Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 2005 erstellt
Beschreibung:
This paper analyzes market-wide liquidity using weekly data from 1990 to 2002 for a sample of 18 developed and emerging markets. The results suggest that market-wide liquidity is cross-sectionally determined by several country level variables: market returns and return volatilities, interest rates, and equity and bond portfolio country flows. Furthermore, there is evidence that the global components of these country-level variables are at least as important in explaining liquidity as country-specific information. Hence, the results support the notion of a global liquidity factor. A dynamic analysis of liquidity further confirms these variables as determinants of relative changes in liquidity. While common and country-specific factors help explain liquidity across countries and time, the pairwise correlation of changes in liquidity is low. The results from using extreme value theory to investigate whether shocks to liquidity are more strongly correlated during extreme market conditions offer no evidence of contagion