An empirical analysis of stock and bond market liquidity

被引：364

作者：

Chordia, T

Sarkar, A ^{[1
]}

Subrahmanyam, A

机构：

[1] Fed Reserve Bank New York, New York, NY 10045 USA

[2] Emory Univ, Atlanta, GA 30322 USA

[3] Univ Calif Los Angeles, Los Angeles, CA 90024 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2005年 / 18卷 / 01期

关键词：

D O I：

10.1093/rfs/hhi010

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：85 / 129

页数：45

共 58 条

[1] Illiquidity and stock returns: cross-section and time-series effects [J].