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Local stock liquidity and local factors: Fresh evidence from US firms across states

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  • Apergis, Nicholas
  • Dastidar, Sayantan Ghosh

Abstract

Our study explicitly considers the role of a new local factor, i.e., the effect of the fraction of seniors in each US state, of local stock liquidity for a large number of US firms. The analysis provides two potential channels through which this (local) factor can affect local stock liquidity. The results report that this new factor exerts a significant impact on local firm liquidity, with the sign depending on the definition of liquidity being used. In terms of the two channels explored, the findings document the impact of the fraction of seniors on local bank deposits, while young and small firms exert a negative effect on local stock liquidity versus the remaining firms. The findings carry key implications for market practitioners, such as investors, market operators, regulators and academics and other researchers.

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  • Apergis, Nicholas & Dastidar, Sayantan Ghosh, 2024. "Local stock liquidity and local factors: Fresh evidence from US firms across states," Research in International Business and Finance, Elsevier, vol. 67(PA).
    • Handle: RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002386
    DOI: 10.1016/j.ribaf.2023.102112
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    More about this item

    Keywords

    Local stock liquidity; Local/state factors; Panel data; US firms;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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