文章基本信息

标题：Stock market and its liquidity: Evidence from ARDL bound testing approach in the Indian context
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作者：Sharad Nath Bhattacharya ; Mousumi Bhattacharya ; Sankarshan Basu 等
期刊名称：Cogent Economics & Finance
电子版ISSN：2332-2039
出版年度：2019
卷号：7
期号：1
页码：1-12
DOI：10.1080/23322039.2019.1586297
出版社：Taylor and Francis Ltd
摘要：This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures using Autoregressive Distributed-lag (ARDL) Bounds Testing Approach. We consider depth, breadth, tightness, immediacy and resiliency dimensions of market liquidity using suitable liquidity measures (proxies). Findings suggest that multidimensional liquidity measures like the volume of trade, spread, market efficiency coefficient, turnover rate, trading probability, and the stock market index are in a long-term relationship. While trading activity and market efficiency coefficient affect stock market positively, the negative impact is seen in the case of spread. The liquidity measures affect the stock market in the short run as well. We find that impact of the turnover rate on the stock market is negative in short-run but positive in the long-run. The findings are important for investors and the market participants as well who pursue loss minimization strategies. The results indicate that short-term policy interventions need not get more important than the long-term objectives of market reforms.
关键词：stock market; liquidity; ARDL; market efficiency coefficient; spread; turnover rate