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Type	Bachelor's Thesis
Scope	Discipline-based scholarship
Title	Analysis of Systematic Liquidity Risk in the Foreign Exchange Market
Organization Unit	Quantitative Finance (Marc Chesney)
Authors	Simon Wettstein
Supervisors	Vincent Lars Wolff Marc Chesney
Language	English
Institution	University of Zurich
Faculty	Faculty of Business, Economics and Informatics
Date	2020
Abstract Text	This paper studies how systematic liquidity risk in the foreign exchange market behaves during global economic crises. For this purpose, I examine the financial crisis of 2008 and the current Covid-19 crisis using the Roll's measure of liquidity commonality, which I calculate for low-frequency liquidity measures. My results confirm the existence of liquidity commonality in the foreign exchange market, reveal a doubling of liquidity commonality during the financial crisis, and show a slight increase during the Covid-19 pandemic
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