Amb motiu del tancament d'estiu, la validació de documents es reprendrà a partir del 28 d'agost de 2026. Disculpeu les molèsties.
Con motivo del cierre de verano, la validación de documentos se reanudará a partir del 28 de agosto de 2026. Disculpad las molestias
Due to the summer closure, document validation will resume starting August 28, 2026. We apologize for any inconvenience.

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

Vista senzilla d'ítem
dc.contributor.authorChuliá Soler, Helena
dc.contributor.authorKoser, Christoph
dc.contributor.authorUribe Gil, Jorge Mario
dc.date.accessioned2021-03-11T19:22:48Z
dc.date.available2022-05-31T05:10:18Z
dc.date.issued2020-05
dc.date.updated2021-03-11T19:22:49Z
dc.description.abstractThis 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.
dc.format.extent9 p.
dc.format.mimetypeapplication/pdf
dc.identifier.idgrec708114
dc.identifier.issn1057-5219
dc.identifier.urihttps://hdl.handle.net/2445/174958
dc.language.isoeng
dc.publisherElsevier
dc.relation.isformatofVersió postprint del document publicat a: https://doi.org/10.1016/j.irfa.2020.101466
dc.relation.ispartofInternational Review of Financial Analysis, 2020, vol. 69, num. 101466, p. 1-9
dc.relation.urihttps://doi.org/10.1016/j.irfa.2020.101466
dc.rightscc-by-nc-nd (c) Elsevier, 2020
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es
dc.sourceArticles publicats en revistes (Econometria, Estadística i Economia Aplicada)
dc.subject.classificationLiquiditat (Economia)
dc.subject.classificationMercat financer
dc.subject.classificationCrisis financeres
dc.subject.classificationAnàlisi de variància
dc.subject.otherLiquidity (Economics)
dc.subject.otherFinancial market
dc.subject.otherFinancial crises
dc.subject.otherAnalysis of variance
dc.titleUncovering the time-varying relationship between commonality in liquidity and volatility
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/acceptedVersion

Fitxers

Paquet original

Mostrant 1 - 1 de 1
Miniatura
Nom:
708114.pdf
Mida:
1.06 MB
Format:
Adobe Portable Document Format
Descarregar

Col·leccions

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