Does stock market liquidity explain real economic activity? New evidence from two large European stock markets

Apergis, Nicholas; Artikis, Panagiotis G.; Kyriazis, Dimitrios

doi:10.1016/j.intfin.2015.05.002

Cited by 38 publications

(29 citation statements)

References 66 publications

(37 reference statements)

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“…The whole of this process results in drop of both investments' value and further options, causing lower output and that initiates a recession. The liquidity-shock-hypothesis has gained extensive attention due to its practical strategic inferences (Apergis, Artikis & Kyriazis, 2015). Bhattacharya, Bhattacharya & Basu (2019) studied the connection between stock market movements and its liquidity using ARDL-Bounds Testing Approach.…”

Section: Literature Review and Theoretical Linkage Between Variablesmentioning

confidence: 99%

Bidirectional Relationship between Stock Market Decline and Liquidity: A Study of Emerged & Emerging Economies

Khakwani

Kouser

2021

JBSEE

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This study intends to examine the nature & direction of relationship between stock market movements, particularly market decline, and its liquidity in 14 selected emerged and emerging economies (G8+5 and Pakistan) for January 2001 through December 2017 by applying Autoregressive Distributed Lag (ARDL) Bounds test and Granger-causality test. Trading value and turn over ratio are employed to measure market liquidity. Results of trading value Granger-causality test highlight the evidence of no causality in Germany & India. Bi-directional causality exists in Pakistan only. Uni-directional causality subsists only in Russia at 10% significance level from trading value to market return. However, from market return to trading value, results demonstrate the presence of uni-directional causality at 5% significance level for Brazil, Japan. Canada, China, France, Italy, UK, USA, South Africa and Mexico. Negative returns are used to represent the notion of market decline. The results exhibited by both proxies of liquidity demonstrate that two-way association exists between stock market decline and liquidity in the long term. Thus co-integration in long-run is suggested by ARDL bounds test at 1% significance level for all the emerging and emerged countries in the sample.

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Section: Literature Review and Theoretical Linkage Between Variablesmentioning

confidence: 99%

Bidirectional Relationship between Stock Market Decline and Liquidity: A Study of Emerged & Emerging Economies

Khakwani

Kouser

2021

JBSEE

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“…A rather recent study by Gospodinov and Jamali (2015) on interest rate and United States stock returns, Chatziantoniou, Duffy, and Filis (2013) on the impact of credit conditions (money supply and interest rates) on stock markets in the Germany, United Kingdom and United States and Ruiz (2015) on impact of interest rates and inflation on Spanish stock market reported significant association. In fact, a study by Apergis et al (2015) reported significant nexus between the liquidity of the stock market and real economy while Shahzad, Mensi, Hammoudeh, Balcilar, and Shahbaz (2018) reported a strong association between credit conditions (default swap) and associated sectoral stock. An important, yet underappreciated aspect of the association between macroeconomic factors and the stock market is time‐variation.…”

Section: Macroeconomic Environment and Stock Marketmentioning

confidence: 99%

“…Concomitantly, the economic outlook can be envisaged by attending to the behaviour of the stock markets. An economic despair is often likely to succeed a sharp collapse of stock prices while a surge in them can be interpreted as a positive sign for economic growth and development (for instance see, Airaudo, Nistico, & Zanna, 2015; Apergis, Artikis, & Kyriazis, 2015; Batten & Szilagyi, 2011; Batten & Vo, 2015; Chatterjee, 2016; Funke, Paetz, & Pytlarczyk, 2010; Nasir et al, 2015). 2 Consequently, due to the prima facie macro‐financial inter‐linkages, one shall be beware of the factors which may influence the stock market, particularly when the global financial system in general, and developing economies in particular, have become more integrated and complicated (Batten, Morgan, & Szilagyi, 2015; Morana & Beltratti, 2008).…”

Section: Introductionmentioning

confidence: 99%

Development of Vietnamese stock market: Influence of domestic macroeconomic environment and regional markets

et al. 2020

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This study has analysed the role of the domestic economic environment and regional markets (Thailand, Japan, Hong Kong and China) in explaining the dynamics of Vietnamese stock market. In so doing, we employed a time‐varying structural vector autoregression framework which accounts for time variations (in coefficients as well as in the variance–covariance matrix of innovations) on the data from July 2000 to December 2016. Our key findings suggested that the easing of monetary and credit conditions, stable and stronger currency and economic growth have played a significant and positive role in the development of the stock market in Vietnam. Inflation shocks did have a negative impact which implied that in policy setting the price stability is very important for the financial stability in Vietnam. The Vietnamese stock market is also heavily influenced by the regional markets, as there is strong evidence of co‐movement. However, it was also witnessed that despite having a similar direction of impact and co‐movement, different markets have an influence of different degrees and intensity on the Vietnamese stock market. Lastly, we also witnessed that as compared to the Global Financial Crisis, the recent periods showed comparatively lesser responsiveness. This could be associated with the intensive reaction during the period of financial turmoil as well as with an increase in the stability of the Vietnamese stock market as it matures.

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“…There third aspect of this discussion is associated with studies, proposing irrelevance of financial structure. They instead supported for coexistence of both markets and banks, provision of financial services, and strengthening of legal system in promoting economic growth (Levine, 2002;Beck & Levine, 2002;Wang & Ma, 2009;Song &Thakor, 2010;Lee, 2012;Solo, 2013;Dima, Dinca, &Spulbar, 2014;Apergis, Artikis, &Kyriazis, 2015).…”

Section: Literature Reviewmentioning

confidence: 99%

“…The broader cross country studies in this domain were initiated by Demirguç-Kunt and Levine (1999), Levine (2002). The number of researchers including Allen and Gale (2000), Beck and Levine (2004), Chakraborty and Ray (2006), Solo (2013), Apergis, Artikis, and Kyriazis (2015) contributed in this debate. It has been attempted mainly in previous studies to relatively examine the effect of financial structure on economic growth of countries.…”

Section: Introductionmentioning

confidence: 99%

Comparative Analysis of Financial Systems in Context of Global Financial Crisis

Chaudhary

Abbas

meer³

2018

IBTJBS

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This study is aimed at analysing the relative effect of global financial crisis across diverse category countries. The top 50 countries of world are selected and categorized on the basis of financial structure and economic development level. The empirical analysis is based on panel data methodology and appropriate dummies are inserted to capture overall as well as relative effect of crisis. The study finds a substantial overall effect of crisis on economic progression of sample countries. The significance divergence for different categories is, however, not observed. Conclusion- The traditional dichotomy of financial systems doesn’t matter much in modern, globalized world. The interlinkages and interdependencies among intermediaries and markets exists across globe that contributed in rapid propagation of shocks. Practical Implications- The results of study can facilitate in better and systematic choice of financial system instead of a random one.

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Does stock market liquidity explain real economic activity? New evidence from two large European stock markets

Cited by 38 publications

References 66 publications

Bidirectional Relationship between Stock Market Decline and Liquidity: A Study of Emerged & Emerging Economies

Bidirectional Relationship between Stock Market Decline and Liquidity: A Study of Emerged & Emerging Economies

Development of Vietnamese stock market: Influence of domestic macroeconomic environment and regional markets

Comparative Analysis of Financial Systems in Context of Global Financial Crisis

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