Florackis, Chris; Giorgioni, Gianluigi; Kostakis, Alexandros - In: Journal of International Money and Finance 44 (2014) C, pp. 210-229
This study examines whether stock market illiquidity forecasts real UK GDP growth using data over the period 1989q1-2012q2. Apart from standard linear model specifications, we also utilize non-linear models, which allow for regime switching behavior in terms of a liquid versus an illiquid market...