Title :
Liquidity risk spillover: Evidence from cross-country analysis
Author :
Cheung, William M. ; Lo, Si U
Author_Institution :
Faculty of Business Administration, University of Macau, Macau SAR, China
Abstract :
We investigate the spillover of market liquidity risk across 50 countries using daily data from 1995 to 2010. By employing market liquidity risk measures from Pastor and Stambaugh (2003) and Acharya and Pedersen (2005), we estimate market liquidity risk associations among global stock markets. Empirical results show that the market liquidity risks across countries are correlated. Our study is important for governments, securities exchanges officials, institutional and individual investors.
Keywords :
IEEE Xplore; Portable document format;
Conference_Titel :
Computational Intelligence for Financial Engineering & Economics (CIFEr), 2012 IEEE Conference on
Conference_Location :
New York, NY
Print_ISBN :
978-1-4673-1802-0
Electronic_ISBN :
PENDING
DOI :
10.1109/CIFEr.2012.6327789
