Artikel
Stock market and its liquidity: Evidence from ARDL bound testing approach in the Indian context
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.
- Language
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Englisch
- Bibliographic citation
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Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 7 ; Year: 2019 ; Issue: 1 ; Pages: 1-12 ; Abingdon: Taylor & Francis
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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stock market
liquidity
ARDL
market efficiency coefficient
spread
turnover rate
- Event
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Geistige Schöpfung
- (who)
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Bhattacharya, Sharad Nath
Bhattacharya, Mousumi
Basu, Sankarshan
- Event
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Veröffentlichung
- (who)
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Taylor & Francis
- (where)
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Abingdon
- (when)
-
2019
- DOI
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doi:10.1080/23322039.2019.1586297
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Bhattacharya, Sharad Nath
- Bhattacharya, Mousumi
- Basu, Sankarshan
- Taylor & Francis
Time of origin
- 2019
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