![](images/graphics/blank.gif)
Illiquidity shock
-
The transmission of liquidity shock across international markets during the 2007-08 financial crisis
This article investigates the determinants of liquidity and the transmission of liquidity shocks across 52 stock markets during the period 2005-2009. Constructing Amihud (2002) liquidity measure, we finda positive linkage between liquidity and volatility. Moreover, the Granger causality analysis provide evidence of bi-directional relationship between stock market return and its illiquidity shock, through a. Also, the results support the presence of USA illiquidity shock spillover to others markets during the financial crisis of 2007-08.
23p
trinhthamhodang2
21-01-2020
35
3
Download
CHỦ ĐỀ BẠN MUỐN TÌM
![](images/graphics/blank.gif)