 On the stock market liquidity and the business cycle: A multi country approachEmilios C. Galariotis () and
Evangelos Giouvris
Post-Print from HAL Abstract: We provide original results on national and global stock market liquidity and its interaction with macroeconomic variables for six of the G7 economies, namely: Canada, France, Germany, Italy, Japan and UK, building on the methodology and on the US evidence by Naes et al. (2011). Using a number of additional tests,we find that different markets do not behave in a uniform manner. National liquidity has diminished ability in Granger causing macroeconomic variables for our sample countries, and in additional tests the same holds for an extended US sample, contrary to Naes et al. As regards global liquidity there is a two-way causality with macroeconomic indicators for the six nations in our sample while for the US there is no causality in either direction. We also show that there is no superior information in small firm liquidity in Granger causing macroeconomic variables even for the US in contrast to the sample period employed by Naes et al. implying an unstable relationship over time for the US. Keywords: Market liquidity; Real economy; Economic indicators; Granger causality panel data; Dumitrescu Hurlin (search for similar items in EconPapers) Published in International Review of Financial Analysis, 2015, 38, pp. 44-69 (26 p.). ⟨10.1016/j.irfa.2015.01.009⟩ There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01119042 DOI: 10.1016/j.irfa.2015.01.009 Access Statistics for this paper More papers in Post-Print from HAL |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.