全球金融危机:新兴亚洲的流动性风险动态

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2019-06-11 DOI:10.1177/0972652719846323

Suraj Kumar, Krishna Prasanna

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引用次数: 2

摘要

本研究探讨全球及区域流动性及波动性对新兴亚洲股票市场流动性的动态影响。此外，我们从经验上理清了波动性和流动性的影响。我们发现，与波动性相比，外部流动性因素对国内流动性的影响更大。全球波动冲击的影响只有在全球金融危机期间才有所体现。全球因素对日本、新加坡等发达市场的影响较大，而区域因素对新兴市场的影响较大。这些结果表明，流动性是亚洲区域一体化的渠道。本研究的结果为投资行业的利益相关者提供了有用的见解。JEL分类:G15, F21, F36

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Global Financial Crisis: Dynamics of Liquidity Risk in Emerging Asia

This study investigates the dynamic impact of global and regional liquidity along with volatility on the liquidity of emerging Asian equity markets. Further, we empirically disentangle the effects of volatility and liquidity. We find that the external liquidity factors have a higher impact on domestic liquidity as compared to volatility. The impact of global volatility shocks was witnessed only during the Global Financial Crisis. Global factors have a higher influence on developed markets such as Japan and Singapore, while regional factors have a higher influence on emerging markets. These results indicate that liquidity serves as the channel of regional integration in Asia. The findings of this study provide useful insights to cross-sections of stakeholders in the investment industry. JEL Classification: G15, F21, F36

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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.