Jiang, Lei - In: Journal of Empirical Finance 28 (2014) C, pp. 202-214
This paper examines how stock market liquidity and commonality in liquidity are impacted by real-time output gap and … rule. We show that an increase in the output gap and inflation lowers stock liquidity and increases commonality in … liquidity, since it points to a contractionary monetary policy and is likely to lead to a decline in the liquidity providers …