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Network characteristics and stock liquidity:Evidence from the UK

Author

Listed:
  • Yang, Xin
  • Jin, Cheng
  • Huang, Chuangxia
  • Yang, Xiaoguang

Abstract

This article examines the effect of the Engle-Granger (E-G) price spillover network characteristics on firm's stock liquidity with a longitudinal dataset of FTSE 350 from 2006 to 2021. We find that the subprime crisis, European debt sovereign crisis, British Brexit and COVID-19 caused dramatic network structure change. We also find that firms with higher centrality are likely to suffer from more or greater price shocks leading to lower stock liquidity. Finally, the robust of our results has also been identified, and a general framework for network characteristics and stock liquidity has been established to some extent.

Suggested Citation

  • Yang, Xin & Jin, Cheng & Huang, Chuangxia & Yang, Xiaoguang, 2023. "Network characteristics and stock liquidity:Evidence from the UK," Finance Research Letters, Elsevier, vol. 53(C).
    • Handle: RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322008017
    DOI: 10.1016/j.frl.2022.103625
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    References listed on IDEAS

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