EconPapers    
Economics at your fingertips  
 

Macroeconomic uncertainty, information competition, and liquidity

Yen-Chen Chiu

Finance Research Letters, 2020, vol. 34, issue C

Abstract: In this study we provide evidence regarding the effect of macroeconomic uncertainty on stock market liquidity by analyzing the time-series relation between both types of macroeconomic uncertainty shocks: good and bad uncertainty and various measures of liquidity. Our study also sheds light on whether the impact of macroeconomic uncertainty on liquidity varies with information environment by examining the effects of investor competition over information on the relation between good and bad uncertainty and liquidity in the Taiwan markets. We find that there is a negative (positive) relation between bad (good) uncertainty and the subsequent liquidity of stocks. We also find that the magnitude of the impact of bad uncertainty on stock market liquidity is larger than good uncertainty. On the other side, macroeconomic uncertainty would exerts a larger impact on liquidity when the market is imperfectly competitive.

Keywords: Macroeconomic uncertainty; Information competition; Liquidity (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612319303629
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319303629

DOI: 10.1016/j.frl.2019.08.010

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319303629