On the Stock Market Liquidity and the Business Cycle: A Multi Country Approach

Posted: 21 Jan 2016

See all articles by Emilios C. Galariotis

Emilios C. Galariotis

Audencia Business School ; Audencia Nantes School of Management

Evangelos Giouvris

Durham University - Department of Economics and Finance

Date Written: March 1, 2015

Abstract

We provide original results on national and global stock market liquidity and its interaction with macroeconomic variables for six of the G7 economies, namely: Canada, France, Germany, Italy, Japan and UK, building on the methodology and on the USA evidence by Naes et al (2011). Using a number of additional tests, we find that different markets do not behave in the same way. National liquidity is less able to Granger cause macroeconomic variables for our sample, and in additional tests the same holds for an extended USA sample, contrary to Naes et al. As regards global liquidity there is a two-way causality with macroeconomic indicators for the six nations in our sample while for the USA there is no causality in either direction. We also show that there is no superior information in small firm liquidity in Granger causing macroeconomic variables even for the US in contrast to the sample period employed by Naes et al implying an unstable relationship over time for the US.

Keywords: Market liquidity, Real economy, Economic indicators, Granger causality, Panel data, Dumitrescu Hurlin

JEL Classification: G15, F37, F44, F47

Suggested Citation

Galariotis, Emilios C. and Giouvris, Evangelos, On the Stock Market Liquidity and the Business Cycle: A Multi Country Approach (March 1, 2015). International Review of Financial Analysis, Vol. 38, 2015, Available at SSRN: https://ssrn.com/abstract=2718857

Emilios C. Galariotis

Audencia Business School ( email )

8 Road Joneliere
BP 31222
Nantes Cedex 3, 44312
France

HOME PAGE: http://faculte-recherche.audencia.com/en/faculty/faculty-member-cvs/emilios-galariotis/

Audencia Nantes School of Management ( email )

France

HOME PAGE: http://faculte-recherche.audencia.com/en/faculty/faculty-member-cvs/emilios-galariotis/

Evangelos Giouvris (Contact Author)

Durham University - Department of Economics and Finance ( email )

23-26 Old Elvet
Durham DH1 3HY
United Kingdom
+44-7789-035408 (Phone)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
381
PlumX Metrics