{"title":"Global Financial Crisis: Dynamics of Liquidity Risk in Emerging Asia","authors":"Suraj Kumar, Krishna Prasanna","doi":"10.1177/0972652719846323","DOIUrl":null,"url":null,"abstract":"This study investigates the dynamic impact of global and regional liquidity along with volatility on the liquidity of emerging Asian equity markets. Further, we empirically disentangle the effects of volatility and liquidity. We find that the external liquidity factors have a higher impact on domestic liquidity as compared to volatility. The impact of global volatility shocks was witnessed only during the Global Financial Crisis. Global factors have a higher influence on developed markets such as Japan and Singapore, while regional factors have a higher influence on emerging markets. These results indicate that liquidity serves as the channel of regional integration in Asia. The findings of this study provide useful insights to cross-sections of stakeholders in the investment industry. JEL Classification: G15, F21, F36","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":null,"pages":null},"PeriodicalIF":1.2000,"publicationDate":"2019-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1177/0972652719846323","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Emerging Market Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1177/0972652719846323","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 2
Abstract
This study investigates the dynamic impact of global and regional liquidity along with volatility on the liquidity of emerging Asian equity markets. Further, we empirically disentangle the effects of volatility and liquidity. We find that the external liquidity factors have a higher impact on domestic liquidity as compared to volatility. The impact of global volatility shocks was witnessed only during the Global Financial Crisis. Global factors have a higher influence on developed markets such as Japan and Singapore, while regional factors have a higher influence on emerging markets. These results indicate that liquidity serves as the channel of regional integration in Asia. The findings of this study provide useful insights to cross-sections of stakeholders in the investment industry. JEL Classification: G15, F21, F36
期刊介绍：
The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.
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