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Stock Market Liquidity and the Macroeconomy : Evidence From Japan
Choi, Woon Gyu - 2005
liquidity risk. We find that, during Japan''s deflationary period, firms with more liquid balance sheets were less exposed to … price. We document a steep drop in the liquidity of the Japanese stock market in the post-bubble period and a steep rise in … stock market liquidity risk, while slowly growing firms were highly exposed to liquidity shocks. Also, aggregate liquidity …
Persistent link: https://www.econbiz.de/10014401145
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Small African Stock Markets : The Case of the Lusaka Stock Exchange
Marone, Heloisa - 2003
In trend with a global pattern and following recommendations of the World Bank and the International Finance Corporation (IFC), the number of stock markets in African countries has increased dramatically over the last ten years. Despite a scarcity of studies on the impact of stock markets on...
Persistent link: https://www.econbiz.de/10014400076
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Stock Market Equilibrium and Macroeconomic Fundamentals
Leigh, Lamin - 1997
This paper examines the efficiency of the Stock Exchange of Singapore and the relationship between the stock market and the overall economy. Using a wide range of methods for testing market efficiency, the paper establishes that the Singapore stock market is both “weakly” and...
Persistent link: https://www.econbiz.de/10014400194
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Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk
Chan-Lau, Jorge A. - 2021
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...
Persistent link: https://www.econbiz.de/10012613371
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Stock market liquidity in Chile
Brandao Marques, Luis - 2016
in advanced economies are key cyclical determinants of liquidity in Chilean equities. Evidence from a cross-section of …
Persistent link: https://www.econbiz.de/10011715648
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Global Liquidity and Asset Prices : Measurement, Implications, and Spillovers
Baks, Klaas - 1999
Much recent commentary suggests that global liquidity has influenced financial conditions in the major international … markets to an important degree, and that excess liquidity in one financial center can influence financial conditions elsewhere …. Little formal research has addressed these issues, however. In this paper, we use three indexes of liquidity (money growth …
Persistent link: https://www.econbiz.de/10014400553
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Can Global Liquidity Forecast Asset Prices?
Darius, Reginald - 2010
coincided with a significant rise in global liquidity. This paper attempts to determine the extent to which the rise in asset … prices was influenced by developments in global liquidity. We confirm that global liquidity had a significant impact on the … impact of global liquidity declined during the period of the Great Moderation. The paper also examines spillovers from global …
Persistent link: https://www.econbiz.de/10014398415
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Financial Integration : A New Methodology and An Illustration
Rose, Andrew K. - 2004
This paper develops a simple methodology to test for asset integration, and applies it within and between American stock markets. Our technique relies on estimating and comparing expected risk-free rates across assets. Expected risk-free rates are allowed to vary freely over time, constrained...
Persistent link: https://www.econbiz.de/10014404174
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Seasonalities in China's Stock Markets : Cultural or Structural?
Mitchell, Jason D. - 2006
In this paper, we examine returns in the Chinese A and B stock markets for evidence of calendar anomalies. We find that both cultural and structural (segmentation) factors play an important role in influencing the pricing of both A- and B-shares in China. There is some evidence of a February...
Persistent link: https://www.econbiz.de/10014404243
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Volatility and Predictability in National Stock Markets : How Do Emerging and Mature Markets Differ?
Richards, Anthony J. - 1996
This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased as a result of the liberalization of markets. A range of measures suggests that there has been no generalized increase in volatility in recent years; indeed, it appears that...
Persistent link: https://www.econbiz.de/10014398639