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2020-05

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cc-by-nc-nd (c) Elsevier, 2020
Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/174958

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

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Recurs relacionat

https://doi.org/10.1016/j.irfa.2020.101466

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), Financial market, Financial crises, Analysis of variance

Citació

Col·leccions

Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

Citació

CHULIÁ SOLER, Helena, KOSER, Christoph and URIBE GIL, Jorge Mario. Uncovering the time-varying relationship between commonality in liquidity and volatility. International Review of Financial Analysis. 2020. Vol. 69, num. 101466, pags. 1-9. ISSN 1057-5219. [consulted: 18 of August of 2026]. Available at: https://hdl.handle.net/2445/174958

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