Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/142397
Title: | Uncovering the time-varying relationship between commonality in liquidity and volatility [WP] |
Author: | Chuliá Soler, Helena Koser, Christoph Uribe Gil, Jorge Mario |
Keywords: | Liquiditat (Economia) Mercat financer Crisis financeres Anàlisi de variància Liquidity (Economics) Capital market Financial crises Analysis of variance |
Issue Date: | 2019 |
Publisher: | Universitat de Barcelona. Facultat d'Economia i Empresa |
Series/Report no: | [WP E-IR19/16] |
Abstract: | This study examines the dynamic linkages between commonality in liquidity in international stock markets and market volatility. Using a recently proposed liquidity measure as input in a variance decomposition exercise, we show that innovations to liquidity in most markets are induced predominately by inter-market innovations. We also find that commonality in liquidity peaks immediately after large market downturns, coinciding with periods of crisis. The results from a dynamic Granger causality test indicate that the relationship between commonality in liquidity and market volatility is bi-directional and time-varying. We show that while volatility Granger-causes commonality in liquidity throughout the entire sample period, market volatility is enhanced by commonality in liquidity only in sub-periods. Our results are helpful for practitioners and policy makers. |
Note: | Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2019/201916.pdf |
It is part of: | IREA – Working Papers, 2019, IR19/16 |
URI: | http://hdl.handle.net/2445/142397 |
Appears in Collections: | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
IR19-016_Chulia+Koser+Uribe.pdf | 1.23 MB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License