TAILIEUCHUNG - An Empirical Analysis of Stock and Bond Market Liquidity

In addition McQueen and Vorkink (2004) are able to reproduce GARCH volatility using a preference-based model with time-varying sensitivity to news. In a related paper, Vanden (2005) develops a model where the representative agent exhibits a utility function with several risk aversion regimes, which in equilibrium leads to volatility regimes and volatility clustering. In contrast to these models, I assume standard constant relative risk aversion preferences and volatility clustering occurs for di¤erent possible levels of risk aversion, as long as risk aversion is higher than the case of logarithmic preferences | An Empirical Analysis of Stock and Bond Market Liquidity Tarun Chordia Asani Sarkar and Avanidhar Subrahmanyam Federal Reserve Bank of New York Staff Reports no. 164 March 2003 JEL classification G10 G14 G23 E52 Abstract This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity that is bid-ask spreads and depth returns volatility and order flow in the stock and bond markets. We find that a shock to quoted spreads in one market affects the spreads in both markets and that return volatility is an important driver of liquidity. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated suggesting that common factors drive liquidity and volatility in both markets. Monetary expansion increases equity market liquidity during periods of financial crises and unexpected increases decreases in the federal funds rate lead to decreases increases in liquidity and increases decreases in stock and bond volatility. Finally we find that flows to the stock and government bond sectors play an important role in forecasting stock and bond liquidity. The results establish a link between macro liquidity or money flows and micro or transactions liquidity. Chordia Goizueta Business School Emory University e-mail tarun chordia@ Sarkar Research and Market Analysis Group Federal Reserve Bank of New York New York . 10045 e-mail Subrahmanyam Anderson Graduate School of Management University of California at Los Angeles asubrahm@ . The authors are grateful to an anonymous referee and Cam Harvey for providing insightful and constructive comments on an earlier draft. The authors also thank Michael Brennan Arturo Estrella Michael Fleming Clifton Green Joel Hasbrouck Charlie Himmelberg Eric Hughson Charles Jones Ken Kuttner Stavros .

• Đầu tư Chứng khoán
• Carryback Financing
• Partnerships
• Pancreatic Lesion
• Coagulation Disorders
• Clinical Implications
• Expandable Metallic