Network characteristics and stock liquidity:Evidence from the UK

Xin Yang, Cheng Jin, Chuangxia Huang and Xiaoguang Yang

Finance Research Letters, 2023, vol. 53, issue C

Abstract: This article examines the effect of the Engle-Granger (E-G) price spillover network characteristics on firm's stock liquidity with a longitudinal dataset of FTSE 350 from 2006 to 2021. We find that the subprime crisis, European debt sovereign crisis, British Brexit and COVID-19 caused dramatic network structure change. We also find that firms with higher centrality are likely to suffer from more or greater price shocks leading to lower stock liquidity. Finally, the robust of our results has also been identified, and a general framework for network characteristics and stock liquidity has been established to some extent.

Keywords: UK stock market; E-G network; Network characteristics; Stock liquidity (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322008017

DOI: 10.1016/j.frl.2022.103625

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