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LIBOR, foreign exchange and the illusion of liquidity

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LIBOR, foreign exchange and the illusion of liquidity. / Stenfors, Alexis.

In: Journal of Securities Operations & Custody, Vol. 11, No. 1, 01.12.2018.

Research output: Contribution to journalArticlepeer-review

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Stenfors A. LIBOR, foreign exchange and the illusion of liquidity. Journal of Securities Operations & Custody. 2018 Dec 1;11(1).

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Stenfors, Alexis. / LIBOR, foreign exchange and the illusion of liquidity. In: Journal of Securities Operations & Custody. 2018 ; Vol. 11, No. 1.

Bibtex

@article{d8c85362542e4bdea320fcb060caf6bd,
title = "LIBOR, foreign exchange and the illusion of liquidity",
abstract = "The LIBOR and FX controversies revealed that prices and benchmarks related to money and currencies were highly susceptible to manipulative and collusive practices. The reform process since has strived to ensure that market participants and end-users can rely on a fair price determination process. Put differently, the emphasis has been on the price-aspects of LIBOR and FX. However, when studying market liquidity, the price always needs to be put into a broader context. This article uses two case studies to illustrate how ignoring other dimensions of market liquidity, such as volume and speed, can result in misleading assessments of the state of the market. At worst, it can lead to, and perhaps even sustain, an illusion of liquidity. This is of particular relevance for OTC markets, which ultimately depend on human relationships and trust.",
keywords = "LIBOR, foreign exchange, high-frequency trading, liquidity, regulation, pub_permission_granted",
author = "Alexis Stenfors",
note = "Article has no DOI.",
year = "2018",
month = dec,
day = "1",
language = "English",
volume = "11",
journal = "Journal of Securities Operations & Custody",
issn = "1753-1802",
publisher = "Henry Stewart Publications",
number = "1",

}

RIS

TY - JOUR

T1 - LIBOR, foreign exchange and the illusion of liquidity

AU - Stenfors, Alexis

N1 - Article has no DOI.

PY - 2018/12/1

Y1 - 2018/12/1

N2 - The LIBOR and FX controversies revealed that prices and benchmarks related to money and currencies were highly susceptible to manipulative and collusive practices. The reform process since has strived to ensure that market participants and end-users can rely on a fair price determination process. Put differently, the emphasis has been on the price-aspects of LIBOR and FX. However, when studying market liquidity, the price always needs to be put into a broader context. This article uses two case studies to illustrate how ignoring other dimensions of market liquidity, such as volume and speed, can result in misleading assessments of the state of the market. At worst, it can lead to, and perhaps even sustain, an illusion of liquidity. This is of particular relevance for OTC markets, which ultimately depend on human relationships and trust.

AB - The LIBOR and FX controversies revealed that prices and benchmarks related to money and currencies were highly susceptible to manipulative and collusive practices. The reform process since has strived to ensure that market participants and end-users can rely on a fair price determination process. Put differently, the emphasis has been on the price-aspects of LIBOR and FX. However, when studying market liquidity, the price always needs to be put into a broader context. This article uses two case studies to illustrate how ignoring other dimensions of market liquidity, such as volume and speed, can result in misleading assessments of the state of the market. At worst, it can lead to, and perhaps even sustain, an illusion of liquidity. This is of particular relevance for OTC markets, which ultimately depend on human relationships and trust.

KW - LIBOR

KW - foreign exchange

KW - high-frequency trading

KW - liquidity

KW - regulation

KW - pub_permission_granted

UR - https://www.henrystewartpublications.com/jsoc/instructions

UR - http://www.sherpa.ac.uk/romeo/issn/1753-1802/

M3 - Article

VL - 11

JO - Journal of Securities Operations & Custody

JF - Journal of Securities Operations & Custody

SN - 1753-1802

IS - 1

ER -

ID: 11919170