Understanding the Liquidity Connectedness in Global Stock Markets
碩士 === 國立中央大學 === 經濟學系 === 104 === Based on the generalized vector autoregressive framework in which forecast error variance decompositions are invariant to variable ordering, we provide both static (full-sample) and dynamic (rolling-sample) analyses for the liquidity connectedness in 12 developed a...
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| Format: | Others |
| Language: | en_US |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/42992826989027448999 |
| Summary: | 碩士 === 國立中央大學 === 經濟學系 === 104 === Based on the generalized vector autoregressive framework in which forecast error variance decompositions are invariant to variable ordering, we provide both static (full-sample) and dynamic (rolling-sample) analyses for the liquidity connectedness in 12 developed and 8 emerging stock markets during 2001-2015 period. The liquidity data we use in this paper is constructed from daily price index and turnover and it is calculated by the revised Amihud illiquidity ratio. Our empirical results indicate that the liquidity connectedness seems to be more intensive when economic downturns happen. What’s more, stock markets in developed countries generate higher spillovers and connectedness than stock markets in emerging countries. We also prove that the geographical features and economic developments of a country are crucial factors deciding its level of connectedness to others. It is noteworthy
that some empirical outcomes in this paper is consistent with some equity
connectedness studies at a certain extent.
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