financial crisis with regard to the business entities. This paper presents partial results of the researches dedicated to the analysis of the impact of financial crisis on the financial situation of companies operating in Silesian Region in Poland. It analyses and discusses the general changes in the financial ratios that inform about the company＇s financial liquidity and the level of liquidity risk. As a research paper, it aims at justifying hypotheses about the changes of liquidity and liquidity risk in companies operating in Poland, Silesian Region within the period of 2006-2009. The tested hypotheses generally indicate the decrease of liquidity in the aftermath of crisis and a worse situation in the Silesian Region, as compared to the national level. The study is based on an application of a part of authors＇ self-developed method--the CFS Watch （Corporate Financial Situation Watch）, which consists of five analytical modules. In this study, one module is applied： the FLA Module （Financial Liquidity Analysis） with regard to financial liquidity and the level of liquidity risk. The research is based on the data collected by the Polish Central Statistical Office. The analysis of FLA Module is based on two samples of companies： companies operating in the Silesian Region （denoted as the MEPP sample）, and companies operating in Poland （denoted as the MAPP sample）. This allows developing a comparative analysis between regional and national dimension. The results of the study represent an interesting starting point for further comparative researches based on the analysis of the changes in the level of liquidity and liquidity risk of companies operating in different countries. It may form a base for finding similarities or differences in their financial situation in the aftermath of the financial crisis. The CFS Watch method in terms of the liquidity can be widely applied to make the results comparable.

Excess Liquidity Control Requires a Multi-Pronged Approach

As China opens wider to the outside world, excess liquidity has become an outstanding issue in economic operations. This paper holds that China's liquidity is relatively excessive at the present time, and such excess liquidity is a reflection of domestic and foreign economic contradictions on the monetary level. Excess liquidity will pose a potential hazard to macroeconomic operation, and a multi-pronged approach should be taken to curb and control its sources at home and abroad.

OPTIMAL PORTFOLIO ON TRACKING THE EXPECTED WEALTH PROCESS WITH LIQUIDITY CONSTRAINTS

In this article, the authors consider the optimal portfolio on tracking the expected wealth process with liquidity constraints. The constrained optimal portfolio is first formulated as minimizing the cumulate variance between the wealth process and the expected wealth process. Then, the dynamic programming methodology is applied to reduce the whole problem to solving the Hamilton-Jacobi--Bellman equation coupled with the liquidity constraint, and the method of Lagrange multiplier is applied to handle the constraint. Finally, a numerical method is proposed to solve the constrained HJB equation and the constrained optimal strategy. Especially, the explicit solution to this optimal problem is derived when there is no liquidity constraint.

Liquidity connectedness in cryptocurrency market

We examine the dynamics of liquidity connectedness in the cryptocurrency market.We use the connectedness models of Diebold and Yilmaz(Int J Forecast 28(1):57–66,2012)and Baruník and Křehlík(J Financ Econom 16(2):271–296,2018)on a sample of six major cryptocurrencies,namely,Bitcoin(BTC),Litecoin(LTC),Ethereum(ETH),Ripple(XRP),Monero(XMR),and Dash.Our static analysis reveals a moderate liquidity connectedness among our sample cryptocurrencies,whereas BTC and LTC play a significant role in connectedness magnitude.A distinct liquidity cluster is observed for BTC,LTC,and XRP,and ETH,XMR,and Dash also form another distinct liquidity cluster.The frequency domain analysis reveals that liquidity connectedness is more pronounced in the short-run time horizon than the medium-and long-run time horizons.In the short run,BTC,LTC,and XRP are the leading contributor to liquidity shocks,whereas,in the long run,ETH assumes this role.Compared with the medium term,a tight liquidity clustering is found in the short and long terms.The time-varying analysis indicates that liquidity connectedness in the cryptocurrency market increases over time,pointing to the possible effect of rising demand and higher acceptability for this unique asset.Furthermore,more pronounced liquidity connectedness patterns are observed over the short and long run,reinforcing that liquidity connectedness in the cryptocurrency market is a phenomenon dependent on the time–frequency connectedness.

After-market liquidity and IPOs underpricing： Evidence from Shari＇ah and non Shari＇ah-based firms

The underpricing of initial public offerings （IPOs） is generally explained with asymmetric information and risk. We complement these traditional explanations with a new theory proposed by Ellul and Pagano （2006） where investors worry also about the after-market illiquidity that may result from asymmetric information after the IPO. The less liquid the after-market is expected to be, the larger will be the IPO underpricing. The samples are the 41 IPOs carried out between 2001-2005. The samples are 7 Shari＇ah-based firms and 34 non Shariah-based firms. Shariah-based firms are those included in Jakarta Islamic Index （JII）, at least one period （one semester）. Regression results show that the relationship between after-market liquidity and underpricing is insignificant unless we use trading frequency as proxy for liquidity for non Shariah-based firms.

Industry-and liquidity-based momentum in Australian equities

This study examined momentum profitability in Australia,providing further evidence for intermediate-term momentum profitability.Using data spanning different market states,we found that momentum was stronger after the global financial crisis.We also examined industry-level momentum strategies and found strong evidence for industry momentum.Specifically,industries that perform well relative to other industries continue to outperform others while those that underperform continue to perform poorly.This finding suggests the exploitability of return continuation and profit-making opportunities for traders at the industry level.Regarding liquidity,we found that it has no clear predictive power for momentum returns.Hence,our results do not appear to support the conjecture that liquidity can be a determining factor for momentum profitability in Australia.

High Foreign Exchange Reserves Fuel Excess Liquidity

This article views China's excess liquidity problem in the global context. It suggests that market mechanisms, cooperation between all parties involved, and liquidity diversion, be resorted to in order to tackle the problem of excessive liquidity. This article also points out that the top priority is to solve the major problems, such as the current account surplus, the sources of excessive liquidity, the shortage of capital in rural areas, and the cause of capital distribution imbalance.

Stock Liquidity Risk Pricing Model Driven by Systematic and Unsystematic Risk

In the stock pricing, liquidity risk has become one of the important factors that affect the stock realizable value. Systematic and unsystematic risk decided a stock＇s liquidity risk. The author uses the stock price index growth rate and net outer disk ratio to describe a systematic and unsystematic risk faced by investors. With the help of correlation and regression analysis in SPSS software, the paper tries to establish the systematic and unsystematic risk-driven stock liquidity risk pricing model. Empirical study shows that systematic and unsystematic risk has significant influence on stock liquidity risk. The bigger circulation stock, the greater the systemic risk influence; the less the circulation stock, the larger the non-system risk influence. Calendar factor on stock returns ratio has no significant effect. Trading volume on the stock returns ratio of small companies had no significant effect. The model has important reference value for the measure of stock liquidity risk value loss.

“Blessing or Curse”?Introduction of Bond Notes as an Antidote to Zimbabwe’s Liquidity Crises

The Zimbabwean financial sector has been retrogressive,constrained,and unpredictable since the year 2000,serving for the multiple currency periods(2009-2013)after the demonetization of the domestic dollar.The sector since then has seen a number of commercial banks fail to meet RBZ(Reserve Bank of Zimbabwe)minimum capital requirements,put under curatorship,delisted or liquidated because of a myriad of operational and financial challenges.The objective of this study is to make an assessment of whether or not the introduction of bond notes has been a curse or blessing.The study drew raw data from bank account holders,academics,general public,corporate world and commercial banks in Masvingo for analysis and interpretation.The study established that the majority of people,corporate world and commercial banks were sceptical to embrace the surrogate bond notes because of the uncertainties,operational and financial risks that they paused on the domestic financial markets.It was also discovered that most banks were quick to pay clients’withdrawals in bond notes,deduct US dollar equivalences from their accounts,and distinguish bond notes from US dollars at the point of making deposits and foreign business transactions.It was also realized that there was market indiscipline and trading in bigger US dollar notes in the informal sector and serious shortage of the same notes in the formal sector.The study concluded that the introduction of bond notes to trade parallel to the US dollar brought a serious shortage of cash on formal markets and increases in the general price level of goods and services.The study therefore recommends that the RBZ should completely withdraw the bond notes from the market to accord the US dollar its world market value and restore confidence and discipline in the Zimbabwean financial sector.The study also recommends another option of the adoption of the South African Rand as an interventionist way of solving Zimbabwe’s liquidity crises.

Stress Testing of Liquidity Maturity Transformation Risk in Banks

One of the main causes of the past crisis was the inability of financial institutions to acquire funding at appropriate costs.The importance of applying a good liquidity risk measurement system becomes apparent.The present paper provides an approach to the measurement of liquidity maturity transformation risk within a stress testing framework,for middle-sized banks.The costs of liquidity arising due to a downturn in refinancing conditions are calculated by using modern risk measures.The forward-looking way is based on a liquidity gap report,where the consideration of the counterbalancing capacity enables to gain an insight into the real liquidity needs.The measurement of both,the portfolio-value in the respective time bucket and liquidity costs,is possible.Applying the expected shortfall can easily be included into the calculation.The results show that by using historical simulation,if no sufficient data are available,expected shortfall delivers an approximate value.Still,it can serve as an indicator of insurance against extreme events.The present approach combines a scenario-based view to a possible distress with a quantitative risk measurement.Therewith,it contributes to the bank’s wide stress testing as required by the regulatory authorities.

Hong Kong-Inflation and Liquidity

Property-Keep stepping on the brakes The Hong Kong Monetary Authority (HKMA) on 10 June announced new measures to tackle housing-price in- flation. The intention this time, as in previous rounds, is to limit leverage. The government also said it would introduce more land supply in Q3-2011, which would create about 6,000 new residential units. In 2010, 13,405 residential units were completed. The HKMA’s latest measures came as leverage

Mutual Fund＇s Behavior on Stock Liquidity： Empirical Results from Chinese Security Market

This paper studies the relationship between fund investment and market liquidity by using Chinese security market data. The results show that, among several measures of market liquidity, the indexes based on volume, such as turnover and market depth, have a deeper impact on fund investment decision. Furthermore, the relationship between security liquidity and fund investment varies when market status is taken into account. On the other hand, fund investments have a negative effect on security liquidity measured by market width, while have a positive effect on other liquidity measures. The authors attribute the results to herding behavior of fund investment.

Liquidity risk integration in portfolio choice： The bid efficient frontier

In this paper, a tractable solution is proposed to integrate, to a certain extent, market liquidity risk in the portfolio selection process. It is shown how an investor may take advantage of this additional risk source within the standard mean-variance optimization framework, by in certain circumstances overcoming the pitfalls of illiquidity and in others seizing a liquidity premium. Bid prices appear effective to capture liquidity risk. The efficient frontier conceived with bid prices consists of mean-variance optimal allocations that cover more liquid stocks （large caps） under stressed market conditions and less liquid stocks （small caps） under normal conditions.

Structural Monetary Policy, Bank Credit and Bank Liquidity—An Empirical Analysis Based on VAR Model

After the outbreak of the international financial crisis,the People’s Bank of China,based on traditional monetary policy tools,launched a series of structural monetary policy tools such as standing lending facility(SLF),medium-term lending facility(MLF),and pledged supplementary lending(PSL)and targeted at liquidity via the commercial banking system.In order to test the credit transmission effect of structured monetary policy,this paper empirically analyzes the relationship between structured monetary policy,bank liquidity and bank credit based on the VAR model.The research shows that the implementation of structured monetary policy reduces the liquidity of commercial banks in the short term and increases in loans to small or micro enterprises and agriculture-related loans,these policies have produced significant short-term effects on credit transmission in steady of long-term effects.Thus,a series of supporting measures are needed to fully exert the effects of structural monetary policy.

Determinants of Bank Liquidity and Its Impact on Bank Profitability in Ethiopia

The objective of the study is to explore determinants of bank liquidity and its impact on bank profitability in Ethiopia by using two-stage least square(2SLS)balanced panel estimation method from 2014-2019.The two dependent variables to be considered under 2SLS balanced panel estimation methods were liquidity risk and bank profitability.The first equation i.e.liquidity risk specified as a function of major explanatory variable i.e.bank profitability,real GDP growth,net loan growth,and foreign exchange availability.Whereas,the second equation i.e.bank profitability specified as a function of bank liquidity,non-interest income,non-interest expense and expectation.The empirical result of the first equation of the study reveals that bank profitability,foreign exchange availability,and real GDP growth have positive significant impact on bank liquidity while net loan and advance has a negative significant impact on bank liquidity.The empirical result of the second equation depicts that bank liquidity has positive effect on bank profitability even if it is insignificant but total non-interest income and expectation have a positive significant effect on bank profitability.Since the paper has also tested some diagnostic check,the result shows that the model has passed the diagnostic test.

Resource Integration,Risk Management and Liquidity Management Strategies

The financial impact caused by the pandemic has swept the world.So far,although China has made great achievements in fighting against the pandemic,production and living order has been restored,but enterprises have faced problems in operation and management after more than half a year.For example,low resource utilization rate,weak integration ability,insufficient risk awareness,blind expansion in disadvantaged situation,high risk of financial leverage,long enterprise business and so on.The following article will conduct research on resource integration,risk management and liquidity management,and provide suggestions for enterprises to survive the economic impact of the pandemic smoothly.

Liquidity of China’s government bond market: Measures and driving forces

We construct a daily liquidity index of China’s government bond market using transaction data from the national interbank market during 2001–2020.The index is a composite of popular price-based and quantity-based metrics of liquidity.The composite indices,ob-tained by averaging across different metrics and by applying the principal component analysis,respectively,both point to a better liquidity condition after 2010.Market liquidity swings appear to be highly correlated with domestic funding liquidity and financial mar-ket volatility,but display fewer correlations with global macrofinan-cial indicators.Our findings suggest that the further deepening of the government bond market would support domestic financial stability and monetary operations down the road.

Monetary Policy,Liquidity and Bank Risk-Taking

The great impact of monetary policy on bank risk-taking,facilitated by a liquidity mechanism,significantly complicates the macro-prudential supervision process.Surprisingly,limited scholarly research has delved into this particular issue.Hence,in this paper,the liquidity variable is introduced into the dynamic linear model to depict the liquidity mechanism by which monetary policy affects bank risk-taking.Based on micro-data from 133 commercial banks in China,this paper empirically tests using systematic Gaussian mixture models estimation and a panel smooth transition regression model.The findings reveal that while monetary policy does not exhibit a significant risk-shifting effect.A marked liquidity transmission effect,however,is observed,whereby easy monetary policy noticeably exacerbates bank risk-taking.This impact becomes more pronounced as liquidity levels improve.The most significant negative impact of monetary policy on bank risk-taking occurs when bank liquidity reaches approximately 43%.Moreover,when banks maintain high levels of liquidity,the statutory deposit reserve ratio exerts a greater regulatory effect than other monetary policy tools.Contractionary monetary policy imposes noticeably weaker restraints than expansionary monetary policy,particularly in banks with higher liquidity levels.Moreover,the interplay between monetary policy and bank risk-taking is contingent upon not just the liquidity level of banks,but also their asset size and capital adequacy.

Prediction of the undrained shear strength of remolded soil with non-linear regression,fuzzy logic,and artificial neural network

This study aims to predict the undrained shear strength of remolded soil samples using non-linear regression analyses,fuzzy logic,and artificial neural network modeling.A total of 1306 undrained shear strength results from 230 different remolded soil test settings reported in 21 publications were collected,utilizing six different measurement devices.Although water content,plastic limit,and liquid limit were used as input parameters for fuzzy logic and artificial neural network modeling,liquidity index or water content ratio was considered as an input parameter for non-linear regression analyses.In non-linear regression analyses,12 different regression equations were derived for the prediction of undrained shear strength of remolded soil.Feed-Forward backpropagation and the TANSIG transfer function were used for artificial neural network modeling,while the Mamdani inference system was preferred with trapezoidal and triangular membership functions for fuzzy logic modeling.The experimental results of 914 tests were used for training of the artificial neural network models,196 for validation and 196 for testing.It was observed that the accuracy of the artificial neural network and fuzzy logic modeling was higher than that of the non-linear regression analyses.Furthermore,a simple and reliable regression equation was proposed for assessments of undrained shear strength values with higher coefficients of determination.

Multi-dimensional multiplexing optical secret sharing framework with cascaded liquid crystal holograms

Secret sharing is a promising technology for information encryption by splitting the secret information into different shares.However,the traditional scheme suffers from information leakage in decryption process since the amount of available information channels is limited.Herein,we propose and demonstrate an optical secret sharing framework based on the multi-dimensional multiplexing liquid crystal(LC)holograms.The LC holograms are used as spatially separated shares to carry secret images.The polarization of the incident light and the distance between different shares are served as secret keys,which can significantly improve the information security and capacity.Besides,the decryption condition is also restricted by the applied external voltage due to the variant diffraction efficiency,which further increases the information security.In implementation,an artificial neural network(ANN)model is developed to carefully design the phase distribution of each LC hologram.With the advantage of high security,high capacity and simple configuration,our optical secret sharing framework has great potentials in optical encryption and dynamic holographic display.