股市流动性与信息效率之间是否存在时变关系?- 跨区域证据

IF 2.3 Q2 BUSINESS, FINANCE
Subhamitra Patra, G. Hiremath
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引用次数: 0

摘要

目的 本研究旨在衡量三十年来亚洲、欧洲、南北美洲、非洲和太平洋地区股票市场流动性与信息效率之间的波动相关程度。作者特别分析了股票市场流动性的不同方面与股票收益率序列的多分形缩放特性之间在不同地区和不同市场条件下的时变关联程度。本研究进一步探讨了改变国内股票市场效率和流动性之间动态条件相关性(DCCs)程度的几个因素。研究测量了股票市场流动性的五个方面--紧张度、深度、广度、即时性和调整后的即时性。作者评估了股票收益率序列的多分形缩放特性,以衡量不同地区和不同市场条件下的股市效率水平。研究使用动态条件相关性-多变量广义自回归条件异方差框架来量化流动性和效率之间在此期间的波动相关程度。研究结果 研究发现,由于股票市场的价格影响特征,无论在不同地区和多样化市场条件下,低效率和非流动性之间都存在较强的波动相关性。在冲击期之后,时变程度增加,这表明金融危机在增加低效率和非流动性之间的波动相关性方面发挥了重要作用。与地区和新兴市场相比,西北欧和北欧发达股票市场的时变相关性最高。原创性/价值本研究的成果有助于投资者识别跨地区的多样化机会。此外,本研究对市场监管者也有重大意义,有助于预测未来的低谷和高峰。这种预测反过来又有助于在动态经济形势下制定资本市场发展计划。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Is there a time-varying nexus between stock market liquidity and informational efficiency? – A cross-regional evidence
Purpose This study aims to measure the degree of volatility comovement between stock market liquidity and informational efficiency across Asia, Europe, North-South America, Africa, and the Pacific Ocean over three decades. In particular, the authors analyze the extent of the time-varying nexus between different aspects of stock market liquidity and multifractal scaling properties of the stock return series across various regions and diversified market conditions. This study further investigates several factors altering the degree of dynamic conditional correlations (DCCs) between the efficiency and liquidity of the domestic stock markets. Design/methodology/approach The study measures five aspects of stock market liquidity – tightness, depth, breadth, immediacy, and adjusted immediacy. The authors evaluate the multifractal scaling properties of the stock return series to measure the level of stock market efficiency across the regions and diversified market conditions. The study uses the dynamic conditional correlation-multivariate generalized autoregressive conditional heteroscedasticity framework to quantify the degree of volatility comovement between liquidity and efficiency over the period. Findings The study finds the presence of stronger volatility comovement between inefficiency and illiquidity due to the price impact characteristics of the stock markets irrespective of different regions and diversified market conditions. The extent of time-variation increased following the shock periods, indicating the significant role of the financial crisis in increasing the volatility comovement between inefficiency and illiquidity. The highest degree of time-varying correlation is observed in the developed stock markets of Northwestern and Northern Europe compared to the regional and emerging counterparts. On the other hand, weak DCCs are observed in the emerging stock markets of Europe. Originality/value The output of the present study assists investors in identifying diversification opportunities across the regions. Additionally, the study has significant implications for market regulators, aiding in predicting future troughs and peaks. The prediction, in turn, helps formulate capital market development plans during dynamic economic situations.
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来源期刊
CiteScore
4.30
自引率
10.50%
发文量
43
期刊介绍: Topics addressed in the journal include: ■corporate finance, ■financial markets, ■money and banking, ■international finance and economics, ■investments, ■risk management, ■theory of the firm, ■competition policy, ■corporate governance.
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