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...
Saved in:
| Main Authors: | , , |
|---|---|
| 格式: | Article |
| 出版: |
Elsevier
2022
|
| 主題: | |
| 在線閱讀: | http://eprints.um.edu.my/33727/ |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| 總結: | 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 average, implying negligible risk of a systemic liquidity dry-up in the Malaysian financial markets. Further analysis finds that cross-asset liquidity connectedness is explained by global market uncertainty, perceived credit risk as well as international crude oil prices. The influence of external factors underscores the needs for small open economy like Malaysia to expand market surveillance to monitor cross-border liquidity shocks. |
|---|