Global Financial Crisis: Dynamics of Liquidity Risk in Emerging Asia

Suraj Kumar and Krishna Prasanna

Journal of Emerging Market Finance, 2019, vol. 18, issue 3, 339-362

Abstract: This study investigates the dynamic impact of global and regional liquidity along with volatility on the liquidity of emerging Asian equity markets. Further, we empirically disentangle the effects of volatility and liquidity. We find that the external liquidity factors have a higher impact on domestic liquidity as compared to volatility. The impact of global volatility shocks was witnessed only during the Global Financial Crisis. Global factors have a higher influence on developed markets such as Japan and Singapore, while regional factors have a higher influence on emerging markets. These results indicate that liquidity serves as the channel of regional integration in Asia. The findings of this study provide useful insights to cross-sections of stakeholders in the investment industry. JEL Classification: G15, F21, F36

Keywords: Liquidity; volatility; commonality; Asia; global; regional (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:3:p:339-362

DOI: 10.1177/0972652719846323

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