IDEAS home Printed from https://ideas.repec.org/a/spt/apfiba/v6y2016i1f6_1_3.html
   My bibliography  Save this article

The Transmission of Liquidity Shock across International Markets during the 2007-08 Financial Crisis

Author

Listed:
  • Nizar Harrathi
  • Imen Kouki

Abstract

This article investigates the determinants of liquidity and the transmission of liquidity shocks across 52 stock markets during the period 2005-2009. Constructing Amihud (2002) liquidity measure, we finda positive linkage between liquidity and volatility. Moreover, the Granger causality analysis provide evidence of bi-directional relationship between stock market return and its illiquidity shock, through a. Also, the results support the presence of USA illiquidity shock spillover to others markets during the financial crisis of 2007-08. Moreover, both USA return and illiquidity shock have a strong effect on the illiquidity shock of the others markets. Finally, the impact of the USA market through its return or illiquidity shock is the same during normal and crisis period.

Suggested Citation

  • Nizar Harrathi & Imen Kouki, 2016. "The Transmission of Liquidity Shock across International Markets during the 2007-08 Financial Crisis," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 6(1), pages 1-3.
    • Handle: RePEc:spt:apfiba:v:6:y:2016:i:1:f:6_1_3
    as

    Download full text from publisher

    File URL: http://www.scienpress.com/Upload/JAFB%2fVol%206_1_3.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spt:apfiba:v:6:y:2016:i:1:f:6_1_3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Eleftherios Spyromitros-Xioufis (email available below). General contact details of provider: http://www.scienpress.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.