141
Views
1
CrossRef citations to date
0
Altmetric
Research Article

Fractal characteristics analysis and fluctuation trend prediction of commercial bank funding liquidity

& ORCID Icon

References

  • Acharya, V., and H. Naqvi. 2012. “The Seeds of a Crisis: A Theory of Bank Liquidity and Risk Taking Over the Business Cycle.” Journal of Financial Economics 106 (2): 349–366. doi:10.1016/j.jfineco.2012.05.014.
  • Acharya, V. V., and O. Merrouche. 2013. “Precautionary Hoarding of Liquidity and Interbank Markets: Evidence from the Subprime Crisis.” Review of Finance 17 (1): 107–160. doi:10.1093/rof/rfs022.
  • Al-Yahyaee, K. H., W. Mensi, H. U. Ko, et al. 2020. “Why Cryptocurrency Markets are Inefficient: The Impact of Liquidity and Volatility.” North American Journal of Economics and Finance 52.
  • Augustin, P., and J. Schnitzler. 2021. “Disentangling Types of Liquidity and Testing Limits-To-Arbitrage Theories in the CDS-Bond Basis.” European Financial Management 27 (1): 120–146. doi:10.1111/eufm.12278.
  • Bargigli, L., G. Di Iasio, and L. Infante, F. Lillo, F. Pierobon. 2015. “The Multiplex Structure of Interbank Networks.” Quantitative Finance 15 (4): 673–691. doi:10.1080/14697688.2014.968356.
  • Berger, A. N., and C. H. S. Bouwman. 2017. “Bank Liquidity Creation, Monetary Policy, and Financial Crises.” Journal of Financial Stability 30: 139–155. doi:10.1016/j.jfs.2017.05.001.
  • Bianchi, S., A. Pianese, and M. Frezza. 2020. “A Distribution-Based Method to Gauge Market Liquidity Through Scale Invariance Between Investment Horizons.” Applied Stochastic Models in Business and Industry 36 (5): 809–824. doi:10.1002/asmb.2531.
  • Bluhm, M. 2018. “Persistent Liquidity Shocks and Interbank Funding.” Journal of Financial Stability 36: 246–262. doi:10.1016/j.jfs.2018.04.002.
  • Breitenlechner, M., J. Scharler, and F. Sindermann. 2016. “Banks’ External Financing Costs and the Bank Lending Channel: Results from a SVAR Analysis.” Journal of Financial Stability 26: 228–246. doi:10.1016/j.jfs.2016.07.007.
  • Brunnermeier, M. K., and L. H. Pedersen. 2009. “Market Liquidity and Funding Liquidity.” The Review of Financial Studies 22 (6): 2201–2238. doi:10.1093/rfs/hhn098.
  • Dahir, A. M., F. Mahat, N. H. A. Razak, et al. 2019. ”Capital, Funding Liquidity, and Bank Lending in Emerging Economies: An Application of the LSDVC Approach.” Borsa Istanbul Review 19 (2): 139–148. doi:10.1016/j.bir.2018.08.002.
  • de Bandt, O., S. Lecarpentier, and C. Pouvelle. 2021. “Determinants of Banks’ Liquidity: A French Perspective on Interactions Between Market and Regulatory Requirements.” Journal of Banking & Finance 124. doi:10.1016/j.jbankfin.2020.106032.
  • Deuskar, P., and T. C. Johnson. 2021. “Funding Liquidity and Market Liquidity in Government Bonds.” Journal of Banking & Finance 129 https://doi.org/10.1016/j.jbankfin.2021.106165.
  • Diamond, D. W., and P. H. Dybvig. 1983. “Bank Runs, Deposit Insurance, and Liquidity.” The Journal of Political Economy 91 (3): 401–419. doi:10.1086/261155.
  • Drehmann, M., and K. Nikolaou. 2013. “Funding Liquidity Risk: Definition and Measurement.” Journal of Banking & Finance 37 (7): 2173–2182. doi:10.1016/j.jbankfin.2012.01.002.
  • Falconer, K. 2003. Fractal Geometry [M]. 2nd ed. Chichester: John Wiley & Sons, Inc.
  • Ghosh, S. 2016. “Capital Buffer, Credit Risk and Liquidity Behaviour: Evidence for GCC Banks.” Comparative Economic Studies 58 (4): 539–569. doi:10.1057/s41294-016-0005-1.
  • Hsu, C. C., A. P. Wei, and M. L. Chen. 2020. “Funding Liquidity Risk and the Low-Volatility Anomaly: Evidence from the Taiwan Stock Market.” North American Journal of Economics and Finance 54: 100932. doi:10.1016/j.najef.2019.02.010.
  • Kantelhardt, J. W., S. A. Zschiegner, and E. Koscielny-Bunde, S. Havlin, A. Bunde, H. E. Stanley. 2002. “Multifractal Detrended Fluctuation Analysis of Nonstationary Time Series.” Physica A: Statistical Mechanics and Its Applications 316 (1–4): 87–114. doi:10.1016/S0378-4371(02)01383-3.
  • Khan, M. S., H. Scheule, and E. Wu. 2017. “Funding Liquidity and Bank Risk Taking.” Journal of Banking & Finance 82: 203–216. doi:10.1016/j.jbankfin.2016.09.005.
  • Kocaarslan, B., and U. Soytas. 2021. “The Asymmetric Impact of Funding Liquidity Risk on the Volatility of Stock Portfolios During the COVID-19 Crisis.” Sustainability 13 (4): 2286. doi:10.3390/su13042286.
  • Langfield, S., Z. Liu, and T. Ota. 2014. “Mapping the UK Interbank System.” Journal of Banking & Finance 45: 288–303. doi:10.1016/j.jbankfin.2014.03.031.
  • Liedorp, F. R., L. Medema, M. Koetter, et al. 2010. ”Peer Monitoring or Contagion? Interbank Market Exposure and Bank Risk.” DNB Working Papers 7 (248): 121–148.
  • Lopez-Espinosa, G., A. Moreno, and A. Rubia, L. Valderrama. 2012. “Short-Term Wholesale Funding and Systemic Risk: A Global CoVar Approach.” Journal of Banking & Finance 36 (12): 3150–3162. doi:10.1016/j.jbankfin.2012.04.020.
  • Malkiel, B. G., and E. F. Fama. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work.” The Journal of Finance 25 (2): 383–417. doi:10.1111/j.1540-6261.1970.tb00518.x.
  • Mishra, A. K., B. Parikh, and R. W. Spahr. 2021. “Contemporaneous Linkages: Funding Liquidity and Stock Market Spirals.” International Journal of Finance & Economics 26 (4): 5912–5929. doi:10.1002/ijfe.2100.
  • Nyborg, K. G., and P. Ostberg. 2014. “Money and Liquidity in Financial Markets.” Journal of Financial Economics 112 (1): 30–52. doi:10.1016/j.jfineco.2013.12.003.
  • Omer, M., J. De Haan, and B. Scholtens. 2015. “An Empirical Analysis of Excess Interbank Liquidity: A Case Study of Pakistan.” Applied Economics 47 (44): 4754–4776. doi:10.1080/00036846.2015.1034842.
  • Rokhim, R., and I. Min. 2020. “Funding Liquidity and Risk Taking Behavior in Southeast Asian Banks.” Emerging Markets Finance and Trade 56 (2): 305–313. doi:10.1080/1540496X.2018.1483230.
  • Ryu, D., and J. Yu. 2022. “Sentiment-Dependent Impact of Funding Liquidity Shocks on Futures Market Liquidity.” Journal of Futures Markets 42 (1): 61–76. doi:10.1002/fut.22274.
  • Smaoui, H., K. Mimouni, H. Miniaoui, et al. 2020. “Funding Liquidity Risk and Banks’ Risk-Taking: Evidence from Islamic and Conventional Banks.” Pacific-Basin Finance Journal 64.
  • Wang, X. J., Y. R. Wu, and H. J. Yan, Z. Zhong, et al. 2021. ”Funding Liquidity Shocks in a Quasi-Experiment: Evidence from the CDS Big Bang.” Journal of Financial Economics 139 (2): 545–560. doi:10.1016/j.jfineco.2020.08.004.
  • Wu, X., W. D. Chun, and Y. Lin, Y. Li. 2018. “Identification of Momentum Life Cycle Stage of Stock Price.” Nonlinear Dynamics 94 (1): 249–260. doi:10.1007/s11071-018-4356-1.
  • Yan, R. Z., D. Yue, and X. D. Chen, X. Wu. 2020. “Non-Linear Characterization and Trend Identification of Liquidity in China’s New OTC Stock Market Based on Multifractal Detrended Fluctuation Analysis.” Chaos, Solitons & Fractals 139: 110063. doi:10.1016/j.chaos.2020.110063.
  • Yan, R. Z., D. Yue, and X. Wu, W. Gao. 2021. “Multiscale Multifractal Detrended Fluctuation Analysis and Trend Identification of Liquidity in the China’s Stock Markets.” Computational Economics. doi:10.1007/s10614-021-10215-5.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.