Liquidity spillovers in US stock market based on multilayer networks

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2025-03-17 DOI:10.1016/j.frl.2025.107231

Jinyu Yuan , Chuangxia Huang

引用次数: 0

Abstract

While there is widespread agreement that liquidity plays a crucial role in financial contagion, the analysis of liquidity spillovers between individual stocks remains underexplored. This study examines liquidity spillover effects among individual stocks within a multilayer network framework. Using data from S&P 500 constituent stocks between 2006 and 2021, we construct annual multilayer liquidity spillover networks, incorporating both linear and nonlinear layers. The results show that, compared to single-layer networks, multilayer networks more accurately and comprehensively capture liquidity spillovers and identify crisis periods. Moreover, liquidity spillovers are significantly heightened during crises. Based on multilayer liquidity spillover network, we identify the main connectors, receivers, and senders of liquidity spillovers, offering valuable insights for pinpointing sources of market volatility and mitigating systemic liquidity risks.

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基于多层网络的美国股市流动性溢出效应

尽管人们普遍认为流动性在金融传染中起着至关重要的作用，但对个股之间流动性溢出效应的分析仍未得到充分探讨。本研究在多层网路框架下，检视个股间的流动性外溢效应。利用2006年至2021年标准普尔500指数成分股的数据，我们构建了年度多层流动性溢出网络，包括线性和非线性两层。结果表明，与单层网络相比，多层网络更准确、全面地捕捉流动性溢出并识别危机时期。此外，危机期间流动性溢出效应显著加剧。基于多层流动性溢出网络，我们确定了流动性溢出的主要连接者、接受者和发送者，为确定市场波动的来源和减轻系统性流动性风险提供了有价值的见解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance