Stock market liquidity and economic cycles: A non-linear approach

被引：20
|
作者：
Switzer, Lorne N. [1 ]
Picard, Alan [2 ]
机构：
[1] Concordia Univ, John Matson Sch Business, Van Berkom Endowed Chair Small Cap Equities, 1455 De Maisonneuve Blvd W, Montreal, PQ H3G 1M8, Canada
[2] Concordia Univ, Dept Finance, Montreal, PQ, Canada
来源：
ECONOMIC MODELLING | 2016年 / 57卷
关键词：
Liquidity; Business cycles; Regime shifts; CROSS-SECTION; REAL ACTIVITY; TIME-SERIES; RETURNS; US; COINTEGRATION; REGIME; RISK;
D O I：
10.1016/j.econmod.2016.04.006
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper examines the relationship between business cycles and market wide liquidity using a non-linear approach to capture the dynamics of macroeconomic time series. Applying both the Markov switching-regime and the smooth-transition autoregressive models and various proxies for liquidity, this study presents weak evidence that liquidity fundamentals act as leading indicators of future economic conditions. Whether stock market aggregate liquidity can be exploited to predict the future state of the economy remains an open question. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：106 / 119
页数：14
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