多维股票市场流动性与经济周期

Thomar van Hees, W. F. Verschoor
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引用次数: 0

摘要

我们研究了多维股票市场流动性对商业周期的影响,抓住了关键的市场流动性特征。使用七种不同的流动性指标,我们发现流动性对经济增长和衰退的影响在1952年至2011年期间美国股市的流动性指标之间是不同的。基于交易量和交易成本的指标包含了有关美国经济未来状况的可靠信息,而对于市场影响和基于价格的指标,两者之间都没有因果关系。此外,非流动性比率在预测经济衰退的所有股市流动性指标中占主导地位。我们的研究结果说明了另类流动性指标在解释美国经济状况方面的重要性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.
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