Stock Market Liquidity And The Business Cycle: An Empirical Study Of Asia-Pacific Countries. / Lim, Sung; Giouvris, Evangelos.

2016. 1-38 Paper presented at Australia-Middle East Conference on Business and Social Sciences 2016, Journal of Developing Areas, Dubai, United Arab Emirates.

Research output: Contribution to conferencePaper

Published

Abstract

ABSTRACTThis paper investigates the relationship between stock market liquidity (national and global which includes US and Japan) and macroeconomic variables such as GDP, investment, unemployment and consumption for a mix of developed and developing Asia-Pacific countries namely Australia, Hong-Kong, Korea, Philippines, Malaysia and Singapore following US evidence by Naes et al (2011) and Galariotis & Giouvris (2015) for G7. Our regressions show that global liquidity predicts macro economic variables better than national liquidity. Granger causality tests show that there is a 2 way relationship between national liquidity and macroeconomic variables in contrast to the US. We also find no causality between macro variables and global liquidity in developed markets and the one way causality from macro variables to global liquidity in developing markets. Also contrary to the US where small firm liquidity predicts macroeconomic variables we find no small firm liquidity effect which is also supported by causality tests. National large firm liquidity appears to have a stronger effect.Keywords: Market Liquidity; Real Economy; Economic Indicators; Granger Causality, Panel Data, Dumitrescu HurlinJEL Classifications: G15, F37, F44, F47
Original languageEnglish
Pages1-38
Number of pages38
Publication statusPublished - 20 Jul 2016
EventAustralia-Middle East Conference on Business and Social Sciences 2016, Journal of Developing Areas - UAE, Dubai, United Arab Emirates
Duration: 17 Apr 201619 Apr 2016

Conference

ConferenceAustralia-Middle East Conference on Business and Social Sciences 2016, Journal of Developing Areas
CountryUnited Arab Emirates
CityDubai
Period17/04/1619/04/16
This open access research output is licenced under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported License.

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