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Miniatura

Fitxers

IR19-016_Chulia+Koser+Uribe.pdf (1.2 MB)

Tipus de document

Document de treball

Data de publicació

2019

Llicència de publicació

cc-by-nc-nd, (c) Chuliá Soler et al., 2019
Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/142397

Uncovering the time-varying relationship between commonality in liquidity and volatility [WP]

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Resum

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.

Matèries

Liquiditat (Economia), Mercat financer, Crisis financeres, Anàlisi de variància

Matèries (anglès)

Liquidity (Economics), Capital market, Financial crises, Analysis of variance

Citació

Col·leccions

Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

Citació

CHULIÁ SOLER, Helena, KOSER, Christoph, URIBE GIL, Jorge mario. Uncovering the time-varying relationship between commonality in liquidity and volatility [WP]. _IREA – Working Papers_. 2019. Vol.  IR19/16. [consulta: 6 de maig de 2026]. [Disponible a: https://hdl.handle.net/2445/142397]

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