• DocumentCode
    1696915
  • 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
  • fYear
    2012
  • Firstpage
    1
  • Lastpage
    7
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Computational Intelligence for Financial Engineering & Economics (CIFEr), 2012 IEEE Conference on
  • Conference_Location
    New York, NY
  • ISSN
    PENDING
  • Print_ISBN
    978-1-4673-1802-0
  • Electronic_ISBN
    PENDING
  • Type

    conf

  • DOI
    10.1109/CIFEr.2012.6327789
  • Filename
    6327789
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1696915