An empirical analysis of stock and bond market liquidity

• 成果类型: Article
• 署名作者: Chordia, T; Sarkar, A; Subrahmanyam, A
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Emory University; University of California System; University of California Los Angeles
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhi010
• 发表日期: 2005
• 页码: 85
• 关键词: ORDER IMBALANCE; cross-section; volatility; returns; prices; announcements; performance; illiquidity; INFORMATION; volume

摘要

This article explores cross-market liquidity dynamics by estimating a vector autoregressive model for liquidity (bid-ask spread and depth, returns, volatility, and order flow in the stock and Treasury bond markets). Innovations to stock and bond market liquidity and volatility are significantly correlated, implying that common factors drive liquidity and volatility in these markets. Volatility shocks are informative in predicting shifts in liquidity. During crisis periods, monetary expansions are associated with increased liquidity. Moreover, money flows to government bond funds forecast bond market liquidity. The results establish a link between macro liquidity, or money flows, and micro or transactions liquidity.