The DOI matches its Crossref record; 38 of the 38 references it cites were found in a registry or an index.
Stock Market Liquidity and the Business Cycle
Abstract
In the recent financial crisis we saw liquidity in the stock market drying up as a precursor to the crisis in the real economy. We show that such effects are not new; in fact, we find a strong relation between stock market liquidity and the business cycle. We also show that investors' portfolio compositions change with the business cycle and that investor participation is related to market liquidity. This suggests that systematic liquidity variation is related to a “flight to quality” during economic downturns. Overall, our results provide a new explanation for the observed commonality in liquidity.
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Cites
Testing the null hypothesis of stationarity against the alternative of a unit root
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90104-y · Cited by 12,633
Illiquidity and stock returns: cross-section and time-series effects
Amihud, Y. (2002) · Journal of Financial Markets · doi:10.1016/s1386-4181(01)00024-6 · Cited by 9,963
Continuous Auctions and Insider Trading
Kyle, A. S. (1985) · Econometrica · doi:10.2307/1913210 · Cited by 9,580
Liquidity Risk and Expected Stock Returns
Pástor, Ľ., & Stambaugh, R. F. (2003) · Journal of Political Economy · doi:10.1086/374184 · Cited by 5,339
Diebold, F., & Mariano, R. (1994) · National Bureau of Economic Research · doi:10.3386/t0169 · Cited by 5,185
Market Liquidity and Funding Liquidity
Brunnermeier, M. K., & Pedersen, L. H. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn098 · Cited by 4,835
Stock Markets, Banks, and Economic GrowthPreprint
Levine, R. E., & Zervos, S. (1996) · RePEc: Research Papers in Economics · Cited by 3,155
Stock Markets, Banks, and Economic Growth
Levine, R., & Zervos, S. (1999) · Policy Research Working Papers · doi:10.1596/1813-9450-1690 · Cited by 2,881
Asset pricing with liquidity risk
ACHARYA, V, & PEDERSEN, L. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.06.007 · Cited by 2,773
A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market
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Metadata
- Authors
- NÆS, R., SKJELTORP, J. A., & ØDEGAARD, B. A.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2011-01-06
- Volume
- 66
- Issue
- 1
- Pages
- 139-176
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2106978637
- Cited by
- 417
- References
- 38
- FWCI
- 67.05
- Type
- journal article
- Language
- en
- Open access
- closed
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- NÆS, R., SKJELTORP, J. A., & ØDEGAARD, B. A. (2011). Stock Market Liquidity and the Business Cycle. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2010.01628.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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