Does the Euro affect the dynamic relation between stock market liquidity and the business cycle?

Smimou, K.; Khallouli, Wajih

doi:10.1016/j.ememar.2015.07.001

Cited by 14 publications

(3 citation statements)

References 110 publications

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“…They observe a rather counterintuitive result: a positive monetary policy shock actually has a positive impact on the stock market, and it is unlikely to be accounted for by an endogenous response of the equity premium to the monetary policy shock. As Smimou and Khallouli (2015) [12] documented, the interest rate had a positive effect on stock market liquidity when the Euro was introduced in Eurozone countries. The explanation for the positive relationship between the interest rate and stock market liquidity may be that a component of economic growth exists in stock market liquidity.…”

Section: Introductionmentioning

confidence: 98%

Nonlinear relationship between money market rate and stock market liquidity in China: A multifractal analysis

Sun

Yuan

2021

PLoS ONE

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This paper employs the multifractal detrended cross-correlation analysis (MF-DCCA) model to estimate the nonlinear relationship between the money market rate and stock market liquidity in China from a multifractal perspective, leading to a better understanding of the complexity in the relationship between the interest rate and stock market liquidity. The empirical results show that the cross-correlations between the money market rate and stock market liquidity present antipersistence in the long run and that they tend to be positively persistent in the short run. The negative cross-correlations between the interest rate and stock market liquidity are more significant than the positive cross-correlations. Furthermore, the cross-correlations between the money market rate and stock market liquidity display multifractal characteristics, explaining the variations in the relationship between the interest rate and stock market liquidity at different time scales. In addition, the lower degree of multifractality in the cross-correlations between the money market rate and stock market liquidity confirms that it is effective for the interest rate to control stock market liquidity. The Chinese stock market liquidity is more sensitive to fluctuations in the money market rate in the short term and is inelastic in response to the money market rate in the long term. In particular, the positive cross-correlations between the money market rate and stock market liquidity in the short run become strong in periods of crises and emergencies. All the evidence proves that the interest rate policy is an emergency response rather than an effective response to mounting concerns regarding the economic impact of unexpected exogenous emergencies and that the interest rate cut policy will not be as effective as expected.

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Section: Introductionmentioning

confidence: 98%

Nonlinear relationship between money market rate and stock market liquidity in China: A multifractal analysis

Sun

Yuan

2021

PLoS ONE

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“…Liquidity is closely related to financial market efficiency [7], as the higher level of liquidity facilitates price discovery and lowers transaction costs, ultimately improving market quality. Recently, many studies have been carried out on the effect between liquidity and external shocks, such as the COVID pandemic [8][9][10], economic policy uncertainty [11,12], and the business cycle [13]. The uncertainty surrounding the future cash flows of firms may lead to investor concerns.…”

Section: Introductionmentioning

confidence: 99%

Electricity Blackout and Its Ripple Effects: Examining Liquidity and Information Asymmetry in U.S. Financial Markets

Kim

et al. 2023

Energies

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The massive blackout that occurred in August 2003 left over 50 million people in the northeastern and midwestern parts of the United States without electricity and caused billions of dollars in economic losses. This event highlighted the importance of sustainable and resilient energy infrastructure. Our study examines the impact of this blackout on the sustainability of financial markets by analyzing the liquidity and information asymmetry of U.S. stocks listed on major exchanges. Our results show that the blackout had a negative impact on the financial market’s liquidity, as evidenced by a significant widening of bid–ask spreads and a decrease in the market quality index. We also find an increase in information asymmetry during the blackout period, as measured by higher realized spreads. Furthermore, our study reveals that the blackout had a border impact on global financial markets and the negative effect on liquidity persisted even after two weeks.

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“…The results have also been shown to hold in numerous other countries. For example,Galariotis and Giouvris (2015) looks at six of the G7 countries, andSmimou and Khallouli (2015) shows it works for the Euro-zone.17 Once issued, the security is considered as on-the-run and the older issues are off-the-run for the same maturity.…”

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confidence: 99%

Bond Liquidity at the Oslo Stock Exchange

Ødegaard

2017

SSRN Journal

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Does the Euro affect the dynamic relation between stock market liquidity and the business cycle?

Cited by 14 publications

References 110 publications

Nonlinear relationship between money market rate and stock market liquidity in China: A multifractal analysis

Nonlinear relationship between money market rate and stock market liquidity in China: A multifractal analysis

Electricity Blackout and Its Ripple Effects: Examining Liquidity and Information Asymmetry in U.S. Financial Markets

Bond Liquidity at the Oslo Stock Exchange

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