Stock market liquidity and macroeconomic predictability

• Main Authors: Bay, Mingde, Ng, Chin Keong, Choo, Elissa Li Shan
• Other Authors: Nanyang Business School
• Format: Final Year Project
• Language: English
• Published: 2013
• Subjects: DRNTU::Business::Finance
• Online Access: http://hdl.handle.net/10356/51399
• Institution: Nanyang Technological University

We investigate if liquidity risk is priced in the market from a macroeconomic perspective. We perform correlation and multi-regression analysis between the liquidity factors and the macroeconomic factors. The liquidity measures used are Pastor and Stambaugh's levels of aggregate liquidity, inno...