Analysis of the Dynamic Relationship between Liquidityproxies and returns on French CAC 40 index

Ayad Assoil, Ndéné Ka (ndene.ka@uadb.edu.sn) and Jules Sadefo-Kamdem
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Ayad Assoil: MRE - Montpellier Recherche en Economie - UM - Université de Montpellier
Jules Sadefo-Kamdem: MRE - Montpellier Recherche en Economie - UM - Université de Montpellier
Authors registered in the RePEc Author Service: Jules SADEFO KAMDEM

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Abstract: The aim of this paper is to analyze the dynamic evolution of six liquidity proxies ontime, and to find their causality with the French CAC 40 stock market index returns, overthe period from January 2007 to December 2018. For that, we use a vector autoregressiveapproach and the impulse response function, to do causality test between the CAC 40 index returns and six differents liquidity proxies. Empirical results suggest a significantshort-term relationship between the returns and the liquidity. As for Granger's causalitytest, the results reveal that there is unidirectional causality running from equity returnsto liquidity.

Keywords: Impulse response function; Granger causality; Liquidity risk; Market risk; VAR model; CAC 40 Market. (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-isf
Note: View the original document on HAL open archive server: https://hal.science/hal-03282991v2
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Published in SN Business & Economics, 2021, 1 (10), ⟨10.1007/s43546-021-00129-7⟩

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Journal Article: Analysis of the dynamic relationship between liquidity proxies and returns on the French CAC 40 index (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03282991

DOI: 10.1007/s43546-021-00129-7

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