IDEAS home Printed from https://ideas.repec.org/a/src/jbsree/v7y2021i3p737-749.html
   My bibliography  Save this article

Determinants of Stock Market Liquidity: Auto Regressive Distributed Lag Based Evidence from the Emerging Equity Market

Author

Listed:
  • Husnain, Muhammad
  • Hashmi, Aijaz Mustafa
  • Ahmad, Mumtaz

Abstract

Purpose: This research examines the impact of oil prices, exchange rate, stock market index, market volatility and inflation on the stock market liquidity.Design/Methodology/Approach: The sample period is 20 years from 2000 to 2019 on monthly basis. We employ the auto-regressive distributed lag (ARDL) approach for analyzing long run and short run nature of relationship among variables. We also apply diagnostics including, normality check, serial correlation test, heteroscedasticity test and CUSM models for the stability of the models.&Findings: We finds that exchange rate and inflation have a long-term negative relationship, but oil prices, stock returns, and stock market volatility have a long-term positive relationship with stock market liquidity. Furthermore, these findings are robust under three different proxies of stock market liquidity for three sectors: text composite, textile weaving, and textile spinning.Implications/Originality/Value: This study extend the existing debate on the relationship between macroeconomic variables and stock market liquidity in developed world to the emerging equity market. It also contributes by examining the impact of macroeconomic variables on the sectorial levels in equity market by using three proxies for stock market liquidity including, Amihud liquidity, average trading and trading volume.

Suggested Citation

  • Husnain, Muhammad & Hashmi, Aijaz Mustafa & Ahmad, Mumtaz, 2021. "Determinants of Stock Market Liquidity: Auto Regressive Distributed Lag Based Evidence from the Emerging Equity Market," Journal of Business and Social Review in Emerging Economies, CSRC Publishing, Center for Sustainability Research and Consultancy Pakistan, vol. 7(3), pages 737-749, September.
    • Handle: RePEc:src:jbsree:v:7:y:2021:i:3:p:737-749
    DOI: http://doi.org/10.26710/jbsee.v7i3.1914
    as

    Download full text from publisher

    File URL: https://publishing.globalcsrc.org/ojs/index.php/jbsee/article/view/1914/1222
    Download Restriction: no
    File URL: https://libkey.io/http://doi.org/10.26710/jbsee.v7i3.1914?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    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:src:jbsree:v:7:y:2021:i:3:p:737-749. 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: Prof. Dr. Ghulam Shabir (email available below). General contact details of provider: https://edirc.repec.org/data/csrcmpk.html .

    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.