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http://hdl.handle.net/10609/113666
Title: | Uncovering the time-varying relationship between commonality in liquidity and volatility |
Author: | Chuliá, Helena Koser, Christoph Uribe Gil, Jorge Mario |
Others: | Universitat de Barcelona (UB) Universitat Oberta de Catalunya (UOC) |
Citation: | Chuliá Soler, H., Koser, C. & Uribe, J.M. (2020). Uncovering the time-varying relationship between commonality in liquidity and volatility. International Review of Financial Analysis, 69(), 1-9. doi: 10.1016/j.irfa.2020.101466 |
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. |
Keywords: | systemic liquidity market liquidity spillover index Granger causality financial crisis variance decomposition |
DOI: | 10.1016/j.irfa.2020.101466 |
Document type: | info:eu-repo/semantics/article |
Version: | info:eu-repo/semantics/submittedVersion |
Issue Date: | 18-Sep-2019 |
Publication license: | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
Appears in Collections: | Articles Articles cientÍfics |
Files in This Item:
File | Description | Size | Format | |
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Chulia_Koser_Uribe_IRFA2020_Uncovering.pdf | 1,15 MB | Adobe PDF | View/Open |
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