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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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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.
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CHULIÁ SOLER, Helena, KOSER, Christoph, URIBE GIL, Jorge mario. Uncovering the time-varying relationship between commonality in liquidity and volatility. _International Review of Financial Analysis_. 2020. Vol. 69, núm. 101466, pàgs. 1-9. [consulta: 25 de gener de 2026]. ISSN: 1057-5219. [Disponible a: https://hdl.handle.net/2445/174958]