The Joint Dynamics of Liquidity and Volatility Across Small- and Large- index Indian Funds

Kriti Kulshrestha and Saumitra Bhaduri

Journal of Emerging Market Finance, 2019, vol. 18, issue 2_suppl, S167-S182

Abstract: The article explores the relationship between volatility and liquidity, as there is a change in market capitalisation (cap). Using three regimes of volatility, identified by the threshold vector auto-regression method, the results show that volatility affects liquidity differently for the three volatility regimes during the two periods (crisis and post-crisis) of study. The results show that there is inconsistency in how volatility affects liquidity across the Indian large-, mid- and small-cap indices. JEL Classification: G1 G17

Keywords: Liquidity; volatility; India; TVAR (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:18:y:2019:i:2_suppl:p:s167-s182

DOI: 10.1177/0972652719846318

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