Determinants of stock market liquidity – a macroeconomic perspective

Naik, Priyanka; Reddy, Y.V.

doi:10.1080/17520843.2021.1983705

Cited by 5 publications

(3 citation statements)

References 56 publications

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“…Pairwise Granger causality tests further elucidate these relationships, finding no evidence of causality between LCPI, LMS, LREMIT, and the stock market index, both ways. Even though, an exception is noted in the case of LEXR and LINDEX, where LEXR is found to Granger-cause LINDEX, indicating that past values of the exchange rate are significant in forecasting the stock market index, these findings are supported with the (Naik & Reddy 2021;Rahman et al 2009).…”

Section: Pairwise Granger Causality Testsmentioning

confidence: 86%

“…Lingaraja et al (2020) assessed stock market movements and connections between Asian emerging markets and developed markets, identifying short-term relationships. Naik and Reddy (2021) examined the effect of macroeconomic factors on the liquidity of the Indian stock market, finding significant impacts. Collectively, these studies contribute to the understanding of the intricate relationship between stock markets and macroeconomic variables, offering insights into various methodologies, theoretical frameworks, and empirical findings across different economic contexts.…”

Section: Literature Reviewmentioning

confidence: 99%

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Macroeconomic Determinants of the Stock Market in Nepal: An Empirical Analysis

Thapa

2023

NCC Jnl

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The stock market plays a critical role in the field of the economic sector of a country, facilitating capital flow to businesses and reflecting the national economic health. The purpose of this study was to conduct an empirical analysis of co-integration and causality tests between the stock market and macroeconomic factors. The study used indicators such as the consumer price index (CPI), exchange rates (EXR), money supply (MS), and remittances (REMIT) to determine their potential impact on stock market dynamics. To analyze the data collected from June 2005 to November 2023, advanced econometric models like co-integration were employed to explore long-term equilibrium. Vector auto-regression (VAR) was used to analyze the impact and Grangers’ causality tests were used to identify cause and effect. The results of the VAR model emphasized the market index's (INDEX) dependency on its own lagged values, with insignificant influence from consumer prices (CPI) and money supply (MS), but significant effects from exchange rates (EXR), and remittances (REMIT). Granger causality tests revealed no causality between CPI, MS, and REMIT in the INDEX. However, this test exhibited a significant causality from EXR to INDEX. This highlights the predictive power of exchange rates on the stock market.

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Section: Pairwise Granger Causality Testsmentioning

confidence: 86%

Section: Literature Reviewmentioning

confidence: 99%

Macroeconomic Determinants of the Stock Market in Nepal: An Empirical Analysis

Thapa

2023

NCC Jnl

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“…Empirical research on the connection between political unpredictability and asset pricing is growing in popularity [ 51 ]. Their theoretical models [ 52 , 53 ], also claim when uncertainty increases, the trading volume of one’s stock market drops, as arbitrageurs halt trading, widening the bid-ask spread that causes great fluctuation in asset price [ 46 , 54 ], Use the policy uncertainty index developed by [ 17 ] who pointed out that the introduction of a new policy whose influence is uncertain or unpredictable might increase the volatility.…”

Section: Section 2: Literature Reviewmentioning

confidence: 99%

Market liquidity and volatility: Does economic policy uncertainty matter? Evidence from Asian emerging economies

Muzaffar,

Malik

2024

PLoS ONE

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This research investigates the complex interaction between liquidity and volatility while considering Economic Policy Uncertainty (EPU) as a moderating factor. Using a comprehensive dataset that incorporates various liquidity measures such as market resilience, depth, and breadth, the study examines how changes in liquidity impact volatility in four Asian incipient economies: China, Pakistan, India, and South Korea. By utilizing sophisticated econometric techniques, particularly the System Generalized Method of Moment (GMM), the findings demonstrate a statistically significant inverse relationship between liquidity and volatility. These findings imply that, within the Asian context, lower levels of volatility are correlated with higher market liquidity. By incorporating EPU into the model, the research acknowledges the significant role of economic factors in shaping market dynamics. Stakeholders, decision-makers, and investors can gain valuable insights from this analysis of variables influencing market stability in Asian emerging economies. The study’s outcomes can guide policymakers in formulating strategies that promote market stability and improve market microstructure.

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Exploring the spatialisation of the performance of residential REITs investment and direct investment in the housing market

Bangura,

Lee

2024

Regional Studies

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Determinants of stock market liquidity – a macroeconomic perspective

Cited by 5 publications

References 56 publications

Macroeconomic Determinants of the Stock Market in Nepal: An Empirical Analysis

Macroeconomic Determinants of the Stock Market in Nepal: An Empirical Analysis

Market liquidity and volatility: Does economic policy uncertainty matter? Evidence from Asian emerging economies

Exploring the spatialisation of the performance of residential REITs investment and direct investment in the housing market

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