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 conferencePaperpeer-review

Published

Standard

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 conferencePaperpeer-review

Harvard

Lim, S & Giouvris, E 2016, 'Stock Market Liquidity And The Business Cycle: An Empirical Study Of Asia-Pacific Countries', Paper presented at Australia-Middle East Conference on Business and Social Sciences 2016, Journal of Developing Areas, Dubai, United Arab Emirates, 17/04/16 - 19/04/16 pp. 1-38. <https://www.aabss.org.au/system/files/published/001055-published-icbss-2016-dubai.pdf>

APA

Lim, S., & Giouvris, E. (2016). Stock Market Liquidity And The Business Cycle: An Empirical Study Of Asia-Pacific Countries. 1-38. Paper presented at Australia-Middle East Conference on Business and Social Sciences 2016, Journal of Developing Areas, Dubai, United Arab Emirates. https://www.aabss.org.au/system/files/published/001055-published-icbss-2016-dubai.pdf

Vancouver

Lim S, Giouvris E. Stock Market Liquidity And The Business Cycle: An Empirical Study Of Asia-Pacific Countries. 2016. Paper presented at Australia-Middle East Conference on Business and Social Sciences 2016, Journal of Developing Areas, Dubai, United Arab Emirates.

Author

Lim, Sung ; Giouvris, Evangelos. / Stock Market Liquidity And The Business Cycle: An Empirical Study Of Asia-Pacific Countries. Paper presented at Australia-Middle East Conference on Business and Social Sciences 2016, Journal of Developing Areas, Dubai, United Arab Emirates.38 p.

BibTeX

@conference{2eae8206aecf40a397442736870707d1,
title = "Stock Market Liquidity And The Business Cycle: An Empirical Study Of Asia-Pacific Countries",
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",
author = "Sung Lim and Evangelos Giouvris",
year = "2016",
month = jul,
day = "20",
language = "English",
pages = "1--38",
note = "Australia-Middle East Conference on Business and Social Sciences 2016, Journal of Developing Areas ; Conference date: 17-04-2016 Through 19-04-2016",

}

RIS

TY - CONF

T1 - Stock Market Liquidity And The Business Cycle: An Empirical Study Of Asia-Pacific Countries

AU - Lim, Sung

AU - Giouvris, Evangelos

PY - 2016/7/20

Y1 - 2016/7/20

N2 - 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

AB - 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

M3 - Paper

SP - 1

EP - 38

T2 - Australia-Middle East Conference on Business and Social Sciences 2016, Journal of Developing Areas

Y2 - 17 April 2016 through 19 April 2016

ER -