The dynamics and determinants of liquidity connectedness across financial asset markets
We quantify the degree of liquidity connectedness across stock, bond, money and foreign exchange markets in Malaysia. The liquidity connectedness index from the time-varying parameter vector autoregression model reveals sensitivity to extreme market events but low cross-asset liquidity contagion on...
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| Main Authors: | , , |
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| Format: | Article |
| Published: |
Elsevier
2022
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| Subjects: | |
| Online Access: | http://eprints.um.edu.my/33727/ |
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| Institution: | Universiti Malaya |