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

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2019-06-07 DOI:10.1177/0972652719846318

K. Kulshrestha, S. Bhaduri

引用次数: 2

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

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印度小型和大型指数基金流动性和波动性的联合动态

这篇文章探讨了波动性和流动性之间的关系，因为市值（cap）发生了变化。使用阈值向量自回归方法确定的三种波动率制度，结果表明，在研究的两个时期（危机和危机后），三种波动性制度对流动性的影响不同。结果表明，印度大盘股、中盘股和小盘股指数的波动性对流动性的影响存在不一致性。JEL分类：G1 G17

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.