• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文会议>2008 China international conference in finance >International Stock Market Liquidity and Financial Crisis
【24h】

International Stock Market Liquidity and Financial Crisis

机译：国际股票市场流动性与金融危机

获取原文
获取原文并翻译 | 示例
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This paper is the first to examine liquidity in 37 stock markets around the world. We find volatility to be a very important driving factor for market illiquidity. A highly volatile market leads to a illiquid financial market. Stock market illiquidity condition also tends to persist. Using a series of regression and Granger causality tests, we find a strong contemporaneous negative relationship between illiquidity shocks and market returns. Also stock market downturn has Granger caused illiquidity and not the other way round. Regional and U.S. stock market returns do not affect local stock market illiquidity. Regional and U.S. stock market illiquidity, on the hand, affect local illiquidity. Nevertheless, the greatest cause of illiquidity is local stock market returns. Similar relationships were observed during the Asian financial crisis. Hong Kong illiquidity shocks have propagated to the other countries around the world except the Latin American stock markets.
机译：本文是第一个研究全球37个股票市场流动性的工具。我们发现波动性是导致市场流动性不足的重要因素。高度动荡的市场导致金融市场的流动性不足。股市的非流动性状况也趋于持续。使用一系列回归和格兰杰因果关系检验，我们发现流动性冲击与市场回报之间存在强烈的同时负关系。同样，股市低迷也使格兰杰造成了流动性不足，而不是相反。区域和美国股市收益不影响当地股市的流动性不足。另一方面，区域和美国股市的流动性不足会影响当地的流动性。然而，造成流动性不足的最大原因是当地股票市场的回报。在亚洲金融危机期间也观察到类似的关系。除拉美股市外，香港流动性不足的冲击已蔓延到世界其他国家。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号