Næs, Randi; Skjeltorp, Johannes A.; Ødegard, Bernt Arne - Norges Bank - 2008
We show evidence of a contemporaneous relation between stock market liquidity and the business cycle. Stock market … liquidity worsen when the economy is slowing down, and this effect is most pronounced for small firms. Using data for both the … US and Norway, we find strong evidence that stock market liquidity predict the current and future state of the economy …