Por favor, use este identificador para citar o enlazar este ítem:
http://hdl.handle.net/10609/113666
Registro completo de metadatos
Campo DC | Valor | Lengua/Idioma |
---|---|---|
dc.contributor.author | Chuliá, Helena | - |
dc.contributor.author | Koser, Christoph | - |
dc.contributor.author | Uribe Gil, Jorge Mario | - |
dc.contributor.other | Universitat de Barcelona (UB) | - |
dc.contributor.other | Universitat Oberta de Catalunya (UOC) | - |
dc.date.accessioned | 2020-04-30T12:40:52Z | - |
dc.date.available | 2020-04-30T12:40:52Z | - |
dc.date.issued | 2019-09-18 | - |
dc.identifier.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 | en |
dc.identifier.issn | 1057-5219MIAR | - |
dc.identifier.uri | http://hdl.handle.net/10609/113666 | - |
dc.description.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. | en |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | International Review of Financial Analysis | - |
dc.relation.ispartof | International Review of Financial Analysis, 2020, 69 | - |
dc.relation.uri | https://doi.org/10.1016/j.irfa.2020.101466 | - |
dc.rights | CC BY-NC-ND | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | - |
dc.subject | systemic liquidity | en |
dc.subject | market liquidity | en |
dc.subject | spillover index | en |
dc.subject | Granger causality | en |
dc.subject | financial crisis | en |
dc.subject | variance decomposition | en |
dc.subject | liquiditat sistèmica | ca |
dc.subject | liquidez sistémica | es |
dc.subject | liquiditat del mercat | ca |
dc.subject | liquidez del mercado | es |
dc.subject | índex d'excedent | ca |
dc.subject | índice de excedente | es |
dc.subject | causalitat de Granger | ca |
dc.subject | causalidad de Granger | es |
dc.subject | crisi financera | ca |
dc.subject | crisis financiera | es |
dc.subject | descomposició de la variància | ca |
dc.subject | descomposición de la varianza | es |
dc.subject.lcsh | Investment analysis | en |
dc.title | Uncovering the time-varying relationship between commonality in liquidity and volatility | - |
dc.type | info:eu-repo/semantics/article | - |
dc.subject.lemac | Anàlisi financera | ca |
dc.subject.lcshes | Análisis financiero | es |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
dc.identifier.doi | 10.1016/j.irfa.2020.101466 | - |
dc.gir.id | AR/0000007769 | - |
dc.relation.projectID | info:eu-repo/grantAgreement/ECO2015-66314-R | - |
dc.relation.projectID | info:eu-repo/grantAgreement/ECO2016-76203-C2-2-P | - |
dc.type.version | info:eu-repo/semantics/submittedVersion | - |
Aparece en las colecciones: | Articles Articles cientÍfics |
Ficheros en este ítem:
Fichero | Descripción | Tamaño | Formato | |
---|---|---|---|---|
Chulia_Koser_Uribe_IRFA2020_Uncovering.pdf | 1,15 MB | Adobe PDF | Visualizar/Abrir |
Comparte:
Este ítem está sujeto a una licencia Creative Commons Licencia Creative Commons