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  • 标题:The Transmission of Liquidity Shock across International Markets during the 2007-08 Financial Crisis
  • 本地全文:下载
  • 作者:Nizar Harrathi ; Imen Kouki
  • 期刊名称:Journal of Applied Finance and Banking
  • 印刷版ISSN:1792-6580
  • 电子版ISSN:1792-6599
  • 出版年度:2016
  • 卷号:6
  • 期号:1
  • 出版社:Scienpress Ltd
  • 摘要: This article investigates the determinants of liquidity and the transmission of liquidity shocks across 52 stock markets during the period 2005-2009. Constructing Amihud (2002) liquidity measure, we finda positive linkage between liquidity and volatility. Moreover, the Granger causality analysis provide evidence of bi-directional relationship between stock market return and its illiquidity shock, through a. Also, the results support the presence of USA illiquidity shock spillover to others markets during the financial crisis of 2007-08. Moreover, both USA return and illiquidity shock have a strong effect on the illiquidity shock of the others markets. Finally, the impact of the USA market through its return or illiquidity shock is the same during normal and crisis period.
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