Empirical analysis of stock and bond market liquidity

Empirical analysis of stock and bond market liquidity

By: Anton_J Date of post: 12.07.2017

The Review of Financial Studies, Vol.

empirical analysis of stock and bond market liquidity

There are 3 versions of this paper. 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.

An Empirical Analysis of Stock and Bond Market Liquidity by Tarun Chordia :: SSRN

The results establish a link between "macro" liquidity, or money flows, and "micro" or transactions liquidity. Chordia, Tarun, An Empirical Analysis of Stock and Bond Market Liquidity Atlanta, GA United States Phone Fax. Cookies are used by this site.

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empirical analysis of stock and bond market liquidity

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Tarun Chordia Emory University - Department of Finance. An Empirical Analysis of Stock and Bond Market Liquidity FRB NY Staff Report No. An Empirical Analysis of Stock and Bond Market Liquidity Review of Financial Studies, Forthcoming.

An Empirical Analysis of Stock and Bond Market Liquidity The Review of Financial Studies, Vol.

empirical analysis of stock and bond market liquidity

You are currently viewing this paper. Abstract 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.

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Tarun Chordia Contact Author Emory University - Department of Finance email Atlanta, GA United States Phone Fax. Not Available for Download. Paper statistics Abstract Views.

Bond Market Analysis 11-10-16

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An empirical analysis of stock and bond market liquidity

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