Liquidity and crises in Asian equity markets

This article presents a discussion of stock market liquidity and its relation to financial crises. It begins by defining liquidity and explaining possible measures of liquidity and then explores factors influencing liquidity. It also analyzes the liquidity among 11 Asian countries. The empirical fin...

Full description

Saved in:
Bibliographic Details
Main Authors: CHAROENWONG, Charlie, DING, David K., YANG, Yung Chiang
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2013
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/3605
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4604/viewcontent/EFMA2013_0310_fullpaper.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
id sg-smu-ink.lkcsb_research-4604
record_format dspace
spelling sg-smu-ink.lkcsb_research-46042018-12-10T08:20:56Z Liquidity and crises in Asian equity markets CHAROENWONG, Charlie DING, David K. YANG, Yung Chiang This article presents a discussion of stock market liquidity and its relation to financial crises. It begins by defining liquidity and explaining possible measures of liquidity and then explores factors influencing liquidity. It also analyzes the liquidity among 11 Asian countries. The empirical findings based on the time-series analysis show a sharp decline in stock liquidity during both the 1997-1998 Asian and the recent 2007-2008 global financial crisis. The multivariate regression results show that both stock liquidity and trading activity decrease after large market declines. Stock liquidity responds significantly to large market declines in South Korea and Taiwan whereas it is least sensitive in Singapore. The findings indicate that stock trading, measured by turnover, slows down after a large market decline, which affects trading activity in all markets examined especially those of South Korea and China, but have the least effect in Singapore and Japan. 2013-08-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/3605 info:doi/10.1002/9781118681145.ch22 https://ink.library.smu.edu.sg/context/lkcsb_research/article/4604/viewcontent/EFMA2013_0310_fullpaper.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Asian markets emerging markets financial crisis liquidity trading activity Asian Studies Finance and Financial Management
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Asian markets
emerging markets
financial crisis
liquidity
trading activity
Asian Studies
Finance and Financial Management
spellingShingle Asian markets
emerging markets
financial crisis
liquidity
trading activity
Asian Studies
Finance and Financial Management
CHAROENWONG, Charlie
DING, David K.
YANG, Yung Chiang
Liquidity and crises in Asian equity markets
description This article presents a discussion of stock market liquidity and its relation to financial crises. It begins by defining liquidity and explaining possible measures of liquidity and then explores factors influencing liquidity. It also analyzes the liquidity among 11 Asian countries. The empirical findings based on the time-series analysis show a sharp decline in stock liquidity during both the 1997-1998 Asian and the recent 2007-2008 global financial crisis. The multivariate regression results show that both stock liquidity and trading activity decrease after large market declines. Stock liquidity responds significantly to large market declines in South Korea and Taiwan whereas it is least sensitive in Singapore. The findings indicate that stock trading, measured by turnover, slows down after a large market decline, which affects trading activity in all markets examined especially those of South Korea and China, but have the least effect in Singapore and Japan.
format text
author CHAROENWONG, Charlie
DING, David K.
YANG, Yung Chiang
author_facet CHAROENWONG, Charlie
DING, David K.
YANG, Yung Chiang
author_sort CHAROENWONG, Charlie
title Liquidity and crises in Asian equity markets
title_short Liquidity and crises in Asian equity markets
title_full Liquidity and crises in Asian equity markets
title_fullStr Liquidity and crises in Asian equity markets
title_full_unstemmed Liquidity and crises in Asian equity markets
title_sort liquidity and crises in asian equity markets
publisher Institutional Knowledge at Singapore Management University
publishDate 2013
url https://ink.library.smu.edu.sg/lkcsb_research/3605
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4604/viewcontent/EFMA2013_0310_fullpaper.pdf
_version_ 1770571725169229824