Liquidity and short-run predictability: Evidence from international stock markets

Park, Jin Suk; Newaz, Mohammad Khaleq

doi:10.1016/j.gfj.2021.100673

Cited by 3 publications

(1 citation statement)

References 103 publications

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“…When these studies are examined, it has been observed that some of the studies focused on the effects of the pandemic on stock market volatility (Baek, Mohanty and Glambosky, 2020;Mirza, Naqvi, Rahat and Rizvi, 2020;Albulescu, 2021;Izzeldin, Muradoğlu, Pappas and Sivaprasad, 2021;Shahzad, Naeem, Peng and Bouri, 2021;Christopoulos, Kalantonis, Katsampoxakis and Vergos, 2021;Engelhardt, Krause, Neukirchen and Porsch, 2021;Topcu, Yagli and Emirmahmutoglu, 2021;Uddin, Chowdhury, Anderson and Chaudhuri, 2021;Wang, Xu and Sharma, 2021;Bakry et al, 2022;Diaz, Henríquez, and Winkelried, 2022;Sreenu and Pradhan, 2022;Vera-Valdes, 2022;Xu, 2022). In addition, exchange rate returns volatility (Feng, Yang, Gong and Chang, 2021;Honarmandi and Zarei, 2022;Yıldırım, Erdoğan and Tarı, 2022;Geng and Guo, 2022), stock return (Yiu and Tsang, 2022;Handoyo, Ibrahim and Indrawan, 2022); returns and volatility (Rakshit and Neog, 2021;Bissoondoyal-Bheenick, Do, Hu and Zhong, 2021;Pyo, 2021;Ozdemir, Ercan, Grima and Romānova, 2021;Song, Bouri, Ghosh and Kanjilal, 2021;Li et al ., 2021;Kusumahadi and Permana, 2021;Wasiuzzaman, 2022), exchange rate returns and return (Torbecke, 2021;Narayan, 2022b), stock price and exchange rate returns (Hoshikawa and Yoshimi, 2021;Rai and Garg, 2022;), liquidity and return (Park and Newaz, 2021;…”

Section: Literature Reviewmentioning

confidence: 99%

COVİD-19 Döneminde Hisse Senedi Volatilitesi, Likidite, Döviz Kuru Getirisi Ve Hisse Senedi Getirisi Arasindaki İlişki: BİST-100 Örneği

Bulut

Şimşek

2023

Bingöl Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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At the end of 2019, COVID-19 first appeared in China and quickly spread throughout the world. Globally, the pandemic has had a negative impact on numerous industries. Similarly, this epidemic has had an impact on financial markets. This study examined the time period between March 11, 2020, when the first case was seen in Turkey, and May 23, 2022, when the pandemic measures were largely lifted. In this research, we examine the relationship between stock returns and liquidity, volatility, and exchange rate returns in Turkish stock markets by using the Markov Switching Method. The study aims to research the relationship between stock exchange return, stock exchange volatility, liquidity, and foreign exchange rate return; and to research the movement characteristics of selected variables in different regimes during the Covid-19 period. By analyzing the results within the scope of the findings, a general evaluation was given in the last section. According to the results, it has been observed that there is a negative correlation between BIST-100 index return with volatility and exchange rate return, while there is a positive correlation between BIST-100 index return and liquidity. Furthermore, it has been determined that the movements of the data in the examined period occurred within the framework of two different regimes. It has been observed that the probability of BIST-100 index return, volatility, and exchange rate returns to remain in the same regime is high, and the probability of switching from one regime to another is relatively low. For market liquidity, it has been determined that both the probability of staying in the same regime and the probability of switching to another regime are close to each other.

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