Multinational Finance Journal, 2025, vol. 27, no. 2, pp. 1-2
Timothy King, School of Accounting and Finance, University of Vaasa, Finland
Tatiana King, School of Accounting and Finance, University of Vaasa, Finland
Vanja Piljak, School of Accounting and Finance, University of Vaasa, Finland
Anastasiya Shamshur, King’s Business School, King’s College London
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Price Discovery for Competing Currency Numeraires
Multinational Finance Journal, 2025, vol. 27, no. 2, pp. 3-39
Iñaki Rodríguez Longarela, Stockholm Business School, Stockholm University
Geir Høidal Bjønnes, Norwegian Business School, Norway
Abstract:
For many countries, information in FX markets about the fundametals of their economies is reduced to two relevant and competing channels, namely, their currency’s exchange rate with either the EUR or the USD. We present an analysis which can help to establish which one of these two currency numeraires drives the price discovery process and what market microstructure factors determine their informational contribution. Using data from Electronic Broking Services, we find that the USD is an informationally dominant currency for the Japanese economy but that such dominance is clearly contested when the two currencies are matched with the CHF. Although price discovery appears to positively correlate with the bid–ask spread, two-stage regressions present no evidence of a causal impact of liquidity. Furthermore, we provide evidence suggesting that managed exchange rates may affect the price discovery of their targets.
Keywords: Central bank intervention; Currency numeraire; Exchange rates; Liquidity; Price discovery; Target zones
Citation (Format 1)
Rodríguez Longarela, Iñaki, and Geir H. Bjønnes, 2025, Price discovery for competing currency numeraires, Multinational Finance Journal 27, 3-39.
Citation (Format 2)
Rodríguez Longarela, I., Bjønnes, G., 2025. Price discovery for competing currency numeraires. Multinational Finance Journal 27, 3-39.
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Sentiment Divergence and its Impact on Share Liquidity
Multinational Finance Journal, 2025, vol. 27, no. 2, pp. 40-76
John Garcia, School of Management, California Lutheran University, USA
Abstract:
This study examines the impact of divergent investor sentiment derived from tweets and news media content on a firm’s share liquidity. This study analyzes a sample of 1,945 publicly traded U.S. firms from January 2015 to April 2021. Utilizing the daily Amihud illiquidity measure, bid-ask spread, and share turnover as liquidity proxies, the results reveal a positive relationship between divergent sentiment and share liquidity. Interestingly, this effect was more pronounced during the COVID-19 pandemic period. Moreover, mixed evidence shows that the effect of divergent sentiment on share liquidity increases during periods of increased investor attention. This study contributes to our understanding of how investor sentiment influences financial markets by highlighting the role of sentiment divergence in shaping share liquidity.
Keywords: Behavioral Finance; Disagreement; Sentiment; Stock Liquidity
Citation (Format 1)
Garcia, John, 2025, Sentiment Divergence and its Impact on Share Liquidity, Multinational Finance Journal 27, 40-76.
Citation (Format 2)
Garcia, J., 2025. Sentiment Divergence and its Impact on Share Liquidity. Multinational Finance Journal 27, 40-76.