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The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants

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  • Pan, Beier

Abstract

Financial asset liquidity and its linkages to general market conditions form an important part of illiquidity risk analysis in financial economics. Cross-asset liquidity linkages are known to impact expected returns and financial market stability. This paper comprehensively investigates the joint dynamics of liquidity in the Chinese stock and T-bond markets, with emphasis on influences from their distinct market structures. I allow the stock–bond liquidity linkages to be dependent on changing market states and macro-financial informational shocks by including both cyclic and asymmetric terms in the predictive framework. For the daily bid–ask spread and quote depth measures constructed from high-frequency trade-and-quote (TAQ) data over the period of 2005–2022, I demonstrate that liquidity correlation is affected by both cross-asset information spillover and volatility linkages. The macro-financial determinants exert a time-varying and asymmetric impact on the information spillover and volatility linkages, which in turn affect cross-asset liquidity correlation.

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  • Pan, Beier, 2023. "The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants," Economic Modelling, Elsevier, vol. 124(C).
    • Handle: RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001074
    DOI: 10.1016/j.econmod.2023.106295
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