{"title":"多维股票市场流动性与经济周期","authors":"Thomar van Hees, W. F. Verschoor","doi":"10.2139/ssrn.3783724","DOIUrl":null,"url":null,"abstract":"We examine the impact of multidimensional stock market liquidity on business cycles that captures the key market liquidity characteristics. Using seven different liquidity measures, we find that the effect of liquidity on economic growth and recessions differs among liquidity measures in the US stock market in the period of 1952 to 2011. Volume-based and transaction costs-based measures contain robust information about future conditions of the US economy, while for market-impact and price-based measures there is no causality in either direction. Moreover, the illiquidity ratio dominates all stock market liquidity measures in forecasting economic recessions. Our findings exemplify the importance of alternative liquidity proxies in explaining the state of the US economy.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Multidimensional Stock Market Liquidity and Business Cycles\",\"authors\":\"Thomar van Hees, W. F. Verschoor\",\"doi\":\"10.2139/ssrn.3783724\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We examine the impact of multidimensional stock market liquidity on business cycles that captures the key market liquidity characteristics. Using seven different liquidity measures, we find that the effect of liquidity on economic growth and recessions differs among liquidity measures in the US stock market in the period of 1952 to 2011. Volume-based and transaction costs-based measures contain robust information about future conditions of the US economy, while for market-impact and price-based measures there is no causality in either direction. Moreover, the illiquidity ratio dominates all stock market liquidity measures in forecasting economic recessions. Our findings exemplify the importance of alternative liquidity proxies in explaining the state of the US economy.\",\"PeriodicalId\":443911,\"journal\":{\"name\":\"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)\",\"volume\":\"1 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-02-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3783724\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3783724","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Multidimensional Stock Market Liquidity and Business Cycles
We examine the impact of multidimensional stock market liquidity on business cycles that captures the key market liquidity characteristics. Using seven different liquidity measures, we find that the effect of liquidity on economic growth and recessions differs among liquidity measures in the US stock market in the period of 1952 to 2011. Volume-based and transaction costs-based measures contain robust information about future conditions of the US economy, while for market-impact and price-based measures there is no causality in either direction. Moreover, the illiquidity ratio dominates all stock market liquidity measures in forecasting economic recessions. Our findings exemplify the importance of alternative liquidity proxies in explaining the state of the US economy.