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Economic policy uncertainty and stock market liquidity

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  • Byomakesh Debata
  • Jitendra Mahakud

Abstract

Purpose - This study aims to examine the relationship between economic policy uncertainty and stock market liquidity in an order-driven emerging stock market. Design/methodology/approach - Empirical estimates are based on vector autoregressive Granger-causality tests, impulse response functions and variance decomposition analysis. Findings - The empirical findings suggest that economic policy uncertainty moderately influences stock market liquidity during normal market conditions. However, the role of economic policy uncertainty for determining stock market liquidity is significant in times of financial crises. The authors have also observed a significant portion of variation in stock market liquidity that is attributed to investor sentiments during financial crises. Originality/value - This study is original in nature and provides evidence to consider economic policy uncertainty as a possible source of commonality in liquidity in the context of an emerging market.

Suggested Citation

  • Byomakesh Debata & Jitendra Mahakud, 2018. "Economic policy uncertainty and stock market liquidity," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 10(1), pages 112-135, April.
  • Handle: RePEc:eme:jfeppp:jfep-09-2017-0088
    DOI: 10.1108/JFEP-09-2017-0088
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    6. William, Mbanyele & Fengrong, Wang, 2022. "Economic policy uncertainty and industry innovation: Cross country evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 208-228.
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    More about this item

    Keywords

    Emerging market; Investor sentiment; Economic policy uncertainty; Stock market liquidity; Vector auto-regression (VAR) model; E44; E52; G18;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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