Analysing the relationships between liquidity, volatility and momentum

Our latest research article is an extension of our ongoing work investigating the three market variables that are key when planning an execution strategy: liquidity, volatility and momentum. This piece extends the previous research in that we analyse the relationships between these variables to attempt to identify any causal effects, i.e. does one factor drive another? Using Granger causality we find that liquidity is the key factor in the ecosystem, driving changes in both volatility and momentum.

Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper.