An Empirical Analysis of Stock and Bond Market Liquidity

Clicks: 1
ID: 302122
2004
Free PDF
Article Quality & Performance Metrics
Overall Quality
Not rated
Combines reader engagement with the AI quality analysis. This article has not been analysed, so there is no overall score — reader engagement is measured and shown alongside.
AI Quality Assessment
Not analyzed
Readership in this journal

Ranked #94 of 192 articles by views in review of financial studies

Most read Least read

Bar heights use a square-root scale. Only the 120 most-read articles are drawn; the journal has 192 in total.

Mint this article as an NFT
Not yet minted

Create a permanent, verifiable on-chain record of this article on the Scimatic Network. The NFT is held in your Journament account, and you can withdraw it to your own wallet at any time.

5 SUSD one-off · no wallet required
Sign in to mint
Abstract
This article explores cross-market liquidity dynamics by estimating a vector autoregressive model for liquidity (bid-ask spread and depth, returns, volatility, and order flow in the stock and Treasury bond markets). Innovations to stock and bond market liquidity and volatility are significantly correlated, implying that common factors drive liquidity and volatility in these markets. Volatility shocks are informative in predicting shifts in liquidity. During crisis periods, monetary expansions are associated with increased liquidity. Moreover, money flows to government bond funds forecast bond market liquidity. The results establish a link between “macro” liquidity, or money flows, and “micro” or transactions liquidity.
Reference Key
openalex_W3125896384 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Tarun Chordia, Asani Sarkar, Avanidhar Subrahmanyam
Journal review of financial studies
Year 2004
DOI
10.1093/rfs/hhi010
URL
https://doi.org/10.1093/rfs/hhi010
Keywords Keywords not found

Citations

No citations found. To add a citation, contact the admin at info@scimatic.org

Comments

No comments yet. Be the first to comment on this article.